Abrupt Structural Change Research Articles

Testing rational expectations in a cointegrated VAR with structural change

The rational expectation hypothesis is widely used in finance and macroeconomics. A research question investigates whether models using this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models. Sargent and Hansen (1991) proposed how to test exact rational expectation restrictions. This study aims to achieve three objectives. The first objective is to extend Johansen and Swensen’s framework that test exact rational expectation restrictions to the case where the data-generating process is a cointegrated vector autoregressive model with abrupt structural change (CVAR-SC). The second goal is to highlight that the type of rational expectation restrictions analysed in this paper imply co-breaking, as defined by Hendry and Mizon (1998). Finally, the restrictions on the CVAR-SC parameters implied by the present value model and expectation hypothesis of the interest rate term structure are analysed, derived and tested. Three empirical exercises are reported. The first is Engsted (2002)’s dataset on share prices and dividends, the second uses a Brazilian term structure data set and the third uses a North American term structure dataset.

Dynamic analytical model for shaft-tunnel junction under P-SV waves

Shaft-tunnel junction is a typical case of critical underground joint structures. The abrupt structural change between the shaft and the tunnel makes it particularly susceptible to seismic damages. The focal point of this paper is the dynamic responses of shaft-tunnel junction under P-SV waves, for which a dynamic analytical model is developed. The shaft is assumed to be conditionally rigid, and the tunnel is modeled as a Euler-Bernoulli beam. The ground motion is calculated using the stiffness matrix method for layered media. The soil-structure interactions are mediated by a series of supporting springs and dashpots. Within the plane of wave propagation, the shaft has three generalized coordinates, and the tunnel is described by two displacement functions. Their analytical solutions are therefore derived in the frequency domain. Validity of the solutions is examined by comparison with the numerical results of two validation models. According to the solutions, responses of the shaft are controlled by the impedance of the surrounding ground, its own inertia properties, and the shaft-tunnel interactions. Among them, the impedance of the surrounding ground is by far the predominant factor. Responses of the tunnel are the superpositions of the shaft displacements and the free field displacements. The influence of the shaft attenuates exponentially with increasing distance from it. If the distance is sufficiently large, responses of the tunnel are dominated by the propagation of the P-SV waves.

THE VALUE OF ROBUST STATISTICAL FORECASTS IN THE COVID-19 PANDEMIC

The Covid-19 pandemic has put forecasting under the spotlight, pitting epidemiological models against extrapolative time-series devices. We have been producing real-time short-term forecasts of confirmed cases and deaths using robust statistical models since 20 March 2020. The forecasts are adaptive to abrupt structural change, a major feature of the pandemic data due to data measurement errors, definitional and testing changes, policy interventions, technological advances and rapidly changing trends. The pandemic has also led to abrupt structural change in macroeconomic outcomes. Using the same methods, we forecast aggregate UK unemployment over the pandemic. The forecasts rapidly adapt to the employment policies implemented when the UK entered the first lockdown. The difference between our statistical and theory based forecasts provides a measure of the effect of furlough policies on stabilising unemployment, establishing useful scenarios had furlough policies not been implemented.

Shaking table tests on the intersection of cross passage and twin tunnels

The abrupt structural change at the intersection of cross passage and twin tunnels is a potential risk when earthquakes strike. This paper addresses the seismic responses of the cross-passage intersection by shaking table tests. Test data from six cases are presented, where white noise and synthetic earthquake motions are adopted. Discrepant responses between the cross passage and the twin tunnels are described by acceleration data. The extent of discrepancy is quantified statistically. Influence of this discrepancy is evaluated in two directions: dynamic strains of the linings in the transverse direction and circumferential-joint extensions in the longitudinal direction. Since the earthquake-induced dynamic strains are relatively small, they are considered as an insignificant factor. However, there are considerable circumferential-joint extensions near the cross passage. Two simplified models are proposed to estimate the joint extensions in a pseudo-static way. Each model is corresponding to a unique pattern of longitudinal deformation caused by the discrepant responses of the intersection. Test results are compared with analytical results.

Forecasting Oil Production in North Dakota Using the Seasonal Autoregressive Integrated Moving Average (S-ARIMA)

North Dakota’s oil production has been rapidly increasing during the past several years. The state’s oil production in March 2013 even increased to more than twice the quantity produced in March 2011, and the estimated Bakken Formation reserves were reported very large compared with those of the United Arab Emirates. It eventually makes a question to us of how much oil will be able to be actually extracted with currently available technologies. To answer this question, this paper forecasts future oil development trend in North Dakota using the Seasonal Autoregressive Integrated Moving Average (S-ARIMA) model. Nonstationarity derived from a stochastic trend and the abrupt structural change of oil industry was a big potential problem, but through the Quandt Likelihood Ratio test, we found break points, which allowed us to select a model fitting period suitable for the S-ARIMA method to provide accurate statistical inference for the historical period. The seven major oil producing counties were investigated to determine whether the current oil boom was consistent across all oil fields in North Dakota. Empirical estimates show that North Dakota’s oil production will be more than double in the next five years. What we can predict with great certainty is that North Dakota’s influence over domestic and global oil supply systems will increase in the near future, especially over the next five to six years. This is good news for those who are concerned about domestic energy security in the USA.

