Break Tests Research Articles

Energy transition and diversification: A pathway to achieve sustainable development goals (SDGs) in Brazil

This is a study of Brazil's sustainable development with respect to its environmental performance amidst its great emission and renewable energy potentials. Brazil has striking features of large renewable sector and at the same time identified as among the highest carbon emission countries in the likes of India and Russia. Following the position of Brazil in both emissions ranking and its potentials in curbing the emission through renewable source, we utilized Brazil data of 1970–2018 for a scientific research into the possibility of achieving sustainable development in Brazil. Instruments such as renewable policies (renewable energy consumption and fossil fuels), foreign direct investments (FDI) and income growth (GDP per capita, 2010) are utilized in this study. We adopt scientific methods like structural break test, autoregressive distributed lag (ARDL) bound test and granger causality in this study. This will give a clear and holistic insight into the best strategy for achieving sustainable development in Brazil. Findings from both ARDL short run and long run established a U-shape environmental Kuznets curve (EKC) instead of the popular inverted U-shape EKC. A negative and significant relationships are found between renewable energy consumption, FDI and carbon emission (CO2), while a positive and significant association is established between fossil fuels and carbon emissions. This points that renewable energy and FDI are impacting positively on Brazil's environment quality while fossil fuels are impacting negatively on the environment. Findings from granger causality support the findings from ARDL by establishing both two ways and one way nexus among the energy policies (renewable and fossil fuels, FDI and income growth). The findings show that policies to curb carbon emission and achieve sustainable development should be framed around the energy policies (energy transmission to more clean energies).

The (De)merits of using Integral Transforms in Predicting Structural Break Points

The structural break points of returns and volatility are generally illustrated by using uni-and-multivariate time series models. Despite the elegance of uni-and-multivariate models, the interchangeability of different structural break points is not well accounted for in those models. This study uses integral transforms (Fourier and Laplace) to illustrate the interchangeability of structural break points of indices. Furthermore, structural break points are validated with commonly used unit root structural break tests [(i) augmented Dickey Fuller (ADF), (ii) ADF-generalized least squares (GLS), Phillips Perron (PP) 1988 and Zivot-Andrews (ZA) 1992 tests]. The results illustrate persistent interchangeability and interconnectedness patterns of structural break points throughout the time series. Moreover, the structural break points tests confirm the findings of the integral transforms.

Early warning signals of financial crises using persistent homology

This study examines persistent homology to detect early warning signals of financial crises in the United States, Singapore, and Malaysia markets. Persistent homology is applied to obtain a L1-norm time series, which is then associated with critical slowing down indicators (autocorrelation function at lag 1, variance, and mean power spectrum at low frequencies). Mann–Kendall test is used to anticipate the rising trend in the indicators before financial crises. Significance, structural break, and sensitivity tests are added to validate the method’s robustness. Further, we compare the L1-norms with another representative called residual time series. In our findings, three methods, namely mean power spectrums at low frequencies of the L1-norms, variances of the residuals and mean power spectrums at low frequencies of the residuals consistently provide a period of significant rising trends and breakpoints before the Dotcom crash and Lehman Brothers bankruptcy in all markets. The outcome indicates their potential as an early warning detection tool. However, these methods depend on their parameters. Despite the dependency, we further analyze these methods by determining the threshold to cover entire trading days and record their performance based on two classification scores (probability of successful anticipation and probability of erroneous anticipation). Overall, the mean power spectrums at low frequencies of the residuals is the finest method to detect early warning signals of financial crises in all markets. It is closely followed by the mean power spectrums at low frequencies of the L1-norms, which has obtained better scores than the variances of the residuals in the US and Singapore, except for Malaysia. Besides the residuals, our study demonstrates that the L1-norms obtained from persistent homology also is a meaningful representation to detect early warning signals. In general, this study offers a framework to determine early warning signals of financial crises for risk management purposes.

