Outliers and persistence in threshold autoregressive processes

AbstractThis paper uses Monte Carlo simulations to investigate the effects of outlier observations on the properties of linearity tests against threshold autoregressive (TAR) processes. By considering different specifications and levels of persistence for the data-generating processes, we find that additive outliers distort the size of the test and that the distortion increases with the level of persistence. In addition, we also find that larger additive outliers can help to improve the power of the test in the case of persistent TAR processes.

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Effects of filtering data on testing asymmetry in threshold autoregressive models

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2015-0016 ◽

2016 ◽

Vol 20 (5) ◽

Author(s):

Jing Li

Keyword(s):

Time Series ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Business Cycle ◽

Error Term ◽

Economic Time Series ◽

Threshold Autoregressive ◽

Threshold Autoregression ◽

Power Of The Test ◽

Economic Time

AbstractEmpirical macroeconomic research on business cycle typically filters economic time series in order to obtain cyclical components. This paper examines the effects of filtering data on the test for a linear autoregression against a threshold autoregression. Monte Carlo simulation shows that (1) filtering data in general reduces the power of the test, (2) the power is sensitive to the choice of filters and the specification of the trend and cyclical components, (3) regime-varying variance of the error term can affect the rejection frequency. Empirical evidences for cyclical asymmetry are provided for the quarterly US real GNP.

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Low-voltage EDS of magnesium ferrite Dendrites in a FEG-SEM

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100164854 ◽

1996 ◽

Vol 54 ◽

pp. 478-479

Author(s):

Matthew T. Johnson ◽

Ian M. Anderson ◽

Jim Bentley ◽

C. Barry Carter

Keyword(s):

Monte Carlo ◽

Quantitative Analysis ◽

Monte Carlo Simulations ◽

Cross Section ◽

Spatial Resolution ◽

Low Voltage ◽

Magnesium Ferrite ◽

X Ray ◽

Interaction Volume ◽

Ferrite Spinel

Energy-dispersive X-ray spectrometry (EDS) performed at low (≤ 5 kV) accelerating voltages in the SEM has the potential for providing quantitative microanalytical information with a spatial resolution of ∼100 nm. In the present work, EDS analyses were performed on magnesium ferrite spinel [(MgxFe1−x)Fe2O4] dendrites embedded in a MgO matrix, as shown in Fig. 1. spatial resolution of X-ray microanalysis at conventional accelerating voltages is insufficient for the quantitative analysis of these dendrites, which have widths of the order of a few hundred nanometers, without deconvolution of contributions from the MgO matrix. However, Monte Carlo simulations indicate that the interaction volume for MgFe2O4 is ∼150 nm at 3 kV accelerating voltage and therefore sufficient to analyze the dendrites without matrix contributions.Single-crystal {001}-oriented MgO was reacted with hematite (Fe2O3) powder for 6 h at 1450°C in air and furnace cooled. The specimen was then cleaved to expose a clean cross-section suitable for microanalysis.

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