Nonlinear Error Correction Research Articles

Asymmetric impact of real exchange rate on inflation in Ethiopia: a non-linear ARDL approach

A surge in inflation for the last decade has been a top agenda of political and economic debate in Ethiopia. The monitory authority of the country has regularly devalued Ethiopian birr to stabilize the inflation and stimulate exports. Whether this has indeed stabilized inflation and increased export earnings is an issue of debate. This study investigates the asymmetric impact of real exchange rate on inflation for period 1982–2019. The non-linear ARDL bounds test is used to test the presence of long-run co-integrations. Long- and short-run estimations were done based on the non-linear ARDL error correction methodology. The result of the study indicated that the real exchange rate has asymmetric effects on inflation in short- and long-run. The imbalance in real exchange rate (depreciation and appreciation) causes a surge in inflation in the long-run. The policy implication of this study is that flexibility in exchange rate market should be planned to ensure price stability rather than following restrictive exchange rate policy.

Correction of nonlinearities in series structure-based resistance thermometry readouts.

Series structure-based resistance thermometry readouts offer several advantages for multi-point temperature measurements. However, because of the diversity of nonlinear error sources and differences among channels in such readouts, existing nonlinear error correction methods are ineffective. In view of this situation, a nonlinear error correction method based on error source analysis is proposed. The proposed method first determines the impacts of error sources by analyzing the circuit architecture. The contributions of the common-mode rejection ratio and the mismatch between positive and opposite exciting currents are then eliminated using resistance bridge calibrators. Finally, the residuals are fitted to various polynomial functions. The results of experiments show that correction based on the proposed method results in a maximum nonlinear readout error of 1.87 × 10-5, compared with 4.01 × 10-5 using the classical method. Thus, the proposed method of nonlinear error correction is effective for series structure-based resistance thermometry readout.

Exchange rates in India: current account monetarism in a nonlinear context

Abstract The Indian exchange rate system has evolved from a pegged system to the current managed float. The study examines the presence of a long-run equilibrium in the monthly Indian exchange rate (Rs/USD) using a current account monetary model (or flexible price monetary model) while accounting for different nonlinearities over the period January 1993 to January 2014 (pre-inflation targeting period). The nonlinear adjustment to disequilibria is modelled using a nonlinear error correction model (NLECM). The nonlinear current account monetarism (CAM) model includes nonlinear transformations of long-run dynamics in the ECM to account for different nonlinearities: multiple equilibria (cubic polynomial function), nonlinear mean reversion (rational polynomial function), and smooth and gradual regime switches (exponential smooth transition autoregressive (ESTAR) function). The NLECM-ESTAR model outperforms other alternatives based on model and forecast performance measures, implying the existence of nonlinear mean reversion and smooth transition across different periods of overvaluation and undervaluation of the exchange rate. This implies the presence of asymmetric adjustment to the movements from the long-run equilibrium, but the nature of such transitions is smooth and not abrupt. The paper also establishes the uniqueness of the long-run equilibrium. A comparison to the sticky price monetary model could not be made due to stationary exchange rate disequilibrium.

Correction of nonlinear errors from PGC carrier phase delay and AOIM in fiber-optic interferometers for nanoscale displacement measurement.

In fiber-optic interferometers with laser frequency modulation, carrier phase delay and accompanied optical intensity modulation (AOIM) in phase-generated-carrier (PGC) demodulation inevitably produce nonlinear errors that can seriously hamper displacement measurement accuracy. As for the existing improved PGC scheme, they are only capable to compensate for one of these effects. As the only method that is effective in eliminating the two effects simultaneously, typical ellipse fitting methods require target movements λlaser/4, and fail when the PGC carrier phase delay is proximate to certain values (e.g., nπ +π/4, nπ +π/2). Herein, a modified nonlinear-error correction method for errors due to PGC carrier phase delay and AOIM is proposed. Active laser-wavelength scanning by constant variation of the laser drive temperature is used to replace the target movement. A fiber-optic Michelson interferometer is constructed and experiments are performed to verify the feasibility of the proposed method. The experimental results show that after correction, the nonlinear error is reduced to less than 1nm, and nanoscale displacement measurement is achieved.

Does Cereal crops asymmetrically affect Agriculture gross domestic product in Pakistan? Using NARDL model approach

ABSTRACT: This study contributes to the extant literature on the nexus among rice, maize and wheat production with agriculture gross domestic product (AGDP) of Pakistan. We use time series data from 1970 to 2017 and employ the Non-linear Autoregressive Distributed Lag (NARDL) model. Short run and long run shocks between the selected variables and result’s is checked through the co-integration and nonlinear error correction model.Autoregressive distributed lag bound testing approach for co-integration and to find the relationship between variables Granger causality test is applied.Our results confirm co-integration, positive shocks results show that rice, maize and wheat production have significantly influence on AGDP. The asymmetrically positive shocks of three crops have neutral effect on AGDP. While in symmetric results show the unidirectional effect between rice, maize production with AGDP and wheat production do not have ganger causality with AGDP. Finally, results depict that wheat, maize and rice production significantly contributes to agricultural GDP in the case of Pakistan.