Evaluating the existence of structural change in the Brazilian term structure of interest rate: evidence based on Hansens cointegration models with structural break

This paper investigates whether there is evidence of struc- tural change in the Brazilian term structure of interest rates. Multivari- ate cointegration techniques are used to verify this evidence. An econo- metric model is estimated which is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using the tech- nique for both databases. The risk premium for dierent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to international stand- ards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Surface Densification of Silica Ceramic

A rapid sintering densification treatment was performed on the surface of silica ceramic by using hydrogen-oxygen flame. The effects of surface densification processing on the phase composition, microstructure and bending strength of the silica ceramic were studied. Results showed that, after the densification processing, there was no obvious change in the phase composition of the silica ceramic but gradual transition structure happened. The transition structure not only prevents the abrupt structural change from the densification layer to porous layer of the silica ceramic but also guarantees the strong interface bonding between adjacent layers, leading to the improved bending strength. The present densification processing could realize the integrated fabrication of silica material with different density.

Aggregate and regional house price to earnings ratio dynamics in the UK

This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.

Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest Rate: Evidence Based on Cointegration Models with Structural Break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The first one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coefficients (Ripatti and Saikkonen). The second one is a VECM with abrupt structural change formulated by Hansen. Two datasets were analysed. The first one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The first data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for different spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to international standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Regional integration and dynamic adjustments: Evidence from gross national product functions for Canada and the United States

We estimate a translog Gross National Product function and test for endogenously determined structural change allowing for anticipated and lagged responses to regional trade agreements. We found that Canada embarked on a long transition path prior to the implementation of the Canada-U.S. Trade Agreement, a result reminiscent of Magee's (2008) results concerning RTAs’ trade creation effects. In contrast, the United States experienced an abrupt structural change a year after the North American Free Trade Agreement took effect. This reflects that smaller economies benefitting from larger changes in terms of trade are confronted to more complex adjustment processes than larger economies.

Multiferroic Phase Transition near Room Temperature inBiFeO3Films

In multiferroic BiFeO(3) thin films grown on highly mismatched LaAlO(3) substrates, we reveal the coexistence of two differently distorted polymorphs that leads to striking features in the temperature dependence of the structural and multiferroic properties. Notably, the highly distorted phase quasiconcomitantly presents an abrupt structural change, transforms from a standard to a nonconventional ferroelectric, and transitions from antiferromagnetic to paramagnetic at 360±20 K. These coupled ferroic transitions just above room temperature hold promises of giant piezoelectric, magnetoelectric, and piezomagnetic responses, with potential in many applications fields.

Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest: Evidence Based on Cointegration Models with Structural Break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Photochromism, Electrical Properties, and Structural Investigations of a Series of Hydrated Methylviologen Halobismuthate Hybrids: Influence of the Anionic Oligomer Size and Iodide Doping on the Photoinduced Properties and on the Dehydration Process

