scholarly journals DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

2008 ◽  
Vol 24 (5) ◽  
pp. 1373-1403 ◽  
Author(s):  
Ioannis Kasparis
Keyword(s):  
Functional Form ◽  
Simulation Experiment ◽  
Cusum Test ◽  
Specification Test ◽  
Cumulative Sum ◽  
Finite Samples ◽  
Long Run ◽  
Simulation Results

A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics, 108, 43–61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under functional form misspecification and lack of cointegration. A simulation experiment is carried out to assess the properties of the tests in finite samples. The Dickey–Fuller test is also considered. The simulation results reveal that the first two tests perform reasonably well. However, the Dickey–Fuller test performs poorly under functional form misspecification.

scholarly journals A New Wavelet Threshold Determination Method Considering Interscale Correlation in Signal Denoising

2015 ◽  
Vol 2015 ◽  
pp. 1-9 ◽  
Author(s):  
Can He ◽  
Jianchun Xing ◽  
Juelong Li ◽  
Qiliang Yang ◽  
Ronghao Wang
Keyword(s):  
Simulation Experiment ◽  
Simple Calculation ◽  
Signal Denoising ◽  
Determination Method ◽  
Propagation Characteristics ◽  
Correlation Index ◽  
Denoising Method ◽  
Threshold Determination ◽  
New Correlation ◽  
Simulation Results

Due to simple calculation and good denoising effect, wavelet threshold denoising method has been widely used in signal denoising. In this method, the threshold is an important parameter that affects the denoising effect. In order to improve the denoising effect of the existing methods, a new threshold considering interscale correlation is presented. Firstly, a new correlation index is proposed based on the propagation characteristics of the wavelet coefficients. Then, a threshold determination strategy is obtained using the new index. At the end of the paper, a simulation experiment is given to verify the effectiveness of the proposed method. In the experiment, four benchmark signals are used as test signals. Simulation results show that the proposed method can achieve a good denoising effect under various signal types, noise intensities, and thresholding functions.

scholarly journals Simulation Experiment Description Markup Language (SED-ML) Level 1 Version 2

2015 ◽  
Vol 12 (2) ◽  
pp. 119-212 ◽  
Author(s):  
Frank T. Bergmann ◽  
Jonathan Cooper ◽  
Nicolas Le Novère ◽  
David Nickerson ◽  
Dagmar Waltemath
Keyword(s):  
Computational Models ◽  
Simulation Experiment ◽  
Extensible Markup Language ◽  
Markup Language ◽  
Minimum Information ◽  
Extensible Markup ◽  
Experiment Description ◽  
Simulation Results ◽  
Level 1 ◽  
Readable Format

Summary The number, size and complexity of computational models of biological systems are growing at an ever increasing pace. It is imperative to build on existing studies by reusing and adapting existing models and parts thereof. The description of the structure of models is not sufficient to enable the reproduction of simulation results. One also needs to describe the procedures the models are subjected to, as recommended by the Minimum Information About a Simulation Experiment (MIASE) guidelines.This document presents Level 1 Version 2 of the Simulation Experiment Description Markup Language (SED-ML), a computer-readable format for encoding simulation and analysis experiments to apply to computational models. SED-ML files are encoded in the Extensible Markup Language (XML) and can be used in conjunction with any XML-based model encoding format, such as CellML or SBML. A SED-ML file includes details of which models to use, how to modify them prior to executing a simulation, which simulation and analysis procedures to apply, which results to extract and how to present them. Level 1 Version 2 extends the format by allowing the encoding of repeated and chained procedures.

scholarly journals A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE

2008 ◽  
Vol 24 (4) ◽  
pp. 829-864 ◽  
Author(s):  
Liangjun Su ◽  
Halbert White
Keyword(s):  
Monte Carlo Simulation ◽  
Exchange Rates ◽  
Conditional Independence ◽  
Nonparametric Test ◽  
Delta Method ◽  
Mixing Conditions ◽  
Test Statistic ◽  
Finite Samples ◽  
Functional Delta Method ◽  
Simulation Results

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and establish asymptotic normality under β-mixing conditions. We show that the test is consistent and has power against alternatives at distance n−1/2h−d/4. The cases for which not all random variables of interest are continuously valued or observable are also discussed. Monte Carlo simulation results indicate that the test behaves reasonably well in finite samples and significantly outperforms some earlier tests for a variety of data generating processes. We apply our procedure to test for Granger noncausality in exchange rates.

