In this paper, we propose a minimum LM unit root test that endogenously determines a structural break in intercept and trend. Critical values are provided, and size and power properties are compared to the endogenous one-break unit root test of Zivot and Andrews (1992). Nunes, Newbold, and Kuan (1997) and Lee and Strazicich (2001) previously demonstrated that the Zivot and Andrews test exhibits...

The definition of what makes an article interesting varies from user to user and continually evolves even for a single user. As a result, for news recommendation systems, useless document features can not be determined a priori and all features are usually considered for interestingness classification. Consequently, the presence of currently useless features degrades classification performance ...

This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence...

In this paper, a synthesis of the recently advanced Lagrange multiplier (LM)-based tests for the null of no cointegration which account for different patterns of breaks in the cointegrating relationship is provided. The limiting distributions of the test statistics are not only invariant to an intercept break and a break in the cointegrating vector, but are also invariant to a trend break in a ...

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the individual series and then, testing the degree of integration of the residuals from the cointegrating relatio...

This paper deals with a critical assessment and a reestimation of the “non–accelerating inflation rate of unemployment” (NAIRU) for Germany. There are quite a few obstacles to perceiving the NAIRU as an understandable and easy–to–use analytical instrument, suitable for economic policy: the possibility of a non–vertical Phillips curve (e.g. in times of low inflation), the occurrence of shocks an...

This paper considers the bootstrap for the GMM estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. When moment functions are uncorrelated after finite lags, Hall and Horowitz, [1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891–916] showed that errors in the rejection probabilit...

This paper considers the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that the current standard method in econometrics for constructing such confidence intervals has a coverage rate far below nominal levels when breaks are of moderate magnitude. Given that breaks of moderate ma...

X-linked adrenoleukodystrophy (X-ALD) is an inherited neurodegenerative disease that affects approximately 1 in 25 000 males. It is characterized by elevated levels of saturated very long chain fatty acids (VLCFA), i.e., >C22:0, particularly in ganglioside and cholesterol ester fractions of brain white matter and adrenal cortex. Failure of peroxisomal very long chain fatty acyl-CoA synthetase (...

This paper assesses the long-run bilateral trade relations between the US and Mexico. North American Free Trade Agreement (NAFTA) had no additional impacts on import functions. Gradual switching existed even before the agreement became effective. © 2002 Society for Policy Modeling. Published by Elsevier Science Inc. All rights reserved. JEL classification: F13; C22