Estimation for nearly unit root processes with GARCH errors

In this paper the limiting distribution of the least square estimate for the autoregressive coefficient of a nearly unit root model with GARCH errors is derived. Since the limiting distribution depends on the unknown variance of the errors, an empirical likelihood ratio statistic is proposed from which confidence intervals can be constructed for the nearly unit root model without knowing the variance. To gain an intuitive sense for the empirical likelihood ratio, a small simulation for the asymptotic distribution is given.

A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors

In this article, the unit root test for AR（p） model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums, and the asymptotic distribution of the test statistics is derived under the weak conditions.

Characterizing the Urban Temperature Trend Using Seasonal Unit Root Analysis:Hong Kong from 1970 to 2015

This paper explores urban temperature in Hong Kong using long-term time series. In particular, the characterization of the urban temperature trend was investigated using the seasonal unit root analysis of monthly mean air temperature data over the period January 1970 to December 2013. The seasonal unit root test makes it possible to determine the stochastic trend of monthly temperatures using an autoregressive model. The test results showed that mean air temperature has increased by 0.169~ C （10 yr） - 1 over the past four decades. The model of monthly temperature obtained from the seasonal unit root analysis was able to explain 95.9% of the variance in the measured monthly data -- much higher than the variance explained by the ordinary least-squares model using annual mean air temperature data and other studies alike. The model accurately predicted monthly mean air temperatures between January 2014 and December 2015 with a root-mean-square percentage error of 4.2%. The correlation between the predicted and the measured monthly mean air temperatures was 0.989. By analyzing the monthly air temperatures recorded at an urban site and a rural site, it was found that the urban heat island effect led to the urban site being on average 0.865~C warmer than the rural site over the past two decades. Besides, the results of correlation analysis showed that the increase in annual mean air temperature was significantly associated with the increase in population, gross domestic product, urban land use, and energy use, with the R2 values ranging from 0.37 to 0.43.

Is There Hysteresis in Unemployment in OECD Countries？ Evidence From Panel Unit Root Test With Structural Breaks

This study tests the hysteresis hypothesis of unemployment in fifteen OECD countries by using panel unit root tests which allow for structural breaks. We apply annual unemployment rates covering 1985-2008 periods. We test whether unemployment rates are stationary by using second generation tests which allow cross section dependency among series and panel unit root test based on structural break advanced by Carrion-i-Silvestre, Barrio-Castro and Lopez-Bazo （2005）. We find series as a stationary process with structural breaks according to Carrion-i Silvestre et al. （2005） test, while we find series as unit root process with second generation panel unit root test. According to the Carrion-i Silvestre et al. （2005） test, we find the evidence of absence of hysteresis in analyzed countries. As a result, temporary shocks have temporary effects on unemployment instead of permanent effect. Structural factors can affect the natural rate of unemployment and, therefore, unemployment would be stationary around a process that is subject to structural breaks. So, there still exists a unique natural rate of unemployment to which the economy eventually will converge.

Unit Root Analysis of Traffic Time Series in Toll Highways

Concession contracts in highways often include some kind of clauses （for example, a minimum traffic guarantee） that allow for better management of the business risks. The value of these clauses may be important and should be added to the total value of the concession. However, in these cases, traditional valuation techniques, like the NPV （net present value） of the project, are insufficient. An alternative methodology for the valuation of highway concession is one based on the real options approach. This methodology is generally built on the assumption of the evolution of traffic volume as a GBM （geometric Brownian motion）, which is the hypothesis analyzed in this paper. First, a description of the methodology used for the analysis of the existence of unit roots （i.e., the hypothesis of non-stationarity） is provided. The Dickey-Fuller approach has been used, which is the most common test for this kind of analysis. Then this methodology is applied to perform a statistical analysis of traffic series in Spanish toll highways. For this purpose, data on the AADT （annual average daily traffic） on a set of highways have been used. The period of analysis is around thirty years in most cases. The main outcome of the research is that the hypothesis that traffic volume follows a GBM process in Spanish toll highways cannot be rejected. This result is robust, and therefore it can be used as a starting point for the application of the real options theory to assess toll highway concessions.

A Unit Root Test for an AR(1)Process with AR Errors by Using Random Weighted Bootstrap

A great deal of economic problems are related to detecting the stability of time series data,where the main interest is in the unit root test.In this paper,we consider the unit root testing problem with errors being long-memory processes with the LARCH structure.A new test statistic is developed by using the random weighted bootstrap method.It turns out that the proposed statistic has a chisquared distribution asymptotically regardless of the process being stationary or nonst at ionary,and with or without an intercept term.The simulation results show that the statistic has a desired finite sample performance in terms of both size and power.A real data application is also given relying on the inflation rate data of 17 countries.

