Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections. The test is derived under three special cases: (i) the number of cross sections and observations over time are fixed, (ii) observations over time are fixed and the number of cross sections tend to infinity, and (iii) first letting the number of observations over time tend to infinity and thereafter the number of cross sections. Small sample properties of the test show modest size distortions and satisfactory power being superior to the Im, Pesaran, and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root test allowing for nonlinearities under the alternative hypothesis.Dynamic nonlinear heterogenous panels; Structural breaks; Unit roots; t-statistics; Central limit theorem;

Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots. The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, the power performances are satisfactory.Parameter constancy; LSTAR; Unit root; Brownian; motion; Strong mixing;

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the parameters become complicated, but their validity can in principle be checked numerically once the values of the parameters are given.conditional covariance matrix; multivariate GARCH; multivariate volatility model; random coefficient model; volatility forecasting

Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test.Dynamic nonlinear panel; Smooth transitions; Structural breaks; Unit roots; LSDV estimation; Central limit theorem;

Dickey-Fuller Type of Tests against Nonlinear Dynamic Models

In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests. Finite sample properties are examined. The performance of the tests is compared to that of the classical unit root tests by Dickey-Fuller and Phillips and Perron, and is found to be superior in terms of power.Dickey-Fuller test; LSTAR(p); LSTART(p); Nonlinear trends; Parameter constancy; Unit root; Brownian motion;

Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate for unconditional skewness. We consider modelling the unconditional mean and variance using models which respond nonlinearly or asymmetrically to shocks. We investigate the implications these models have on the third moment structure of the marginal distribution and different conditions under which the unconditional distribution exhibits skewness as well as nonzero third-order autocovariance structure. With this respect, the asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions are provided for all third order moments and cross-moments. Finally, we introduce a new tool, shock impact curve, that can be used to investigate the impact of shocks on the conditional mean squared error of the return.asymmetry; GARCH; nonlinearity; stock impact curve; time series; unconditional skewness

Optimized Control Strategy for Photovoltaic Hydrogen Generation System with Particle Swarm Algorithm

Distributed generation is a vital component of the national economic sustainable development strategy and environmental protection, and also the inevitable way to optimize energy structure and promote energy diversification. The power generated by renewable energy is unstable, which easily causes voltage and frequency fluctuations and power quality problems. An adaptive online adjustment particle swarm optimization (AOA-PSO) algorithm for system optimization is proposed to solve the technical issues of large-scale wind and light abandonment. Firstly, a linear adjustment factor is introduced into the particle swarm optimization (PSO) algorithm to adaptively adjust the search range of the maximum power point voltage when the environment changes. In addition, the maximum power point tracking method of the photovoltaic generator set with direct duty cycle control is put forward based on the basic PSO algorithm. Secondly, the concept of recognition is introduced. The particles with strong recognition ability directly enter the next iteration, ensuring the search accuracy and speed of the PSO algorithm in the later stage. Finally, the effectiveness of the AOA-PSO algorithm is verified by simulation and compared with the traditional control algorithm. The results demonstrate that the method is effective. The system successfully tracks the maximum power point within 0.89 s, 1.2 s faster than the traditional perturbation and observation method (TPOM), and 0.8 s faster than the incremental admittance method (IAM). The average maximum power point is 274.73 W, which is 98.87 W higher than the TPOM and 109.98 W more elevated than the IAM. Besides, the power oscillation range near the maximum power point is small, and the power loss is slight. The method reported here provides some guidance for the practical development of the system

The impact of COVID-19 on global health journals: An analysis of impact factor and publication trends

Background COVID-19 has affected research productivity across all areas of knowledge. Current evidence suggests that COVID-19 has had a blockbuster effect on journal impact factors (JIFs) and publication trends, while little is known on global health journals. Methods Twenty global health journals were included to analyse the impact of COVID-19 on their JIFs and publication trends. Indicator data, including numbers of publications, citations, articles with different types, etc, were extracted from journal websites and Web of Science Core Collection database. The JIFs from 2019 to 2021 were simulated for longitudinal and cross-sectional analyses. Interrupted time-series analysis and non-parametric tests were applied to assess whether COVID-19 had decreased non-COVID-19 publications from January 2018 to June 2022. Results In 2020, 615 out of 3223 publications were COVID-19 related, accounting for 19.08%. The simulated JIFs of 17 out of 20 journals in 2021 were higher than those in 2019 and 2020. Notably, 18 out of 20 journals had a decrease in their simulated JIFs after excluding COVID-19-related publications. Moreover, 10 out of 20 journals decreased their monthly numbers of non-COVID-19 publications after the COVID-19 outbreak. For all the 20 journals as a whole, after the COVID-19 outbreak in February 2020, the total number of non-COVID-19 publications significantly decreased by 14.2 compared with the previous month (p=0.013), and since then, on average, the publications had decreased by 0.6 per month until June 2022 (p<0.001). Conclusions COVID-19 has impacted the structure of COVID-19-related publications, the JIFs of global health journals and their numbers of non-COVID-19 publications. Although journals may benefit from increased JIFs, global health journals should avoid relying on a single metric. More follow-up studies including more years of data with a combination of metrics should be conducted to generate more robust evidence

Transport evidence of asymmetric spin-orbit coupling in few−-layer superconducting 1Td−-MoTe2_2

Two-dimensional (2D) transition metal dichalcogenides (TMDCs) MX2 (M=W, Mo, Nb, and X=Te, Se, S) with strong spin-orbit coupling (SOC) possess plenty of novel physics including superconductivity. Due to the Ising SOC, monolayer NbSe$_2$ and gated MoS$_2$ of 2H structure can realize the Ising superconductivity phase, which manifests itself with in-plane upper critical field far exceeding Pauli paramagnetic limit. Surprisingly, we find that a few-layer 1Td structure MoTe$_2$ also exhibits an in-plane upper critical field ($H_{c2,//}$) which goes beyond the Pauli paramagnetic limit. Importantly, the in-plane upper critical field shows an emergent two-fold symmetry which is different from the isotropic $H_{c2,//}$ in 2H structure TMDCs. We show that this is a result of an asymmetric SOC in 1Td structure TMDCs. The asymmetric SOC is very strong and estimated to be on the order of tens of meV. Our work provides the first transport evidence of a new type of asymmetric SOC in TMDCs which may give rise to novel superconducting and spin transport properties. Moreover, our findings mostly depend on the symmetry of the crystal and apply to a whole class of 1Td TMDCs such as 1Td-WTe$_2$ which is under intense study due to its topological properties.Comment: 34 pages, 12 figure