Testing the Null of Co‐integration in the Presence of Variance Breaks

Abstract. We show that changes in the innovation covariance matrix of a vector of series can generate spurious rejections of the null hypothesis of co‐integration when applying standard residual‐based co‐integration tests. A bootstrap solution to the inference problem is suggested which is shown to perform well in practice, redressing the size problems associated with the standard test but not losing power relative to the standard test under the alternative.     

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.     

Testing for co‐integration and nonlinear adjustment in a smooth transition error correction model

This article introduces a testing procedure for cointegration and nonlinear adjustment in a smooth transition vector error correction model. To overcome the unidentified parameters problem under the null of no‐cointegration, the Wald statistic is optimized over the unidentified parameter space. The asymptotic distribution of the test statistic is shown to be non‐standard but nuisance parameter‐free and hence critical values are obtained by simulations, Simulations show that the proposed test outperforms the alternatives in small sample sizes both in terms of size and power. Application to the exchange rate‐monetary fundamentals relationship show that the proposed test works considerably well. This article also finds that nonlinear adjustment dynamics are symmetric for some currencies and therefore the speed of adjustment depends on the size of the deviations and is asymmetric for others, hence, the adjustment dynamics depend not only on the size but also on the sign of the deviations.     

Fractional integration and structural breaks at unknown periods of time

Abstract. This article deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub‐samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least squares estimation. Several Monte Carlo experiments conducted across the study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.     

Testing for a unit root under errors with just barely infinite variance

Abstract. This article investigates the problem of testing for a unit root in the case that the error, {u_t}, of the model is a strictly stationary, mixing process with just barely infinite variance. Such errors have the property that for every δ such that 0 ≤ δ < 2, the moments E|u_t|^δ are finite. Under some additional restrictions on the rate of decay of the mixing rates, these errors belong to the domain of the non‐normal attraction of the normal law and obey the invariance principle. This in turn implies that there might be conditions under which the usual Phillips‐type test statistics for unit roots may still converge to the corresponding Dickey–Fuller distributions. In such a case, the unit‐root hypothesis can be tested within an infinite‐variance framework without any modifications to either the tests themselves or the critical values employed. This article derives a necessary and sufficient condition for convergence of the standard test statistics to the Dickey–Fuller distributions. By means of Monte Carlo simulations, the article also shows that this condition is likely to hold in the case that {u_t} is a serially correlated, integrated generalized autoregressive conditionally heteroskedastic (IGARCH) process and the standard unit‐root tests work well.     

Local Whittle estimation of the memory parameter in presence of deterministic components

We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time‐varying deterministic trend or by a break in the mean. We show that in some cases the estimate may still be consistent and asymptotically normally distributed even when the order of magnitude of the spectral density of the fractional process does not dominate the one of the periodogram of the contaminating term. If trimming is introduced, stronger deterministic components may be neglected. The performance of the estimate in small samples is studied in a Monte Carlo experiment.     

Estimation of the long‐memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short‐memory models, can be used to estimate the long‐memory stochastic volatility model parameters in the presence of additive low‐frequency contamination in log‐squared returns. The types of low‐frequency contamination covered include level shifts as well as deterministic trends. I establish consistency and asymptotic normality in the presence or absence of such low‐frequency contamination under certain conditions on the growth rate of the trimming parameter. I also provide theoretical guidance on the choice of trimming parameter by heuristically obtaining its asymptotic MSE‐optimal rate under certain types of low‐frequency contamination. A simulation study examines the finite sample properties of the robust estimator, showing substantial gains from its use in the presence of level shifts. The finite sample analysis also explores how different levels of trimming affect the parameter estimates in the presence and absence of low‐frequency contamination and long‐memory.     

Testing for structural change of AR model to threshold AR model

The purpose of this article is to develop the likelihood ratio test for the structural change of an AR model to a threshold AR model. It is shown that the log‐likelihood ratio test converges to the maxima of a two‐parameter Gaussian process in distribution. This limiting distribution is novel and we tabulate the critical values. Some simulations are carried out to examine the finite‐sample performance of this test statistic. This article also includes a weak convergence of a two‐parameter marked empirical process, which is of independent interest.     

The impact of the initial condition on robust tests for a linear trend

This article examines the behaviour of some recently proposed ‘robust’ (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non‐negligible. We demonstrate that the asymptotic size and/or local power properties of these tests are extremely sensitive to the initial condition. Straightforward modifications to the trend tests are suggested, based on the use of trimmed data, which are shown to help reduce this sensitivity.     