新型大排量高压比离心真空机组研制

随着大型真空系统对真空抽吸设备抽吸效率的要求不断提高,传统罗茨真空机组因抽气能力局限性已难以满足应用需求。本文将大排量、宽压力、高转速离心真空泵应用于大型高真空系统,研制出一种离心真空泵+罗茨真空泵+水环真空泵串联运行的新型复合离心真空机组,重点介绍了离心真空机组的构成和研制过程,并测试了其极限性能和负载。结果表明:该机组排气量,极限压力和运行稳定性均满足设计指标要求,具有占地面积小、运行效率高、抽气能力强等特点,是目前大型高真空系统最佳抽气解决方案。

基层新设备“五辨三定”风险辨识法

控制第一类危险源、消除第二类危险源是风险防控的根本所在。为帮助油田油气生产基层单位对新设备、新装置应用的风险辨识和评估提供了一种可借鉴的方法,给出了相应的风险辨识和防控措施制定的方向,核心在于为基层辨识风险提供一种简单明了的模板。该方法以设备本体、动力源、处理介质、操作过程、检修作业为主线,来指导操作员工辨识设备设施和操作过程风险,明确了辨识步骤、提供了措施方向。可供已有设备设施的风险辨识和评估借鉴。

基于Root-MUSIC和Prony算法的电压闪变检测

电压闪变是电能质量的一个重要指标.为实现对电压闪变参数的准确测量,提出基于求根多重信号分类法和Prony算法的闪变参数检测方法.先对信号数据组成的矩阵进行特征值分解,得出信号子空间和噪声子空间,利用他们的相互正交关系通过单位圆上的根估计频率大小,同时利用Prony算法中的最小二乘法求得幅值信息.Matlab仿真结果表明该方法在低信噪比下利用Root-MUSIC法能准确检测频率,并结合最小二乘法在小样本数据上的优势,有效提高了幅值检测的准确度.

单位根KPSS检验趋势项检验量的改进

为完善KPSS检验流程,借鉴单位根右侧检验理论,将递归估计方法引入KPSS趋势项检验中,构造两种递归估计上确界趋势项检验量和一种非递归估计趋势项检验量。理论研究表明,所有趋势项检验量在大样本下都收敛于维纳过程的泛函,但与已有检验量的分布不同,需要重新模拟以获取临界值。蒙特卡洛模拟显示,和非递归估计趋势项检验量相比,递归估计上确界趋势项检验量具有满意的检验水平,但临界值更大。在三种突变结构模型中,所有检验量在全局结构突变模型中检验功效最高,且符合理论研究结果。在三种检验量中,狭义递归估计趋势项检验量检验功效总体占优,说明递归估计上确界趋势项检验量具有优越性。

Ng-Perron单位根检验在径流序列非平稳性分析中的应用

在全球气候变化和高强度人类活动的共同影响下,许多流域天然水循环过程受到破坏。径流序列呈现明显的非平稳特性,给水资源规划、管理、预测和调控带来一定的挑战。揭示径流序列的非平稳特性可以有效应对全球气候变化下的复杂水问题,对降低水文分析难度和提高径流预测精度具有十分重要的意义。研究以汾河上游兰村站为研究对象,分析该站1958-2016年年径流和月径流序列是否平稳。首先从随机水文学角度,采用Mann-Kendall检验法和小波分析法识别径流序列的趋势、突变和周期特征。在此基础上,从统计水文学角度引入Ng-Perron单位根检验方法。通过Mann-Kendall趋势检验和散点图法选择合适的检验方程,对径流序列进行广义最小二乘法(Generalized Least Squares,GLS)退势,并利用修正的信息准则(Modified information criterion,MIC)计算最优时间滞后阶数,判别径流序列是否具有非平稳性。结果显示,径流序列存在趋势、突变和周期成分,为非平稳径流序列。同时Ng-Perron单位根检验表明,该站年、月径流序列在1%显著性水平上具有非平稳特性。相较传统单位根检验方法,Ng-Perron单位根检验采用更为稳健的修正检验统计量,显著调整小样本情况下水平扭曲的现象,具有更好检验水平和功效,因而可以得到更合理的检验结果。研究成果为径流序列非平稳性检验理论的进一步改进及径流预测模型发展与应用提供参考。

递归趋势调整单位根检验与功效提升研究

提出2种新递归趋势调整方法,并构建引理;利用引理推论推导4种递归趋势调整模式下单位根检验量的极限分布,使用蒙特卡洛模拟方法获取检验量分位数;选取2019年1月2日至2023年2月16日上证综合指数收盘价共1000个观测值对递归趋势调整检验量进行实证研究。理论推导表明:和已有调整方法相同,新调整后变量不再含未知参数,可用于构造单位根检验量;基于递归趋势调整检验量在大样本下收敛于维纳过程的泛函,但与已有分布不同,需使用蒙特卡洛模拟方法重新获取分位数。模拟研究表明:第一种和第三种检验量分位数随样本容量增大而上升,第二种和第四种检验量分位数随样本容量增大而下降,但均呈现收敛趋势;和经典DF检验相比,在具有满意检验水平同时,递归趋势调整方法不但能够显著降低估计偏差,还能明显提高检验功效。实证结果表明:无论是上证综合指数对数收盘价序列还是收益率序列,递归趋势调整检验模式都能得到正确的检验结论。