Drag Reduction Performance Parameter Optimization of Vibration Digging Shovel

2014 ◽  
Vol 926-930 ◽  
pp. 777-780
Author(s):  
Wei Sun ◽  
Jian Min Wu ◽  
Lin Rong Shi ◽  
Hua Zhang ◽  
Tao Li ◽  
...  
Keyword(s):  
Drag Reduction ◽  
Regression Model ◽  
Vibration Frequency ◽  
Simulation Experiment ◽  
Vibration Reduction ◽  
Performance Parameter ◽  
Test Results ◽  
Drawing Speed ◽  
Simulation Results ◽  
The Relationship

In order to optimize vibration digging shovels drag reduction performance parameter, building the regression model of traction resistance between vibration frequency and amplitude, penetrating angle and the traction rate based on the vibration reduction simulation experiment results, moreover, it is optimized. The results show that the effect factors of traction resistance from high to low is the vibration frequency, the traction rate, penetrating angle, amplitude. When the drawing speed is 0.67 m/s, the vibration frequency is 13.77 Hz, vibration amplitude is 11.93 mm, penetrating angle is 8.35 °, optimization value of traction resistance is 1449.59 N. Test results show that: the field test resistance average and the simulation results error is less than 5%, which illustrate that the regression model can better reflect the relationship between the vibration frequency, traction rate, penetrating angle, amplitude and traction resistance.

scholarly journals Experimental Accuracy and Stability of Gas Outburst Experimental System

Geofluids ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Yanbao Liu ◽  
Haitao Sun ◽  
Bo Wang ◽  
Linchao Dai ◽  
Jie Cao
Keyword(s):  
Simulation Experiment ◽  
Physical Simulation ◽  
Testing Machine ◽  
Test System ◽  
Experimental Simulation ◽  
Design Parameters ◽  
Test Machine ◽  
Gas Outburst ◽  
Similar Materials ◽  
Simulation Results

Gas outburst is an important issue in deep coal mining. At present, the gas-rock coupling change mechanism and intensity prediction of gas outburst are not clear. The research of gas outburst simulation experiment is particularly important. The State Key Laboratory of Gas Disaster Monitoring and Emergency Technology of China independently developed a large-scale coal and gas outburst physical simulation test system. However, the influence of the design parameters of the testing machine on the stability and accuracy of the simulation experiment is unclear. The article analyzes the energy conversion in the process of gas outburst through experimental simulation phenomena and results. The experimental simulation results show that the energy released by the CO2 gas in similar materials is the most important energy source. The cracks of similar materials increase the nominal volume of similar materials, and the deformation energy stored in similar materials slightly increases. The experimental simulation results are consistent with the actual situation on site. Combined with CAE simulation analysis, the displacement and pressure of the indenter of the experimental machine remained basically unchanged during the experiment, and the system did not produce resonance. Comprehensive analysis shows that the design of the test machine meets the simulation requirements.

scholarly journals TOURISM DEMAND FOR BALI-THE HEGY APPROACH FOR SEASONAL UNIT ROOT TEST

2012 ◽  
Vol 11 (1) ◽  
Author(s):  
Ida Bagus Made Wiyasha
Keyword(s):  
Exchange Rates ◽  
Unit Root ◽  
Unit Root Test ◽  
Wald Test ◽  
Cusum Test ◽  
Parameter Instability ◽  
Economic Role ◽  
Long Run ◽  
Inflation Rates ◽  
Short Run

Tourism plays an important economic role for a destination. This study aims to investigate the behavior of seasonal direct tourist arrivals to Bali. To achieve the aforementioned objective archival data of direct tourist arrivals to Bali from 2001 to 2010 were used. Error Correction Model (ECM) and HEGY approach were applied to analyze the behavior of seasonal tourist arrivals. Wald test was applied in joint test for quarterly parameter. Cusum test were applied to examine the parameter stability for the periods mentioned above. USA, UK, and Japan tourist arrivals were the dependent variables while exchange rates and inflation rates for those mentioned countries were independent variables of the model. The findings of the study are as follows. The ECM results for Japan revealed that in the short run and the long run as well the exchange and inflation rates were negatively related to arrivals. For UK, in the short run exchange rates negatively related to arrivals while inflation rates exhibited positive relation to arrivals. For the US, all exchange rate and inflation rates were positively related to arrivals. Cusum test revealed the following. Japan arrivals exhibited relatively stable parameter for the periods of 2001-2010. UK arrivals showed parameter instability; while US arrivals experienced relatively stable parameter for the periods mentioned earlier. Wald test results showed that all arrivals, USA, UK, and Japan contained a unit root for their quarterly data.

scholarly journals AGRICULTURE EXPORT STIMULANT TO THE ECONOMIC AND FINANCIAL PERFORMANCE OF PAK

2021 ◽  
Vol 9 (2) ◽  
pp. 572-580
Author(s):  
Shaikh Muhammad Saleem ◽  
Muhammad Asif Shamim ◽  
Sayma Zia ◽  
Syed Waqar-ul-Hassan
Keyword(s):  
Economic Growth ◽  
Developing Economies ◽  
Least Square ◽  
Policy Implications ◽  
Series Data ◽  
Cumulative Sum ◽  
Agricultural Export ◽  
Ordinary Least Square ◽  
Agricultural Exports ◽  
Long Run