Impact of Mixed Fillers on the Physico-mechanical Properties of Flexible Polyether Foam

The effect of proportional blend of periwinkle and African star apple seed shell as bio-fillers in flexible polyether foam was studied. Flexible polyether foam samples incorporated with these bio-fillers at varying percentages; 10% (S1), 20% (S2), 30% (S3), 40% (S4) and 50% (S5) were produced respectively, while 0% (S0) which had no filler was used as control during the experiment. The mechanical properties of the produced foam samples were determined via density, compression set, indentation hardness, tensile strength and elongation at break tests. The cream time, rise time and height of the foam as parameters for characterising the produced foam samples were determined too. Flammability test was also carried out.The microstructure of the foam samples was analysed as well by using the scanning electron microscope. The results of the experiment showed that the density of the foam samples progressively increased from 19.20 (S0) – 26.45 (S5) as the quantity of the filler increased. The indentation hardness result also showed an increase on addition of the filler. The foam’s loading ability also increased on incorporation of the filler but S3 showed remarkable recovery after compression. The tensile strength and elongation at break of the foam decreased on addition of the filler. The morphological analysis ascertained the effect of the progressive introduction of the filler on the surface morphology of the foam. The flammability of the foam was found to decrease as the filler load increased. Since these fillers are of organic origin, readily available, cheap and eco-friendly, they provide a means of making biodegradable foam, and reducing the flammability of foam. Thus, reducing environmental pollution whilst enhancing the mechanical property of foam.

Functional Estimation and Change Detection for Nonstationary Time Series

Tests for structural breaks in time series should ideally be sensitive to breaks in the parameter of interest, while being robust to nuisance changes. Statistical analysis thus needs to allow for some form of nonstationarity under the null hypothesis of no change. In this article, estimators for integrated parameters of locally stationary time series are constructed and a corresponding functional central limit theorem is established, enabling change-point inference for a broad class of parameters under mild assumptions. The proposed framework covers all parameters which may be expressed as nonlinear functions of moments, for example kurtosis, autocorrelation, and coefficients in a linear regression model. To perform feasible inference based on the derived limit distribution, a bootstrap variant is proposed and its consistency is established. The methodology is illustrated by means of a simulation study and by an application to high-frequency asset prices.

Investigation on arc characteristics in cup‐shaped contacts with different structure for transverse magnetic field vacuum circuit breaker

AbstractThe cup‐shaped transverse magnetic field (TMF) contacts contain radial components and tangential components in the TMF generated when the current is interrupted. The tangential force generated by the radial magnetic field component drives the vacuum arc to rotate, and the tangential magnetic field component generates a radial force that causes the vacuum arc to move radially outward. In this paper, in order to study the influence of the arc force direction on the arc characteristics, the influence of the contact structure parameters such as the inclination of the inner wall on the arc force direction is simulated, and the breaking tests of different levels of current are carried out on the contact with different structure parameters. It is found that the direction of the Lorentz force has a significant effect on the breaking characteristics of the current, and the tangential and radial force components have varying degrees of influence on the motion characteristics of the arc during the start process and the metal droplet splashing.

Exploring volatility of carbon price in European Union due to COVID-19 pandemic.

The European Union (EU) Emissions Trading System is the most important means for the EU to achieve carbon neutrality, but it has been severely affected by the outbreak of COVID-19 in Europe, and carbon price have fluctuated sharply. Research on the driving factors of carbon price during this period will help maintain the stability of the carbon emissions trading market and promote the realization of carbon neutrality. This study selected the EU carbon allowance futures price as the research object and applied the Bai–Perron structural break test to analyze the factors that influences carbon price fluctuations using the Johansen cointegration technique and the Newey–West regression estimation. Studies have shown that the outbreak of COVID-19 and the “€750 billion green recovery plan” both had a significant impact on EU carbon price. Carbon price has also undergone significant structural changes. Under the influence of these two factors, the relationship between the level of economic development and carbon price displayed a short-term negative correlation. At the same time, oil price and interbank dismantling rates were also important factors affecting carbon price, while the impact of the clean development mechanism on carbon price was not significant. The study confirmed the effectiveness of the EU’s “green recovery plan” in stabilizing the carbon market during the COVID-19 pandemic and will provide a reference for the formulation of economic recovery policies of countries around the world.

Does tourism affect house prices in Turkey? Evidence from smooth structural break tests

PurposeThe purpose of this study is to examine the impact of tourism activities on house prices in Turkey from January 2010 to March 2020.Design/methodology/approachIt is used newly developed cointegration and causality tests based on Fourier approximation. These methods consider smooth structural breaks and do not need to recognize a priori date number and/or form of breaks.FindingsEmpirical findings show that international tourism activities have a substantial role in the escalation of house prices in Turkey. Findings also indicate a rise in industrial production enhances house prices while the mortgage lending rate exhibits a negative influence on house prices. Additionally, the evidence from Fourier causality tests reveals the unilateral causal linkage from tourism to house prices. This situation also shows that the tourism sector has a substantial role in stabilizing house prices’ rapid rise as a policy implication.Originality/valueAlthough a large number of papers have been analyzing the link between house prices and macroeconomic variables, this study eliminates the lack of papers examining the link between tourism and house prices in Turkey by using the new cointegration and causality methods that consider smooth structural changes.