基层站队HSE标准化建设质量提升探讨

基层站队HSE标准化建设是中国石油天然气集团有限公司提升基层风险管控水平的一项重要举措。文章分析了基层站队HSE标准化建设工作现状,指出了目前标准化建设存在的机制不完善、重点不突出、制度要求重叠、培训不到位、信息化统筹不足等主要问题,重点阐述了建设质量提升的重点内容和实施路径,并结合基层工作实际,提出了下一步固化模式、选树示范、信息化建设等改进建议。

某铁路基层单位食品安全管理现状及对策

采取调查问卷、蹲点调研、跟班作业、分层座谈等方式,从食品安全管理体系建设、管理现状、专业知识、现场检查4个方面对某铁路基层单位食品安全管理现状开展调查分析。调查结果显示,基层单位食品安全管理体系基本健全,食品安全管理人员均为兼职,食品安全专业知识与从业年限成正相关,现场检查不存在A类问题、B类问题占比4.7%。从健全食品安全管理机制、提升管理人员专业素养、强化现场食品安全管理和加强食品安全教育培训等方面提出建议。

谈基层治黄单位防汛物资储备与管理

防汛物资的储备和管理是防汛业务的重要一环。基层单位要切实做好防汛物资的储备和管理工作,把工作做实做细,有效保证黄河防洪安全度汛,护航黄河流域生态保护和高质量发展。以章丘黄河防汛物资储备和管理为例,分析存在的主要问题,对基层治黄单位如何做好防汛物资的储备和管理工作谈几点想法。

下合穴理论探疑

下合穴理论是《内经》中论治腑病的经典理论,其出现解决了腑病无所主的困境。古医籍中因无“下合穴”这一名词,使得合穴与下合穴主治条文模糊难辨,造成了五输合穴与下合穴概念上虽存在绝对差异,主治上却相似的尴尬局面。本文基于医书古籍及临床经验,深入探讨下合穴理论的出现缘由、产生基础、取穴特点及与五输合穴的差异。提出下合穴理论的出现以根结、标本理论为雏形,在气街理论中得到支撑:胫气街经冲脉与腹气街沟通,使腑病下取得以实现,为临床诊疗腑病提供了新的思路。下合穴中上下巨虚与委阳三穴的选取,体现了协调阴阳、上病下取的中医特色诊疗原则。

1例先天性心脏病术后患儿因怀抱致低温烫伤事件的根因分析

目的探讨RCA 2在儿科重症监护病房怀抱患儿致低温烫伤事件中的应用效果。方法成立RCA 2团队,对1例先天性心脏病术后患儿因怀抱护理造成低温烫伤事件进行根本原因分析,制订改进方案并落实。结果规范了怀抱患儿操作标准化流程与评分标准,降低了术后患儿怀抱风险。结论RCA 2可有效避免护理不良事件发生,保证医疗护理质量安全。

论热水沉积岩相及其构造古地理

热水沉积岩相形成于裂谷盆地、洋中脊(有限洋盆)、弧—盆系统、陆缘盆地、陆内湖相盆地等不同的构造古地理单元内。按照成岩成矿方式—岩石组合—地球化学动力学分类原则,热水沉积岩相类型可划分为热水同生沉积岩相、热水准同生交代岩相、热水同生蚀变岩相、热水爆炸—液压致裂角砾岩相、热卤水准同生渗滤交代岩相与热流柱构造有关的热流体隐爆—液压致裂角砾岩相,包括不同成岩方式形成的17种构造岩相学类型,它们是建立构造岩相学独立填图单元的基础。热水流体系统的根部相→喷口相→中心相→过渡相→远端相,具有显著的构造岩相学分带和相体分布规律,但在现今陆内造山带中,它们多经历了碎裂岩相、糜棱岩相和热流体改造—叠加—再造成岩相,需进行构造岩相学变形史研究和构造岩相学变形筛分,才能有效恢复它们形成时的构造古地理,促进提升对深部隐伏构造岩相学探测与资源预测的准确性。

全民健身战略下我国基层公共体育服务精准化供给研究

随着全民健身战略的实施,对基层公共体育服务供给提出了更高要求。采用文献资料法和逻辑分析法,分析了基层公共体育服务精准化供给实践意义,剖析了当前我国基层公共体育服务供给的现实困境,探寻全民健身战略下基层公共体育服务精准化供给路径。研究认为:我国基层公共体育服务供给存在不平衡、不充分,供需信息不协调,供给主体碎片化和绩效评估机制薄弱等现实问题。为此,应贯彻精准化治理理念、制定精准化决策,建立信息反馈平台、及时了解人民群众需求,完善多方参与决策机制、建立多元协作,改良评估机制、加强第三方监督。

基于Stacking预测模型的变桨功率优化策略研究

通过对如何提高风力发电机组的安全运行稳定性和发电量的深入研究,提出了一种基于Stacking预测模型的变桨功率优化算法,既可提高风电机组的发电功率,又减小叶根挥舞弯矩,降低对叶片、风轮、低速轴等部件的损害,提高其运行稳定性。以某一日风电机组功率为例开展变桨功率优化结果表明,发电量提高了2.18%,且3个叶片叶根挥舞弯矩也明显降低。该方法可用于风电场的功率优化和变桨控制。