Purpose: The study examines how agricultural exports boost the economic growth of Pakistan in the long run and suggest policy implications during 1995-2018 using time series data. Methodology: Principal Component Analysis is used to construct an agricultural export index consisting of rice, raw cotton, fruits, and vegetables as variables. This quantitative study checked the structural stability of the model with cumulative-sum & cumulative-sum of the square. Rolling window analysis highlights the long-run yearly effect of the coefficient of the model. The result of variance decomposition method proof bidirectional causality where robust result proof using Fully modified ordinary least square and Dynamic ordinary least square techniques. Unit root at first difference proof stationery whereas cointegration has a long-run relationship between agricultural export and economic growth. Main Finding: The statistical estimation proofs the positive long-run association of agricultural exports with economic growth. Results explored a 26 percent increase in the economy of Pakistan by exporting agricultural goods. Application of this Study: This study helps to develop the economies if they face problems of low agricultural productivity. The agricultural export is sensitive to domestic indicators, and domestic policy can promote agricultural export, and create new potential markets. The originality of the Study: The study is suggested the agriculture techniques and their performance in developing economies.

scholarly journals Market Power, NAIRU, and the Phillips Curve

2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Derek Zweig
Keyword(s):  
Interest Rates ◽  
Phillips Curve ◽  
Functional Form ◽  
The United States ◽  
Medium Term ◽  
Natural Rate ◽  
Natural Rate Of Unemployment ◽  
Long Run ◽  
Weak Evidence ◽  
Short Run

We explore the relationship between unemployment and inflation in the United States (1949-2019) through both Bayesian and spectral lenses. We employ Bayesian vector autoregression (“BVAR”) to expose empirical interrelationships between unemployment, inflation, and interest rates. Generally, we do find short-run behavior consistent with the Phillips curve, though it tends to break down over the longer term. Emphasis is also placed on Phelps’ and Friedman’s NAIRU theory using both a simplistic functional form and BVAR. We find weak evidence supporting the NAIRU theory from the simplistic model, but stronger evidence using BVAR. A wavelet analysis reveals that the short-run NAIRU theory and Phillips curve relationships may be time-dependent, while the long-run relationships are essentially vertical, suggesting instead that each relationship is primarily observed over the medium-term (2-10 years), though the economically significant medium-term region has narrowed in recent decades to roughly 4-7 years. We pay homage to Phillips’ original work, using his functional form to compare potential differences in labor bargaining power attributable to labor scarcity, partitioned by skill level (as defined by educational attainment). We find evidence that the wage Phillips curve is more stable for individuals with higher skill and that higher skilled labor may enjoy a lower natural rate of unemployment.

Pension reform with variable retirement age: a simulation analysis for Germany

2012 ◽  
Vol 11 (3) ◽  
pp. 389-417 ◽  
Author(s):  
HANS FEHR ◽  
MANUEL KALLWEIT ◽  
FABIAN KINDERMANN
Keyword(s):  
Demographic Transition ◽  
Simulation Analysis ◽  
Pension Reform ◽  
Retirement Age ◽  
Extensive Margin ◽  
Long Run ◽  
Old Age Poverty ◽  
Simulation Results ◽  
One Year ◽  
Model Features

AbstractThe paper analyzes the recent pension reform in Germany which increases the normal retirement age by two years. The applied simulation model features a realistic demographic transition, distinguishes three skill classes with different life expectancies and allows individuals to choose their labor supply at the intensive and the extensive margin.Our simulation results indicate that under the existing pension rules long-run contribution rates and old-age poverty rates will increase considerably. The proposed rise in the normal retirement age will postpone effective retirement by about one year and redistribute towards future cohorts. A stronger delay in effective retirement may be achieved by raising the actuarial adjustment of benefits.

scholarly journals X-Ray Pulsar Profile Recovery Based on Tracking-Differentiator

2016 ◽  
Vol 2016 ◽  
pp. 1-10 ◽  
Author(s):  
Dapeng Zhang ◽  
Wei Zheng ◽  
Yidi Wang ◽  
Lu Zhang
Keyword(s):  
Simulation Experiment ◽  
Signal To Noise Ratio ◽  
Time Of Arrival ◽  
Signal To Noise ◽  
Important Work ◽  
X Ray ◽  
Tracking Differentiator ◽  
Cascade Structure ◽  
Simulation Results ◽  
Application Requirements

The profile recovery is an important work in X-ray pulsar-based navigation. It is a key step for the analysis on the pulsar signal’s characteristic and the computing of time of arrival (TOA). This paper makes an argument for an algorithm based on the tracking-differentiator (TD) to recover the profile from the low Signal-to-Noise Ratio (SNR) signals. In the method, a TD filter with cascade structure is designed which has very low phase delay and amplitude distortion. In the simulation experiment, two typical pulsars (PSR B0531+21 and PSR B1937+21) are used to verify the algorithm’s performance. The simulation results show that the method satisfies the application requirements in the aspects of SNR and profile fidelity. By processing the data collected by the Rossi X-Ray Timing Explorer (RXTE) satellite in space, similar results can also be achieved.

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