A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Abstract. Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown number, duration and form. This poses a challenge since improperly modelled breaks can result in a seriously misspecified model. In this paper, we develop a new test for stationarity that approximates the unknown form of structural breaks using a selected frequency component from a Fourier approximation. Our proposed test performs quite well when breaks are gradual, and shows reasonable power. The appropriate use of the test is illustrated by examining real exchange rates in the post‐Bretton Woods period.     

Seasonal Unit Root Tests Under Structural Breaks*

Abstract. In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte‐Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.     

Evaluating Specification Tests for Markov‐Switching Time‐Series Models

Abstract. We evaluate the performance of several specification tests for Markov regime‐switching time‐series models. We consider the Lagrange multiplier (LM) and dynamic specification tests of Hamilton (1996) and Ljung–Box tests based on both the generalized residual and a standard‐normal residual constructed using the Rosenblatt transformation. The size and power of the tests are studied using Monte Carlo experiments. We find that the LM tests have the best size and power properties. The Ljung–Box tests exhibit slight size distortions, though tests based on the Rosenblatt transformation perform better than the generalized residual‐based tests. The tests exhibit impressive power to detect both autocorrelation and autoregressive conditional heteroscedasticity (ARCH). The tests are illustrated with a Markov‐switching generalized ARCH (GARCH) model fitted to the US dollar–British pound exchange rate, with the finding that both autocorrelation and GARCH effects are needed to adequately fit the data.     

Bootstrap Unit‐Root Tests: Comparison and Extensions

Abstract. In this article, we study and compare the properties of several bootstrap unit‐root tests recently proposed in the literature. The tests are Dickey–Fuller (DF) or Augmented DF, based either on residuals from an autoregression and the use of the block bootstrap or on first‐differenced data and the use of the stationary bootstrap or sieve bootstrap. We extend the analysis by interchanging the data transformations (differences vs. residuals), the types of bootstrap and the presence or absence of a correction for autocorrelation in the tests. We show that two sieve bootstrap tests based on residuals remain asymptotically valid. In contrast to the literature which focuses on a comparison of the bootstrap tests with an asymptotic test, we compare the bootstrap tests among themselves using response surfaces for their size and power in a simulation study. This study leads to the following conclusions: (i) augmented DF tests are always preferred to standard DF tests; (ii) the sieve bootstrap performs better than the block bootstrap; (iii) difference‐based tests appear to have slightly better size properties, but residual‐based tests appear more powerful.     

A test for second‐order stationarity of a time series based on the discrete Fourier transform

We consider a zero mean discrete time series, and define its discrete Fourier transform (DFT) at the canonical frequencies. It can be shown that the DFT is asymptotically uncorrelated at the canonical frequencies if and only if the time series is second‐order stationary. Exploiting this important property, we construct a Portmanteau type test statistic for testing stationarity of the time series. It is shown that under the null of stationarity, the test statistic has approximately a chi‐square distribution. To examine the power of the test statistic, the asymptotic distribution under the locally stationary alternative is established. It is shown to be a generalized non‐central chi‐square, where the non‐centrality parameter measures the deviation from stationarity. The test is illustrated with simulations, where is it shown to have good power.     

Recursive adjustment,unit root tests and structural breaks

In this paper, we introduce unit root tests for time series with a potential structural break computed from test regressions in which the deterministic components have been recursively adjusted. We present finite sample critical values as well as Monte Carlo results on the size and power performance of the new procedures, and compare these with other available tests in the literature, such as OLS and quasi‐differenced based tests (see, for instance, Perron, (1997) Perron and Rodriguez, (2003) and Carrion‐i‐Silvestre et al. (2009) ). The small sample behaviour of the tests is evaluated in a known and an unknown break date context allowing for negligible and non‐negligible initial conditions. In the unknown break date case, two break date estimation procedures are considered, one based on the minimum unit root t‐statistic and the other based on the minimum sum of squared residuals obtained from a regression on a set of deterministic variables. The size and power performance of the recursive adjustment based procedure in the unknown break date case is encouraging. A further result of this paper relates to the aditional finite sample evidence on the performance of quasi‐differenced unit root tests, complementing the results in Perron and Rodriguez (2003) .     

Powerful Unit Root Tests Free of Nuisance Parameters

We propose a variance ratio‐type unit root test where the nuisance parameter cancels asymptotically under both the null of a unit root and a local‐to‐unity alternative. Critical values and asymptotic power curves can be computed using standard numerical techniques. Our test exhibits higher power compared with tests that share the virtue of being free of tuning parameters. In fact, the local asymptotic power curves of our procedure get close to the power functions of the point optimal test, where the latter suffers from the drawback of having to correct for a nuisance parameter consistently.     

Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

We derive tests of stationarity for univariate time series by combining change‐point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a general procedure for combining dependent tests based on resampling. After proving the asymptotic validity of the combining procedure under the conjunction of null hypotheses and investigating its consistency, we study rank‐based tests of stationarity by combining cumulative sum change‐point tests based on the contemporary empirical distribution function and on the empirical autocopula at a given lag. Extensions based on tests solely focusing on second‐order characteristics are proposed next. The finite‐sample behaviors of all the derived statistical procedures for assessing stationarity are investigated in large‐scale Monte Carlo experiments, and illustrations on two real datasets are provided. Extensions to multi‐variate time series are briefly discussed as well.     

Implementing Residual‐Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies

We show how different data types (stocks and flows) and temporal aggregation affect the size and power of the dynamic ordinary least squares residual‐based Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test of the null of cointegration. Size may be more effectively controlled by setting the minimum number of leads equal to one – as opposed to zero – when selecting the lag/lead order of the dynamic ordinary least squares regression using aggregated data, but at a cost to power. If high‐frequency data for one or more series are available – that is, the model has mixed sampling frequencies – we show how to effectively utilize the high‐frequency data to increase power while controlling size.     

The power of unit root tests against nonlinear local alternatives

This article extends the analysis of local power of unit root tests in a nonlinear direction by considering local nonlinear alternatives and tests built specifically against stationary nonlinear models. In particular, we focus on the popular test proposed by Kapetanios et al. (2003, Journal of Econometrics 112, 359–379) in comparison to the linear Dickey–Fuller test. To this end, we consider different adjustment schemes for deterministic terms. We provide asymptotic results which imply that the error variance has a severe impact on the behaviour of the tests in the nonlinear case; the reason for such behaviour is the interplay of non‐stationarity and nonlinearity. In particular, we show that nonlinearity of the data generating process can be asymptotically negligible when the error variance is moderate or large (compared to the ‘amount of nonlinearity’), rendering the linear test more powerful than the nonlinear one. Should however the error variance be small, the nonlinear test has better power against local alternatives. We illustrate this in an asymptotic framework of what we call persistent nonlinearity. The theoretical findings of this article explain previous results in the literature obtained by simulation. Furthermore, our own simulation results suggest that the user‐specified adjustment scheme for deterministic components (e.g. OLS, GLS, or recursive adjustment) has a much higher impact on the power of unit root tests than accounting for nonlinearity, at least under local (linear or nonlinear) alternatives.     

基于偏态和峰度的丁胞传热管性能分析

建立含不同参数的正六边形截面丁胞传热管有限元分析模型,仿真研究雷诺数为5000～40000时丁胞组合类型、深度和直径对传热管中流体流动及传热性能的影响.此外,采用离散方法计算并分析丁胞参数对传热管表面偏态和峰度的影响.最终基于丁胞参数对偏态和峰度的影响规律对丁胞传热管的性能进行分析.研究结果表明,凹坑或凸起丁胞通过增强...     

C_(8-12)烯基琥珀酸酐合成机理的研究

链式烯基琥珀酸酐因其含有碳碳双键和羧酸酐基,即亲水又亲油,可以合成多种衍生物,是一种重要的精细化学品中间体。文中阐述了高压下用顺丁烯二酸酐(又称马来酸酐,简称MA)和C8-12烯合成C8-12烯基琥珀酸酐的合成机理。     

Local power of likelihood‐based tests for cointegrating rank: Comparative analysis of full and partial systems

This note investigates local power properties of likelihood‐based cointegrating rank tests for partial and full vector autoregressive systems. The asymptotic distributions of partial likelihood‐based tests under local alternatives are derived, depending on various specifications of deterministic terms. A simulation study is then performed using both the full and partial systems. It is demonstrated that the rank tests based on the partial system, if a required parametric condition is fulfilled, can be more powerful than those based on the full system. This finding encourages testing cointegrating rank using a partial system as well as a full system, in such circumstances as the parametric condition could be satisfied.     

