simple and powerful gmm over identification tests with accurate size abstract based on the series long run variance estimator we propose a new class of over identification tests that are robust to heteroscedasticity and autocorrelation of unknown forms we show that when the number of terms used in the series long run variance estimator is fixed the conventional j statistic after a simple correction is asymptotically f distributed we apply the idea of the f approximation to the conventional kernel based j tests simulations show that the j tests based on the finite sample corrected j statistic and the f approximation have virtually no size distortion and yet are as powerful as the standard j tests

on stability and h control of switched systems with random switching signals abstract in this paper the stability analysis and h control problems for a class of continuous time switched systems with a random switching signal are addressed the dwell time of the switched systems is characterized with a fixed part and a random part a new stability criterion which is equivalent to a necessary and sufficient condition developed previously is established first and then it is reformulated in terms of linear matrix inequalities based on the stability analysis result l 2 gain performance analysis and h control problems are studied several numerical examples are given to illustrate the effectiveness of our results

stability and stabilization of periodic piecewise linear systems a matrix polynomial approach abstract in this paper new conditions of stability and stabilization are proposed for periodic piecewise linear systems a continuous lyapunov function is constructed with a time dependent homogeneous lyapunov matrix polynomial the exponential stability problem is studied first using square matricial representation and sum of squares form of homogeneous matrix polynomial constraints on the exponential order of each subsystem used in previous work are relaxed state feedback controllers with time varying polynomial controller gain are designed to stabilize an unstable periodic piecewise system the proposed stabilizing controller can be solved directly and effectively which is applicable to more general situations than those previously covered numerical examples are given to illustrate the effectiveness of the proposed method

stabilization of switched continuous time systems with all modes unstable via dwell time switching stabilization of switched systems composed fully of unstable subsystems is one of the most challenging problems in the field of switched systems in this brief paper a sufficient condition ensuring the asymptotic stability of switched continuous time systems with all modes unstable is proposed the main idea is to exploit the stabilization property of switching behaviors to compensate the state divergence made by unstable modes then by using a discretized lyapunov function approach a computable sufficient condition for switched linear systems is proposed in the framework of dwell time it is shown that the time intervals between two successive switching instants are required to be confined by a pair of upper and lower bounds to guarantee the asymptotic stability based on derived results an algorithm is proposed to compute the stability region of admissible dwell time a numerical example is proposed to illustrate our approach

stability and stabilization of switched linear systems with mode dependent average dwell time in this paper the stability and stabilization problems for a class of switched linear systems with mode dependent average dwell time mdadt are investigated in both continuous time and discrete time contexts the proposed switching law is more applicable in practice than the average dwell time adt switching in which each mode in the underlying system has its own adt the stability criteria for switched systems with mdadt in nonlinear setting are firstly derived by which the conditions for stability and stabilization for linear systems are also presented a numerical example is given to show the validity and potential of the developed techniques

stability and l1 gain analysis of linear periodic piecewise positive systems this paper investigates the stability stabilization and l1 gain of linear periodic piecewise positive systems the monotonicity of linear periodic piecewise positive systems is first studied then a time varying co positive lyapunov function for periodic piecewise positive systems is employed and a sufficient condition for the asymptotic stability of the system is established based on the provided co positive lyapunov function and the sufficient stability condition a state feedback periodic piecewise controller to stabilize the system is formed and an upper bound of l1 gain of the system is given finally numerical examples are given to illustrate the theoretical results

nonconservative lifted convex conditions for stability of discrete time switched systems under minimum dwell time constraint in this note a novel conception called virtual clock which is defined by an artificial timer over a finite cycle is introduced for stability analysis of discrete time switched linear systems under minimum dwell time constraint two necessary and sufficient conditions associated with a virtual clock with a sufficient length are proposed to ensure the global uniform asymptotic stability of discrete time switched linear systems for the two nonconservative stability criteria the lifted version maintains the convexity in system matrices based on the lifted convex conditions the extensions to ell 2 gain computation and mathcal h infty control problems are presented in the sequel in particular a novel virtual clock dependent controller is designed which outperforms the traditional mode dependent and common gain controllers several numerical examples are provided to illustrate our theoretic results

powerful tests for structural changes in volatility abstract detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence we propose modified cusum and lm tests that are built on a robust estimator of the long run variance of squared series we establish conditions under which the new tests have standard null distributions and diverge faster than standard tests under the alternative the theory allows smooth and abrupt structural changes that can be small the smoothing parameter is automatically selected such that the proposed test has good finite sample size and meanwhile achieves decent power gain

