http://hdl.handle.net/2262/39047 2013-06-20T01:57:47Z http://hdl.handle.net/2262/66596 Title: An I(d) model with trend and cycles Abstract: Abstract This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement. 2011-06-14T23:00:00Z http://hdl.handle.net/2262/66595 Title: A class of simple distribution-free rank-based unit root tests Abstract: Abstract We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is guaranteed, irrespective of the actual underlying density, by distribution-freeness. Those tests are locally and asymptotically optimal under a particular asymptotic scheme, for which we provide a complete analysis of asymptotic relative efficiencies. Rather than asymptotic optimality, however, we emphasize finite-sample performances, which, quite heavily, also depend on initial values. It appears that our rank-based tests significantly outperform the traditional Dickey-Fuller tests, as well as the more recent procedures proposed by Elliot, Rothenberg, and Stock (1996), Ng and Perron (2001), and Elliott and Müller (2006), for a broad range of initial values and for heavy-tailed innovation densities. As such, they provide a useful complement to existing techniques. 2011-06-14T23:00:00Z http://hdl.handle.net/2262/66594 Title: Likelihood-based scoring rules for comparing density forecasts in tails Abstract: Abstract We propose new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules can be interpreted in terms of Kullback-Leibler divergence between weighted versions of the density forecast and the true density. Existing scoring rules based on weighted likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Using our novel likelihood-based scoring rules avoids this problem. 2011-06-14T23:00:00Z http://hdl.handle.net/2262/66582 Title: Numerical predictions of the behaviour of soft clay with two anisotropic elastoplastic models Abstract: Abstract The numerical predictions obtained with the Melanie and MIT-E3 models are compared. Firstly, the performance of the constitutive models is checked against undrained triaxial tests. The models are then used to replicate the behaviour of an embankment built on soft clay. The numerical results are compared with the field data in terms of settlements, lateral displacements and excess pore pressures. Additionally, the numerical predictions are also analysed in terms of yield area, contours of vertical effective stresses, horizontal effective stresses and shear stresses and in terms of effective stress paths. 2011-06-02T23:00:00Z http://hdl.handle.net/2262/66581 Title: Numerical Simulation Of Impact Tests On Gfrp Composite Laminates Abstract: Abstract The design of advanced composite structures or components subjected to dynamic loadings requires a deep understanding of the damage and degradation mechanisms occurring within the composite material. The present paper deals with the numerical simulation of low-velocity impact tests on glass fabric/epoxy laminates through the LS-DYNA Finite Element (FE) code. Two laminates of different thickness were subjected to transverse impact at different energy levels and modelled by FE. Solid finite elements combined with orthotropic failure criteria were used to model the composite failure and stress based contact failure between plies were adopted to model the delamination mechanism. The final simulation results showed a good correlation with experimental data in terms of both force-displacement curves and material damage. 2011-06-01T23:00:00Z http://hdl.handle.net/2262/66580 Title: A Numerical Study of the Behaviour and Failure Modes of Axially Compressed Steel Columns Subjected to Transverse Impact Abstract: Abstract In this study a numerical simulation of the behaviour and failure modes of axially compressed steel column subjected to transverse impact by a rigid mass at different impact speeds and locations is presented. Firstly, the capability of the present numerical model to trace the response and to predict different failure modes of transversely impacted beams and columns with and without axial compressive force has been validated. These failure modes include plastic global failure, tensile tearing failure and transverse shear failure. The validation was performed by comparing simulation results in term of the contact force, deformation shape, failure mode and the maximum transverse displacement with available published experimental test results by others. The progressive damage and failure model available in ABAQUS/Explicit has been utilized in the present numerical models to account for material shear and tensile tearing failure under impact. Comparisons between the experimental and simulation results confirmed that the numerical models were able to accurately predict the aforementioned failure modes. Thereafter, a parametric study has been conducted to investigate the effects of several parameters on the response of axially loaded steel column, based on the results of which simplifying assumptions on column behaviour under impact can be made to develop appropriate design calculation methods for steel columns under such loading conditions. 2011-06-01T23:00:00Z http://hdl.handle.net/2262/66579 Title: Search in the product market and the real business cycle Abstract: Abstract Abstract Empirical evidence suggests that most firms operate in imperfectly competitive markets. We develop a search-matching model between wholesalers and retailers. Firms face search costs and form long-term relationships. Price bargain results in both wholesaler and retailer markups, which depend on firms’ relative bargaining power. We simulate the general equilibrium model and explore the role of product market search frictions for business cycles. We conclude from the simulation exercise that incorporating product market search structure and shocks improve the standard real business cycle model to reproduce US business cycle fluctuations. 2011-05-31T23:00:00Z http://hdl.handle.net/2262/66578 Title: Adaptive expectations and cobweb phenomena: does heterogeneity matter? Abstract: Abstract Abstract This paper studies a cobweb-type commodity market characterised by a strictly monotone demand and supply, in which (n) types of firms operate. Types differ in a key parameter governing price expectations which are supposed to be adaptive. The unique steady state of the resulting economic dynamics is characterized in terms of stability and the impact of the number of firms types is studied: to this end the notions of structural and behavioural degree of instability, which are introduced in the paper, prove to be crucial in determining whether stability or instability prevail. The case of market integration is also considered and conditions to have stability (or instability) in terms of the original markets’ parameters are given. The baseline structure is extended in two directions. The first extension assumes the point of view of an authority who is uncertain about the firms types. In this case the structural degree of instability determines how heterogeneity affects the probability of ending up with a stable outcome. The second extension consists in endogenizing the choice of predictors through a discrete choice based evolutionary mechanism. In both cases the amount of the heterogeneity and its possible variations play a critical role in shaping the range of possible long-run outcomes of the model. 2011-05-31T23:00:00Z http://hdl.handle.net/2262/66577 Title: Maximum likelihood estimation for dynamic factor models with missing data Abstract: Abstract This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present. The implementation details of our methods for signal extraction and maximum likelihood estimation are discussed. The computational gains of the new devices are presented based on simulated data sets with varying numbers of missing entries. 2011-05-31T23:00:00Z http://hdl.handle.net/2262/66576 Title: Steady-state growth and the elasticity of substitution Abstract: Abstract In a neoclassical economy with endogenous capital- and labor-augmenting technical change the steady-state growth rate of output per worker is shown to increase in the elasticity of substitution between capital and labor. This confirms the assessment of Klump and de La Grandville (2000) that a greater elasticity of substitution allows for faster of economic growth. However, unlike their findings my result applies to the steady-state growth rate. Moreover, it does not hinge on particular assumptions on how aggregate savings come about. It holds for any household sector allowing savings to grow at the same rate as aggregate output. 2011-05-31T23:00:00Z