Safe stroke of vacuum breaking process in DC circuit breaker commutated by intermediate frequency current

The safe stroke between contacts of vacuum switch is the key parameter that can withstand transient recovery voltage (TRV) after arc extinction. In order to determine the minimum safe stroke during direct current (DC) interruption, this paper starts with the characteristic analysis of the commutation process. After breaking current zero crossing, contact gap is used to correlate the dielectric recovery level with TRV. In terms of theoretical description, based on the sheath development analysis of continuous transition model (CTM), different commutation moments and frequency have a perceptible effect on the TRV and dielectric recovery process. The breaking test of DC synthesis circuit with dual power supply is used to further verify the dielectric recovery level of vacuum gap, and the minimum safe stroke corresponding to reliable interruption. Simulation and experimental results show that safe stroke increases with the higher breaking current, TRV and its change rate during the DC breaking process, the corresponding commutation moment should be delayed. Finally, the influence of arc appearance on the safe stroke is discussed by analyzing the arc image of the draw-arc process. The safe stroke is helpful to determine the time setting for commutation moment and reliable breaking process of DC vacuum circuit breaker.

Price distortions and municipal bonds premiums: evidence from Switzerland

This study examines the pricing of municipal bonds before and after a currency shock in Switzerland. Two approaches are used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and default risk premiums. The first approach is the model of the cross-sectional instrumental variables, and the second approach is the model of the instrumental variables with panel data. This study examines the composition of spreads for both approaches, in three scenarios: before, throughout, and after the currency shock. The study performed Durbin-Wu-Hausman tests for each decisive model to verify endogeneity issues, including the Lagrangian Multiplier test, the Cragg-Donald Wald F statistic to confirm the relationship of instrumental and endogenous variables, and the structural break test (Bai-Perron test) to determine the existence of structural breaks in bond distortions. This study finds that the currency price distortions of the Swiss franc in January 2015 made long-run changes in the composition of the municipal bond spreads. This research contributes to the understanding of municipal bond pricing by showing that default risk accounts for a large portion of the municipal bond spread, while maturity risk plays a lesser role. According to our empirical findings, unexpected large currency price shocks may have long-term implications on the municipal bond spreads.

DOES FOREIGN AID PROMOTE DEMOCRATIC INSTITUTIONS IN POST-CONFLICT CAMBODIA? EVIDENCE FROM ARDL BOUNDS TESTING APPROACH

Whether foreign aid promotes or hinders democratic institutions has been debated with opposing views. This paper investigates short- and long-run effects of foreign aid on democratization in post-conflict Cambodia using autoregressive distributed lag bounds testing and Gregory–Hansen structural break testing approach for cointegration over 1980–2015 period. The findings reveal that net bilateral foreign aid per capita, aggregated and classified into purpose-based ‘governance aid’, ‘economic aid’, ‘other aid’ and ‘donor-specific aid’ from the US, EU, France, Australia and Japan, promote long-run democratization. In the short run, only governance and economic aid appear to have a consistent positive effect on democratization.

Foreign aid to Africa after the global financial crisis: A consideration in retrospect

Several projections were made during and after the Global financial crises of 2007-2009 about the continuity of foreign aid to Africa.Some opined that the financial crises will reach Sub Saharan Africa via the decline of foreign aid as well as other financial transfers such as remittances and Foreign Direct Investment. It is on this premise that this study examined the flow of foreign aid to Africa in an effort to appreciate the trend before, during and after the Global financial crisis. The study used trend charts and the Bai-Perron multiple structural break test as well as the Chow test to analyse data sourced from the World Bank Indicators. The results show that, though Overall ODA dropped in 2007, it consistently increased up to 2013 by 25%. The structural break test shows that the trend of ODA has not significantly changed as a result of the Global financial crisis for; low, lower middle, higher middle and Sub Saharan countries as a whole. The result further shows that ODA to low income countries were higher than those of lower middle income countries which was equally higher than higher middle income countries. ODA to the agricultural, educational and economic infrastructural sector all increased after 2009. It is only ODA to the health sector that dropped significantly. The study concludes that Foreign aid to Africa has not declined, but rather improved in most cases. It therefore commends the efforts of aid donors and emphasizes the complementing role of foreign aid to Africa.