高铝硫比硫铝酸盐水泥熟料矿物烧成研究

在铝硫比为3.8-4.6的范围内,研究了其对硫铝酸盐水泥熟料矿物烧成的影响,确定了不同铝硫比熟料的烧成温度范围,采用XRD、SEM等分析测试方法分析了熟料矿物组成和形貌,测定了水泥的力学性能。结果表明：铝硫比增大会使烧成温度升高,铝硫比增大到4.6时,烧成温度上限达到1425℃;铝硫比越大,C4A3S实际含量与设计含量越接近;通过测定制备的熟料化学成分,求得当熟料的矿物组成为60%-70%的C4A3S、15%-20%的C2S、5%左右的C12A7以及少量的C4AF时,所配水泥具有良好的早强性能和较高的抗折强度。     

The effect of antimicrobial peptide HX-12C on the properties of chitosan/polyacrylic acid hydrogel

Antimicrobial peptide (AMP) hydrogel is a novel biomaterial widely used in wound healing. However, there have been limited studies investigating the effect of AMP on hydrogel properties so far. Therefore, this study aimed to examine the influence of the AMP HX-12C on the chitosan/polyacrylic acid (CS/PAA) double-network (DN) hydrogel. The results showed that the mechanical properties of CS/PAA/HX-12C hydrogel are significantly improved compared with those of CS/PAA hydrogel. The maximum tensile stress increased from 41.0 to 258.5 KPa, and the compression stress required for 80% hydrogel deformation increased from 3.7 to 6.7 MPa. Furthermore, the thermal stability of CS/PAA/HX-12C showed a noticeable enhancement when compared with CS/PAA hydrogel. In addition, the CS/PAA/HX-12C hydrogel exhibited improved porosity and swelling performance. The addition of HX-12C significantly enhanced the antibacterial activity of the hydrogel against Escherichia coli and methicillin-resistant Staphylococcus aureus. Cytotoxicity test showed that the viability of L929 cell remained above 90% after treatment with CS/PAA/HX-12C hydrogel extract, indicating the good biocompatibility. In conclusion, AMP assuredly enhances the mechanical property, swelling performance and antimicrobial activity of hydrogel. The CS/PAA/HX-12C hydrogel shows potential for use as anti-infective medical material.     

钢渣对水泥性能的不利影响分析与改进

我公司下属企业使用钢渣作混合材试验时,发现部分钢渣会导致水泥速凝、速干和强度下降等问题。分析导致其原因为该类钢渣含有较高含量的七铝酸十二钙（C12A7）,其水化速度快,当钢渣掺量较高时导致水泥水化过快和性能发生较大变化。通过提高石膏掺量可一定程度改善其造成水泥性能的负面影响,强度明显提高,但水泥稠度和流动性能改善有限。因此,该类钢渣质量需加以监控,不建议在对工作性能要求较高的水泥中使用,可考虑在对早强快凝需求的情况匹配适宜的石膏掺量使用。     

非晶态C12A7矿物对水泥早期凝结硬化的影响及作用机理

非晶态C12A7具有更高的、亚稳态化学能,具有较快的水化速率,少量的存在能够加速水泥的凝结硬化.本试验研究非晶态C12A7矿物对普通硅酸盐水泥(OPC)的性能影响,重点探究了C12A7与OPC中SO3的比例在0~2.0时,对OPC的凝结时间、流动度、早期抗压强度等性能的影响,并通过灰色关联度法进行C12A7/SO3优选,对最优比例试样采用水化放热、XRD、SEM等表征手段分析其微观机理.结果表明:非晶态C12A7的掺入能够加速OPC的凝结硬化并降低其流动度;不同的C12A7/SO3对OPC胶砂早期强度的贡献程度分别不同,C12A7/SO3为0.4时能够显著优化OPC的早期性能;C12A7的掺入能够加速OPC中C3S、C2S的水解,反应生成的钙矾石、C-S-H凝胶及氢氧化钙等水化产物胶结在一起,从而起到早强作用.     

葡萄糖的含量对LiFePO_4性能的影响

以葡萄糖为表面活性剂,采用水热法制备LiFePO4正极材料,并且考察了葡萄糖加入量对LiFePO4正极材料性能的影响。用XRD、SEM及电池测试系统对LiFePO4材料进行了研究。结果表明:葡萄糖不仅能够有效的对颗粒进行分散;而且还能够在高温高压下,裂解为碳,提高了材料的比容量;当葡萄糖含量为4%时在0.1C倍率下放电容量达到129.7mAh/g,体现良好的倍率放电特性。     

基于Fluent软件数值分析新型旋风筒气固两相流场

采用Fluent软件模拟一具有倾斜顶板、过渡性蜗壳、偏心内筒和倾斜出口的旋风筒的气相流场及颗粒运行轨迹。模拟过程中气体的湍流流动采用RNG k-ε数学模型,生料的颗粒运动采用颗粒随机轨道模型。结果表明：该旋风筒有强涡旋流动,中心区域明显有一气芯柱,近似为入口处速度的2倍;切向速度分布为不对称的驼峰型;蜗壳部位有径向速度分布;该结构更有利于颗粒的气固分离。