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Book part
Publication date: 12 December 2003

Thomas B. Fomby and Timothy J. Vogelsang

We examine the global warming temperature data sets of Jones et al. (1999) and Vinnikov et al. (1994) in the context of the multivariate deterministic trend-testing…

Abstract

We examine the global warming temperature data sets of Jones et al. (1999) and Vinnikov et al. (1994) in the context of the multivariate deterministic trend-testing framework of Franses and Vogelsang (2002). We find that, across all seasons, global warming seems to be present for the globe and for the northern and southern hemispheres. Globally and within hemispheres, it appears that seasons are not warming equally fast. In particular, winters appear to be warming faster than summers. Across hemispheres, it appears that the winters in the northern and southern hemispheres are warming equally fast whereas the remaining seasons appear to have unequal warming rates. The results obtained here seem to coincide with the findings of Kaufmann and Stern (2002) who use cointegration analysis and find that the hemispheres are warming at different rates.

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Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Type: Book
ISBN: 978-1-84950-253-5

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Book part
Publication date: 19 December 2012

Jingjing Yang and Timothy J. Vogelsang

We analyze Lagrange Multiplier (LM) tests for a shift in trend of a univariate time series at an unknown date. We focus on the class of LM statistics based on…

Abstract

We analyze Lagrange Multiplier (LM) tests for a shift in trend of a univariate time series at an unknown date. We focus on the class of LM statistics based on nonparametric kernel estimates of the long run variance. Extending earlier work for models with nontrending data, we develop a fixed-b asymptotic theory for the statistics. The fixed-b theory suggests that, for a given statistic, kernel, and significance level, there usually exists a bandwidth such that the fixed-b asymptotic critical value is the same for both I(0) and I(1) errors. These “robust” bandwidths are calculated using simulation methods for a selection of well-known kernels. We find when the robust bandwidth is used, the supremum statistic configured with either the Bartlett or Daniell kernel gives LM tests with good power. When testing for a slope change, we obtain the surprising finding that less trimming of potential shift dates leads to higher power, which contrasts the usual relationship between trimming and power. Finite sample simulations indicate that the robust LM statistics have stable size with good power.

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Book part
Publication date: 12 December 2003

Timothy J. Vogelsang

This paper proposes a new approach to testing in the generalized method of moments (GMM) framework. The new tests are constructed using heteroskedasticity autocorrelation…

Abstract

This paper proposes a new approach to testing in the generalized method of moments (GMM) framework. The new tests are constructed using heteroskedasticity autocorrelation (HAC) robust standard errors computed using nonparametric spectral density estimators without truncation. While such standard errors are not consistent, a new asymptotic theory shows that they lead to valid tests nonetheless. In an over-identified linear instrumental variables model, simulations suggest that the new tests and the associated limiting distribution theory provide a more accurate first order asymptotic null approximation than both standard nonparametric HAC robust tests and VAR based parametric HAC robust tests. Finite sample power of the new tests is shown to be comparable to standard tests.

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Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Type: Book
ISBN: 978-1-84950-253-5

To view the access options for this content please click here
Book part
Publication date: 12 December 2003

Abstract

Details

Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Type: Book
ISBN: 978-1-84950-253-5

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Book part
Publication date: 19 December 2012

Dek Terrell and Daniel Millimet

The collection of chapters in this 30th volume of Advances in Econometrics provides a well-deserved tribute to Thomas B. Fomby and R. Carter Hill, who have served as…

Abstract

The collection of chapters in this 30th volume of Advances in Econometrics provides a well-deserved tribute to Thomas B. Fomby and R. Carter Hill, who have served as editors of the Advances in Econometrics series for 25 and 21 years, respectively. Volume 30 contains a more varied collection of chapters than previous volumes, in essence mirroring the wide variety of econometric topics covered by the series over 30 years. Volume 30 starts with a chapter discussing the history of this series over the last 30 years. The next five chapters can be broadly categorized as focusing on model specification and testing. Following this section are three contributions that examine instrumental variables models in quite different settings. The next four chapters focus on applied macroeconomics topics. The final chapter offers a practical guide to conducting Monte Carlo simulations.

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30th Anniversary Edition
Type: Book
ISBN: 978-1-78190-309-4

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Book part
Publication date: 19 December 2012

Abstract

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30th Anniversary Edition
Type: Book
ISBN: 978-1-78190-309-4

To view the access options for this content please click here
Book part
Publication date: 12 December 2003

Abstract

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Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Type: Book
ISBN: 978-1-84950-253-5

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Article
Publication date: 1 October 1955

W. Gordon Watson

THE problem of the expansion of a compressible fluid with friction and heat flow is one of great complexity. In this treatment it has been simplified to a one‐dimensional…

Abstract

THE problem of the expansion of a compressible fluid with friction and heat flow is one of great complexity. In this treatment it has been simplified to a one‐dimensional problem and the resulting relationships are thermodynamic. An expansion of this type cannot be described as reversible due to the presence of friction, and from this aspect the analysis may be suspect. However, any practical process is irreversible and it is common practice to apply to such processes an analysis which is theoretically confined to changes which occur reversibly. Thus, although the degree of irreversibility may be greater than usual in this case, there are many precedents for allowing the use of reversible thermodynamics in the analysis of irreversible changes. The relations for the expansion are well known, but the writer believes the analysis and discussion on the choking conditions of a nozzle are more general than anything yet published.

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Aircraft Engineering and Aerospace Technology, vol. 27 no. 10
Type: Research Article
ISSN: 0002-2667

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