Drivers of Public Health Expenditure in Kenya: Do Structural Breaks Matter?

Health forms the basic foundation of the quality of human life, which is an ultimate ingredient towards the productivity and efficiency of an economy. The rapid growth of health expenditure has emerged as an enormous concern for many households and governments globally. This study used timeseries data for the period 1985–2018 in unearthing the drivers of healthcare expenditure in Kenya, with a central focus on the role of health shocks. The study also sought to assess whether structural breaks mattered in a healthcare expenditure model. A public healthcare expenditure model was estimated using the Autoregressive Distributed Lag (ARDL) model. The findings revealed the presence of a long-run relationship between public health expenditure and its determinants in Kenya. Population growth rate and CO2 emissions (proxy to respiratory illnesses) were found to significantly and positively determine public health expenditure in the short run. This impact was insignificant in the long run. Similarly, GDP per capita and the number of HIV/AIDs infections positively and significantly determined public health expenditure in the long run. A key finding of this study highlighted the importance of testing for structural breaks in analyzing a time-series healthcare expenditure model. Previously, this is something that has been largely omitted in the Kenyan healthcare context. The structural break dummy variables significantly determined public health expenditure and, therefore, their incorporation in the model yielded a more accurate forecast with better econometric estimates. The findings will be useful in informing the government’s health budgetary allocation as well as the design of appropriate shock mitigation policies. This is paramount for the country in achieving not only Universal Health Coverage but also high-quality medical care to its citizens as envisioned in the ‘Big Four Agenda’ government priorities.

The impact of changes in regulations on Malaysian IPOs

PurposeThis study aims to examine the changes in equity guidelines and initial returns in the Malaysian initial public offering (IPO) market.Design/methodology/approachThe study uses cross-sectional data over 16 years from 2000 to 2016. It uses ordinary least squares for the baseline model and incorporates an interaction term, quantile regression, quadratic term, break test and logit regression model for further analysis.FindingsThe results support the propositions that lockup provisions signal commitment and demand increase initial returns. The revision in the Bumiputera equity requirement means that issuers no longer need to discount offer prices to entice investors. Finally, the revised Sharīʿah-compliance screening requirement ensures that stocks are better in quality and more transparent, leading to a higher demand that drives prices upwards.Research limitations/implicationsThis study’s findings provide insights into how issuers can secure good subscriptions. Besides, policymakers should ensure that firms disclose the required information in their prospectuses.Originality/valueThis study adds to the body of knowledge on whether and how the regulatory requirements affect IPO initial returns.

The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks

This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature. The econometric analysis section of the study benefits from unit root tests, a common method that researchers have started to utilize recently. For this reason, we used Dickey and Fuller (1979), Augmented Dickey and Fuller (1981), Philips and Perron (1988), Kwiatkowski et al. (1992), Perron (1989) unit root test with one break, Zivot and Andrews (1992) unit root test with one break, and Enders and Lee (2012) Fourier-ADF unit root tests. In line with the results of the analysis, we obtained strong evidence regarding the validity of the uncovered interest rate parity for Brazil, Indonesia, and Turkey. Results for India vary according to the structure of the break and where the structural break is taken into consideration. This shows that structural breaks and the economic circumstances of the period that the data set is from should be considered. Although results for South Africa show that interest rate parity is generally valid, results for the Fourier-ADF test, which allows for smooth breaks, offered evidence that the interest rate parity was not valid in these countries

The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market

Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets.
 Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. We chose to consider data in the window of 260 days before and after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and to avoid erroneous conclusions due to the volatility of the Brazilian stock market.
 Results: The results showed with a 99% confidence level that after the introduction of market makers, (i) 67% of the stocks analyzed had abrupt and statistically significant changes in the average spread; (ii) 47% in the turnover ratio; and (iii) 60% had changes in the volume transactions. At the confidence level of 95%, (i) 76% of the stocks analyzed showed abrupt changes in the average spread; (ii) 65% had changes in turnover; (iii) and 69% had changes in the trading volume. Using a lower confidence level of 90%, the results revealed 85% of the stocks had abrupt and statistically significant changes in the average spread, 78% in the turnover ratio, and 73% in the trading volume.
 Contributions of the Study: This paper provides strong evidence on the performance of market makers and the influence they have on the market liquidity of stocks traded on the Brazilian stock exchange. We found that contracting market makers increase market liquidity and contribute significantly to the assets’ transactions.