simulated method of moments estimation for copula based multivariate models this article considers the estimation of the parameters of a copula via a simulated method of moments mm type approach this approach is attractive when the likelihood of the copula model is not known in closed form or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest the proposed approach naturally also nests mm and generalized method of moments estimators drawing on results for simulation based estimation and on recent work in empirical copula process theory we show the consistency and asymptotic normality of the proposed estimator and obtain a simple test of overidentifying restrictions as a specification test the results apply to both iid and time series data we analyze the finite sample behavior of these estimators in an extensive simulation study we apply the model to a group of seven financial stock returns and find evidence of statistically significant tail dependence and mild evidence that the dependence between thes

stability stabilization and l 2 gain analysis of periodic piecewise linear systems in this paper the stability stabilization and l 2 gain problems are investigated for periodic piecewise linear systems in which not all subsystems are hurwitz first some sufficient and necessary conditions for the exponential stability are established by employing a discontinuous lyapunov function with time varying lyapunov matrix stabilization and l 2 gain conditions of periodic piecewise linear systems are proposed by allowing the corresponding lyapunov function to be possibly non monotonically decreasing over a period a state feedback periodic piecewise controller is developed to stabilize the system and the corresponding algorithm is proposed to compute the controller gain the l 2 gain criteria with continuous time varying lyapunov matrix and piecewise constant lyapunov matrices are studied as well numerical examples are given to show the validity of the proposed techniques

consistent moment selection procedures for generalized method of moments estimation this paper considers a generalized method of moments gmm estimation problem in which one has a vector of moment conditions some of which are correct and some incorrect the paper introduces several procedures for consistently selecting the correct moment conditions the procedures also can consistently determine whether there is a sufficient number of correct moment conditions to identify the unknown parameters of interest the paper specifies moment selection criteria that are gmm analogues of the widely used bic and aic model selection criteria the latter is not consistent the paper also considers downward and upward testing procedures all of the moment selection procedures discussed in this paper are based on the minimized values of the gmm criterion function for different vectors of moment conditions the procedures are applicable in time series and cross sectional contexts application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables

stability analysis of continuous time switched systems with a random switching signal this technical note is concerned with the stability analysis of continuous time switched systems with a random switching signal the switching signal manifests its characteristics with that the dwell time in each subsystem consists of a fixed part and a random part the stochastic stability of such switched systems is studied using a lyapunov approach a necessary and sufficient condition is established in terms of linear matrix inequalities the effect of the random switching signal on system stability is illustrated by a numerical example and the results coincide with our intuition

technical communique static output feedback stabilization an ilmi approach in this note the static output feedback stabilization problem is addressed using the linear matrix inequality technique a necessary and sufficient condition for static output feedback stabilizability for linear time invariant systems is derived in the form of a matrix inequality the extension of the result to h control is studied an iterative lmi ilmi algorithm is proposed to compute the feedback gain numerical examples are employed to demonstrate the effectiveness and the convergence of the algorithm

integral input to state stability for hybrid delayed systems with unstable continuous dynamics this paper considers integral input to state stability iiss for a class of hybrid time delay systems discrete dynamics includes impulsive and switching signals and continuous dynamics is not necessarily stable based on multiple lyapunov krasovskii functionals a dwell time bound is explicitly given to guarantee iiss of the hybrid delayed system compared with existing results on related problems the obtained stability criteria can be applied to a larger class of hybrid delayed systems moreover the obtained dwell time bound is less conservative than existing ones at last an example related to networked control systems ncss is provided to illustrate the effectiveness of the proposed result

asymptotic refinements of a misspecification robust bootstrap for generalized method of moments estimators i propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on gmm estimators even when the model is misspecified in addition my bootstrap does not require recentering the moment function which has been considered as critical for gmm regardless of model misspecification the proposed bootstrap achieves the same sharp magnitude of refinements as the conventional bootstrap methods which establish asymptotic refinements by recentering in the absence of misspecification the key idea is to link the misspecified bootstrap moment condition to the large sample theory of gmm under misspecification of hall and inoue 2003 two examples are provided combining data sets and invalid instrumental variables

