1,766,326 research outputs found
"Testing for the Null Hypothesis of Cointegration with Structural Breaks"
Full text linkIn this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended in two ways to deal with a structural break of unknown timing. The first test statistic, a plug-in version of the test statistic for known timing, replaces the true break point by the estimated one. We also propose a second test statistic where the break point is chosen to be most favorable for the null hypothesis. We show the limiting properties of both statistics under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present.
A Panel Test of Purchasing Power Parity Under the Null of Stationarity
No full textPurchasing Power Parity (PPP) is tested using a sample of real exchange rate data for
twelve European countries. Acknowledging that Augmented Dickey Fuller tests have
low power, we apply a Panel test that considers the null of stationarity and corrects for
serial dependence using a non-parametric kernel based method
Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )
Full text linkIn this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended in two ways to deal with a structural break of unknown timing. The first test statistic, a plug-in version of the test statistic for known timing, replaces the true break point by the estimated one. We also propose a second test statistic where the break point is chosen to be most favorable for the null hypothesis. We show the limiting properties of both statistics under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present.
Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for applied work
Full text linkIt is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994) may cause extreme size distortions, if the model under the null hypothesis is highly persistent. The existence of such size distortions has not been recognized in the previous literature. We illustrate the practical importance of these distortions for the problem of testing for long-run purchasing power parity under the recent float. Size distortions of tests of the unit root null hypothesis may be overcome by the use of finite-sample or bootstrap critical values. We show that such corrections are not possible for tests of the null hypothesis of stationarity. Our results suggest that the common practice of viewing tests of stationarity as complementary to tests of the unit root null will tend to result in contradictions or in spurious acceptances of the unit root hypothesis. We conclude that tests of the null hypothesis of stationarity cannot be recommended for applied work unless the sample size is very large. --I(0) null hypothesis,finite-sample critical values,size,Monte Carlo simulation
Derivation of the null energy condition
Full text linkabstract: We derive the null energy condition, understood as a constraint on the Einstein-frame Ricci tensor, from world sheet string theory. For a closed bosonic string propagating in a curved geometry, the spacetime interpretation of the Virasoro constraint condition is precisely the null energy condition, to leading nontrivial order in the α′ expansion. Thus the deepest origin of the null energy condition lies in world sheet diffeomorphism invariance.Copyright 2015 by the American Physical Society. View the article as published at http://dx.doi.org/10.1103/PhysRevD.91.08400
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Logarithmic corrections to gravitational entropy and the null energy condition
Full text linkabstract: Using a relation between the thermodynamics of local horizons and the null energy condition, we consider the effects of quantum corrections to the gravitational entropy. In particular, we find that the geometric form of the null energy condition is not affected by the inclusion of logarithmic corrections to the Bekenstein–Hawking entropy
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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