Optimization of the Vulcanization Formula of Pneumatic Rubber Fender (PRF) to Increase Resistance to the Aging Process

One rubber products, pneumatic rubber fender (PRF), is fully imported, where the raw material is made primarily by synthetic rubber. PRF products have been used in the transport sector as the impact protection of ports and ships. In this study, the mixture between natural and synthetic rubber conducted to determine the  optimum formula of mixing rubber for  the product PRF. Then the PRF-product was subjected to Aging Resistance Test (ART). Physical and mechanical properties of the PRF were analyzed by tensile strength test, elongation at break test, tear resistance test, hardness test, and also some samples of the product of mixing were observed by Fourier Transform Spectroscopy (FTIR), Thermogravimetry Analysis (TGA) and Scanning Electron Microscopy (SEM). The formula used in this study is the ratio of single-NR-100%; combinations of NR-70% and CR-30%; combinations of NR-30% and CR-70%; and the CR-100%. The results showed that the optimum mix formula for the PRF product is NR-70%: CR-30%.

박판 음향방출 위치 표정의 오차해석

This paper demonstrates how consideration of the modal nature of AE signals can be used to reduce the number of sensors needed in AE source localization. To this end, the theory of the chirplet transform and modal acoustic emission are used to analyze the propagation of elastic waves in thin plates. First, the chirplet transform and the dispersion curves of the fundamental Lamb wave modes are utilized to separate the first-arrived modes and to estimate the distance between a source and a sensor. Then an analytical model is developed to simulate their late-arrived wave packets. Finally, the correlation between the experimental and the simulated waveform is used to estimate the location of AE source. To validate the proposed source localization algorithm, experiments were performed on a steel plate using the Hsu-Nielsen pencil lead break (PLB) test. Results show that the proposed algorithm can effectively localize AE source regardless of the location of the sources.

Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates

This study investigated the asymmetric causality from iron ore price to freight market through Capesize rates by considering the possible impact of the 2008 global economic crisis. The study used a monthly data set of 233 observations covering the period between January 2000 and June 2019. According to the structural break tests, a break was detected in June 2008 and the analyses were performed for two separate periods as pre-crisis and post-crisis in addition to the whole period. The results for the whole period revealed that positive shocks in iron ore price caused negative shocks and negative shocks caused both negative and positive shocks. The divided sample results revealed that positive shocks in the iron ore prices were causes of the positive shocks in the freight rates in the pre-crisis period, while negative shocks in the ore prices were causes of the negative shocks in freight rates, and negative shocks were the causes positive shocks in the post-crisis period. These results suggested that the impact of commodity prices on the freight market before and after the crisis might vary.

All-phase fast Fourier transform and multiple cross-correlation analysis based on Geiger iteration for acoustic emission sources localization in complex metallic structures

Nowadays, the localization and identification of acoustic emission (AE) source is widely utilized to structural health monitoring (SHM) of complex metallic structures. However, traditional AE source localization methods are generally difficult to localize and characterize AE sources in plate-like structure that has complex geometric features. To alleviate the problem, a novel AE source localization method based on all-phase fast Fourier transform and multiple cross-correlation analysis is proposed in this article. Moreover, least squares and Geiger iteration algorithm are applied to determine the coordinates of AE sources. In addition, an improved Bayesian information criterion (BIC) version named autoregressive BIC (i.e., AR-BIC) is presented to increase the accuracy of source localization. To validate the performance of the proposed approach, the classical pencil lead break tests are carried out on a 316 L stainless steel with 10 laser cladding layers. Experimental waveforms are generated from AE sources near laser cladding layers, the surface of the structure, and on its edges. Additionally, to evaluate the performance of the proposed approach in three-dimensional AE source localization, an industrial storage tank is used to acquire three-dimensional AE sources through manually striking. Finally, to further verify the effectiveness of the proposed approach, comparisons with conventional AE source location methods (i.e., PAC or SAMOS AE acquisition system, Newton’s method, and multiple cross-correlation based on Geiger algorithm) and two representative approaches (i.e., deep learning and Bayesian methodology) for localizing AE sources generated by complex metallic structures are conducted. The comparative results demonstrate the effectiveness and superiority of the proposed method in AE-based SHM of complex metallic structures.