covariance matrix estimation and the power of the overidentifying restrictions test class of heteroscedasticity and autocorrelation consistent covariance hacc matrix estimators that are now routinely used by practitioners in the calculation of the two step gmm estimator in applications it is customary to assume the model is correctly specified during the estimation and only to assess the specification after the second step using a statistic such as the overidentifying restrictions test one important consequence of this methodology is that the hacc estimator is calculated under the assumption that the model is correctly specified in this paper we examine the implications of model misspecification for the hacc covariance matrix estimator and the overidentifying restrictions test it is shown that the hacc estimator is asymptotically equivalent to the sum of two matrices one of these matrices is nonsingular and o 1 the other is of rank one and ob where b is the tt bandwidth used in the hacc estimator it is shown that this structure implies the inverse of the hacc estimator converges to a singular matrix as b with t and this t limiting matrix has rank q y 1 where q is the dimension of the moment condition it is shown that this limiting behavior translates into an overidentifying restrictions test that is ot rb in contrast it is shown that the overidentifying restrictions test is consistent pt and ot if the covariance matrix estimator is consistent under both null and alterna p tive this can be achieved by constructing the hacc estimator using the sample moment in mean deviation form 3

spanning tests in return and stochastic discount factor mean variance frontiers a unifying approach abstract we propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios we prove their asymptotic equivalence to existing tests under local alternatives we also show that unlike two step or iterated procedures single step methods such as continuously updated gmm yield numerically identical overidentifying restrictions test so there is arguably a single spanning test to prove these results we extend optimal gmm inference to deal with singularities in the long run second moment matrix of the influence functions finally we test for spanning using size and book to market sorted us stock portfolios

simple and trustworthy cluster robust gmm inference abstract this paper develops a new asymptotic theory for gmm estimation and inference in the presence of clustered dependence the key feature of our alternative asymptotics is that the number of clusters g is regarded as fixed as the sample size increases under the fixed g asymptotics we show that the wald and t tests in two step gmm are asymptotically pivotal only if we recenter the estimated moment process in the clustered covariance estimator cce also the j statistic the trinity of two step gmm statistics qlr lm and wald and the t statistic can be modified to have an asymptotic standard f distribution or t distribution we suggest a finite sample variance correction to further improve the accuracy of the f and t approximations the proposed tests are very appealing to practitioners because the test statistics are simple modifications of conventional gmm test statistics and critical values are readily available from f and t tables no further simulations or resampling methods are needed a monte carlo study shows that our proposed tests are more accurate than the conventional large g asymptotic inferences

new results on stability of slowly switched systems a multiple discontinuous lyapunov function approach in this technical note the problem of stability for a class of slowly switched systems is investigated by developing a novel multiple discontinuous lyapunov function approach and exploring the feature of mode dependent dwell time switching new stability conditions are established for systems with a designed switching strategy where fast switching and slow switching are respectively applied to unstable and stable subsystems in particular stability conditions for linear switched systems are also given via choosing multiple discontinuous lyapunov functions in the quadratic form moreover stability criteria for the systems consisting of stable subsystems are also derived it is shown that our proposed results cover some existing ones in literature as special cases and provide tighter bounds on the dwell time finally some simulation results are provided to show the advantages of the theoretic results obtained

empirical reverse engineering of the pricing kernel abstract this paper proposes an econometric procedure that allows the estimation of the pricing kernel without either any assumptions about the investors preferences or the use of the consumption data we propose a model of equity price dynamics that allows for i simultaneous consideration of multiple stock prices ii analytical formulas for derivatives such as futures options and bonds and iii a realistic description of all of these assets the analytical specification of the model allows us to infer the dynamics of the pricing kernel the model calibrated to a comprehensive dataset including the s p 500 index individual equities t bills and gold futures yields the conditional filter of the unobservable pricing kernel as a result we obtain the estimate of the kernel that is positive almost surely i e precludes arbitrage consistent with the equity risk premium the risk free discounting and with the observed asset prices by construction the pricing kernel estimate involves a highly nonlinear function of the contemporaneous and lagged returns on the s p 500 index this contradicts typical implementations of capm that use a linear function of the market proxy return as the pricing kernel hence the s p 500 index does not have to coincide with the market portfolio if it is used in conjunction with nonlinear asset pricing models we also find that our best estimate of the pricing kernel is not consistent with the standard time separable utilities but potentially could be cast into the stochastic habit formation framework of campbell and cochrane j political economy 107 1999 205