Syntheses, X-ray structural analyses, thermal behaviors, photochromism, and electrical properties of a series of methylviologen (MV(2+)) halobismuthate hybrids, namely, (MV)(3)[Bi(4)Cl(18)](H(2)O)(y) (1a, y approximately = 1.7), (MV)(4)[Bi(6)Cl(26)](H(2)O)(y) (2a, y approximately = 1.7), (MV)(4)[Bi(6)Cl(25.6)I(0.4)](H(2)O)(y) (3a, y approximately = 1.5), and (MV)(4)[Bi(6)Cl(24.6)I(1.4)](H(2)O)(y) (4a, y approximately = 1.3), are reported. Because of the thermal effect of a UV lamp or as a result of being heated up to 100 degrees C, all of the above compounds undergo a complete (1a, 2a, and 3a) or a partial (4a) dehydration together, in 2a and 3a, with an impressive structural reorganization involving a 90 degrees rotation of methylviologen dimers and, in 3a, a new Cl/I distribution, finally leading to (MV)(3)[Bi(4)Cl(18)] (1b), (MV)(4)[Bi(6)Cl(26)] (2b), (MV)(4)[Bi(6)Cl(25.6)I(0.4)] (3b), and (MV)(4)[Bi(6)Cl(24.6)I(1.4)](H(2)O)(x) (4a, x approximately = 0.65), respectively. In its turn, 4a (x approximately = 0.65) undergoes an abrupt structural change at 160 degrees C when water molecules are completely removed, leading to (MV)(4)[Bi(6)Cl(24.6)I(1.4)] (4b). Obviously, the two first dehydrated phases can be considered as the n = 2 (1b) and n = 3 (2b) members of the (MV)((2n+2)/2)[Bi(2n)Cl(8n+2)] family, and the ultimate member (n = infinity) with an infinite 1D double-chain inorganic framework, namely, (MV)[Bi(2)Cl(8)], has already been reported. According to the results of structural refinements, some positions of the Cl atoms in the [Bi(6)Cl(26)](8-) anionic cluster of 3a and 4a have been occupied by I atoms, finally leading to iodide-doped materials of the 2a type (percentage of doping: 3a, 1.5%; 4a, 5.4%). Upon UV irradiation, yellow crystals of 2a and 3a (which become 2b and 3b because of the thermal effect of the UV lamp) or yellow crystals of 2b, 3b, and 4a undergo a color change to black crystals (in the case of 2b), as observed in (MV)[Bi(2)Cl(8)], or light-brown crystals (in the cases of 3b and 4a). These photochromic properties are probably due to the photoinduced electron transfer from the anionic part to the methylviologen dications. In contrast, no color change is observed when yellow crystals of 1a or 1b and the iodide-doped (MV)[Bi(2)Cl(8-epsilon)I(epsilon)] material are irradiated. Because the relative positions of methylviologen to the host anionic frameworks are comparable in all structures (the N...Cl distances are about 3.4 A), these results indicate that such kinds of photochemical reactions depend on the dimension of the anionic networks, as well as the iodide doping. The single-crystal electrical conductivity measurements of 2b before and after irradiation were carried out between 150 and 393 K. The results prove that both of them are semiconductors with weak room temperature conductivity and that the band gap of the irradiated crystal (2b, 0.35 eV) is much smaller than that of the original hybrid 2a (1.0 eV).

Change in electronic structure in a six-coordinate copper(II) complex accompanied by an anion order/disorder transition

A variable-temperature crystallographic study of [Cu(L(OH))(2)][ClO(4)](2).2(CH(3))(2)CO [L(OH) = 2,6-bis(hydroxyiminomethyl)pyridine] between 30 and 300 K is presented. The complex exhibits an unusual electronic structure at room temperature with a {d(z(2))}(1) ground state, corresponding to an axially compressed ligand coordination geometry about the copper ion. This reflects a suppression of the pseudo-Jahn-Teller distortion that is normally shown by copper(II) compounds with this ligand geometry [Halcrow et al. (2004). New J. Chem. 28, 228-233]. On cooling the compound undergoes an abrupt structural change at 157 +/- 3 K, that does not involve a change in the space group (P1), but causes significant changes to c and the unit-cell angles. This reflects a conformational rearrangement of the complex dication, towards a more typical pseudo-Jahn-Teller elongated coordination geometry. This occurs concurrently with a crystallographic ordering of one of the two perchlorate anions, and a significant displacement of the two lattice acetone molecules. The transformation involves displacements of up to 0.5 A in the non-H atoms of the structure at 30 K, compared with their positions at 300 K. The change in coordination geometry of the complex around 157 K is reflected in a small reduction in its magnetic moment near that temperature.

Micro-phase separation explains the abrupt structural change of denatured globular protein gels on varying the ionic strength or the pH

Aqueous solutions of globular proteins gel after heat-induced denaturation. The structure of β-lactoglobulin gels was studied as a function of the pH (2–8) and the NaCl concentration (0–1 M) over a wide range of length scales (1 nm-100 µm) using a combination of scattering techniques and microscopy. The gel structure depended on the strength of the electrostatic interaction that was varied by changing the charge density of the proteins (pH) or the screening length (ionic strength). Homogeneous so-called finely stranded gels were formed at strong interaction, while more heterogeneous so-called particulate gels were formed at weak interaction. It is shown that phase separation of growing irreversibly bound protein aggregates explains the abrupt transition between the two structures for small changes of the ionic strength or the pH. Phase separation was limited to the formation of protein rich domains with a radius of several microns that associated into the particulate gels. The structure of homogeneous gels is shown to be determined by the amplitude of the (critical) concentration fluctuations of protein aggregates that were frozen-in by gelation. The characteristic length scales of the homogeneous gels varied between about 20 nm and 1 µm.