代替水压试验的涡流检测

应用涡流检测技术,对换热管进行入厂检验,代替弯管的水压试验,减少人力,物力的湖水。     

Two-sample two-stage and purely sequential methodologies for tests of hypotheses with applications: comparing normal means when the two variances are unknown and unequal

In this paper, we develop appropriate sampling methodologies for testing hypotheses regarding the difference of mean values from two independent (or dependent) normal populations when their variances are unknown and unequal. We design two-stage and purely sequential testing methodologies of hypotheses for comparing the unknown means by determining the appropriate sample sizes while controlling both type-I and type-II error probabilities at or below preassigned levels α, β respectively. Such methodologies are constructed under both unequal and equal sample size designs. We prove that both two-stage and purely sequential testing strategies enjoy a number of practically appealing properties. Extensive sets of computer simulations and real data analyses empirically validate our theoretical findings.     

固体散状物料的常用物性及测试方法

作者通过使用日本清新粉体MT-1000多功能粉体物性测试仪,结合在气力输送、仓贮、除尘等领域的科研开发实践中的认识体会,介绍贮运过程中固体散料的常用物性和实用测试方法.由于篇幅所限,测试方法只能提纲携领地介绍,不再赘述详细的操作步骤.     

Test for the null hypothesis of cointegration with reduced size distortion

Abstract. This article considers a single‐equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual‐based test, and show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation to investigate the finite sample properties of the tests and show that the LBIU test outperforms the residual‐based test in terms of both size and power. The advantage of the LBIU test is particularly patent when the error is highly autocorrelated. Furthermore, we point out that finite sample performance of existing tests is largely affected by the initial value condition while our tests are immune to it. We propose a simple transformation of data that resolves the problem in the existing tests.     

储罐声发射检测的研究现状

简要分析了储罐检测技术的现状,介绍以声发射技术为主的几种先进检测技术,以用在我国大型储罐的全面检测,最后讨论了声发射检测技术在储罐检测的发展趋势.     

聚氨酯硬泡物理性能测试浅谈

对在硬质聚氨酯泡沫塑料的密度、压缩强度和尺寸稳定性测试中容易混淆的概念和应注意的一些问题进行了讨论。     

Testing Method for the Johnson–Mehl–Avrami Equation in Kinetic Analysis of Crystallization Processes

The kinetics of crystallization processes in solids are usually described by the Johnson–Mehl–Avrami equation. One of the most popular methods to test the applicability of this equation is based on a double logarithmic plot of fraction crystallized (α). However, such plot is not very sensitive to small changes in α, and its reliability is rather limited. A simple and convenient testing method based on rate data (dα/d t ) is proposed. The method can be applied to virtually any type of kinetic data obtained under isothermal or nonisothermal conditions.     

等温过程吉布斯函数变化计算公式的另一种推导方法

本文从吉布斯函数的定义式中学生最为熟悉的G=H-TS出发,推导了封闭系统经过等温且非体积功等于零的过程时,其吉布斯函数变化的计算公式,并进一步明确了等温过程吉布斯函数变化每个计算公式的适用条件,从而为教师的备课和学生的自学理清了脉络。教学实践表明:取得了较好的教学效果。     

纺织品pH值计算机辅助测试系统的研究

纺织品与人类生活息息相关,纺织品的pH值指标影响着人体的健康,为此用于规范上述指标,因此准确、快速的检测纺织品pH值具有十分重要的意义。而传统人工记录原始记录的方法具有耗时长、出错率高、浪费宝贵纸资源等缺点,本课题研究成功的纺织品pH计算机辅助测试系统利用VB与数据库技术实现了整个试验操作过程计算机化,经运行后显示：本系统提高了pH值试验的测试效率,减少了报告差错率,实现了无纸化记录,减轻了检测工程师的劳动强度。     

数值试井解释分析软件中的网格选择

本文从数值试井中应用的混合网格技术出发,简单介绍了可变网格技术。通过使用三种混合网格体系,即均匀六边形网格与径向网格、均匀四边形网格与径向网格和可变peb i网格与径向网格组合的混合网格对数值试井计算效率和结果的对比,说明不同混合网格体系的适用性。     

假设检验在尿素单包平均净重分析中的应用

介绍应用假设检验对尿素单包平均净重进行判定的方法和步骤，并归纳介绍了假设检验的适用场合以及如何进行统计量的选择。