Geomorphology of the southernmost Longitudinal Valley fault: Implications for evolution of the active suture of eastern Taiwan

In order to understand fully the deformational patterns of the Longitudinal Valley fault system, a major structure along the eastern suture of Taiwan, we mapped geomorphic features near the southern end of the Longitudinal Valley, where many well‐developed fluvial landforms record deformation along multiple strands of the fault. Our analysis shows that the Longitudinal Valley fault there comprises two major strands. The Luyeh strand, on the west, has predominantly reverse motion. The Peinan strand, on the east, has a significant left‐lateral component. Between the two strands, late Quaternary fluvial sediments and surfaces exhibit progressive deformation. The Luyeh strand dies out to the north, where it steps to the east and joins the Peinan strand to become the main strand of the reverse sinistral Longitudinal Valley fault. To the south, the Luyeh strand becomes an E‐W striking monocline. This suggests that the reverse motion on the Longitudinal Valley system decreases drastically at that point. The Longitudinal Valley fault system is therefore likely to terminate abruptly there and does not seem to connect to any existing structure further to the south. This abrupt structural change suggests that the development of the Longitudinal Valley suture occurs through discrete structural “jumps,” rather than by a continuous northward maturation.

Raman scattering studies on multiferroicYMnO3

YMnO3 is amultiferroic material in which ferroelectric and antiferromagnetic ordering can coexist. We have studieda YMnO3 bulk crystal in detail by Raman scattering in a wide temperature range of 15–1200 K, withcomparison to a previous experiment at room temperature and a theoretical prediction forRaman-active phonon modes. In the low-temperature ferroelectric phase, the observedphonon spectra showed anomalous temperature variation at the Néel temperature,TN∼80 K, suggesting a coupling between the spin and phonon systems belowTN. Furthermore, spectra for the high-temperature paraelectric phase, reportedhere for the first time, showed a sudden change at the Curie temperatureTC>900 K, suggesting an abrupt structural phase change from the ferroelectric to the paraelectricphase.

Testing Implications of a Rational Expectation Model for a VECM with Abrupt Structural Change

The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models. Johansen and Swensen showed how to test rational expectation restrictions in the case where the data generating process is a cointegrated vector autoregressive model. This study aims to achieve three objectives. The first objective is to extend Johansen and Swensen's framework to the case where the data generating process is a cointegrated vector autoregressive model with abrupt structural change (CVAR-SC). The second goal is to show that the type of rational expectation restrictions analysed in this paper imply co-breaking, as defined by Hendry. Finally, the restrictions on the CVAR-SC parameters implied by the present value model, which is a particular rational expectation model, are analysed and derived, and a test is developed. Two empirical exercises are reported. The first is Engsted's dataset and the second uses the dividend and share prices of an important Brazilian retail bank.

How Well Does the New Keynesian Sticky-Price Model Fit the Data?

Abstract A number of hypotheses have been proposed to account for the role of lagged inflation in the New Keynesian price-adjustment model: (1) In the aftermath of abrupt structural change, rational learning may appear adaptive. (2) The model may have a serially correlated error term. (3) Estimating the model conditional on labor costs may remove or reduce the need for lagged inflation. I address the empirical support for these hypotheses and find that none eliminates the need for lagged inflation. In particular, lagged inflation enters with a coefficient in the range of 0.4 to 0.5, regardless of whether labor's share or detrended output is the measure of real marginal cost, or whether a serially correlated error term is allowed. Also, eliminating the period 1980-83 from the sample does not reduce the coefficient on lagged inflation.

Cationic lanthanide complexes of neutral tripodal N,O ligands: enthalpy versus entropy-driven podate formation in water.

The cationic lanthanide complexes of two neutral tripodal N,O ligands, tpa (tris[(2-pyridyl)methyl]amine) and tpaam (tris[6-((2-N,N-diethylcarbamoyl)pyridyl)methyl]amine) are studied in water. The analysis of the proton lanthanide induced NMR shifts indicate that there is no abrupt structural change in the middle of the rare-earth series. Unexpectedly, the formation constant values of the lanthanide podates of tpaam and tpa in D2O at 298 K are similar, suggesting that the addition of the three amide groups to the ligand tpa does not lead to any increase in stability of the lanthanide complexes of tpaam in respect to tpa, even though the amide groups are coordinated to the metal in aqueous solution. The measurement of the enthalpy and entropy changes of the complexation reactions shows that the two similar ligands tpa and tpaam have different driving forces for lanthanide complexation. Indeed, the formation of tpa podates benefits from an exothermic enthalpy change associated with a small entropy change, whereas the complexation reaction with tpaam is clearly entropy-driven though opposed by a positive enthalpy change. The hydration states of the europium complexes were measured by luminescence and show the coordination of 4-5 water ligands in [Eu(tpa)]3+ whereas there are only 2 in [Eu(tpaam)]3+. Therefore the heptadentate ligand tpaam releases the translational entropy of more water molecules than does the tetradentate ligand tpa.