Analysis on the Relationship between Population Aging and Employment Dynamics in China—Based on Threshold Vector Error Correction Model

The social old-age dependency ratio has risen rapidly and the social burden has increased since China entered an aging society in 2001. In this paper, the nonlinear threshold vector error correction model is used to analyze the internal dependence of the elderly population over 65 years old and urban employment in China by using the data from 1990 to 2018. Real example shows that there is a threshold effect between the elderly population in China and urban employment; when the number of employees deviates from the equilibrium value, it will be pulled to the equilibrium level at a rate of 0.0607 units; otherwise, in the second mechanism, there is no long-term equilibrium relationship between the elderly population and urban employment.

Rezerv Opsiyonu Mekanizması ve Kredi İlişkisi

Küresel kriz sonrası gelişmiş ülkelerce tercih edilen genişletici para politikası uygulamaları, risk iştahının yükselmesiyle birlikte finansal piyasalarda ani fon hareketlerinin yaşanmasına neden olmuştur. Bu gelişmeler, fiyat istikrarını sağlama temel hedefi ile hareket eden merkez bankalarını yeni politika arayışlarına yönlendirmiştir. Geleneksel olmayan para politikası araçları çerçevesinde Türkiye Cumhuriyet Merkez Bankası tarafından geliştirilen araçlardan biri de rezerv opsiyonu mekanizmasıdır. Bu çalışmada 2011: 09 – 2019: 02 dönemine ilişkin Türkiye’de rezerv opsiyonu mekanizması kullanımı ile işletme ve tüketici kredileri arasındaki ilişki analiz edilmiştir. Hepsağ (2019)’ın geliştirdiği doğrusal olmayan asimetrik yumuşak geçişli hata düzeltme modeline göre değişkenler arasında uzun dönemli eşbütünleşik ilişkiye ulaşılmıştır. Anahtar Kelimeler: Rezerv Opsiyonu Mekanizması, Tüketici Kredileri, İşletme Kredileri JEL Sınıflandırması: E4, E5

Nonlinear corrector for Reynolds‐averaged Navier‐Stokes equations

SummaryThe scope of this paper is to present a nonlinear error estimation and correction for Navier‐Stokes and Reynolds‐averaged Navier‐Stokes equations. This nonlinear corrector enables better solution or functional output predictions at fixed mesh complexity and can be considered in a mesh adaptation process. After solving the problem at hand, a corrected solution is obtained by solving again the problem with an added source term. This source term is deduced from the evaluation of the residual of the numerical solution interpolated on the h/2 mesh. To avoid the generation of the h/2 mesh (which is prohibitive for realistic applications), the residual at each vertex is computed by local refinement only in the neighborhood of the considered vertex. One of the main feature of this approach is that it automatically takes into account all the properties of the considered numerical method. The numerical examples point out that it successfully improves solution predictions and yields a sharp estimate of the numerical error. Moreover, we demonstrate the superiority of the nonlinear corrector with respect to linear corrector that can be found in the literature.

Clear-sky direct normal irradiance estimation based on adjustable inputs and error correction

The accurate estimation of direct normal irradiance (DNI) under clear sky conditions plays an important role in the concentrated solar thermal plant. A hybrid model with adjustable inputs is proposed to calculate the clear-sky DNI, including a base clear-sky model and an error-correction model. The base clear-sky model is able to estimate the clear-sky DNI at any place with only the local date and location information, and the error-correction model serves as a supplementary to improve the calculating accuracy with available meteorological data. The error-correction model effectively integrates a linear part and a nonlinear part, and its inputs are adjustable according to the available meteorological observations. Several experiments have been conducted to evaluate the performance of the proposed model with data from three observation stations provided by the National Renewable Energy Laboratory open database. The results show that the hybrid model is able to provide great improvement over the base clear-sky model with 28%–70% on normalized root mean square error, and it also performs better than those using a linear or nonlinear error correction model. It is concluded that the performance of the hybrid model is comparable with other published methods in calculating the clear-sky DNI with concrete statistics.

New evidence on corruption and government debt from a global country panel

PurposeThe purpose of this paper is to explore the link between corruption and government debt through a regime-based approach.Design/methodology/approachThe empirical analysis makes use of a panel of 120 countries, spanning the period 1999–2015. The study makes use of the Panel Smooth Transition Regression (PSTR) methodological approach, as well as two alternative measures of corruption.FindingsThe empirical results document that the relationship between corruption and debt is non-linear, while a strong threshold effect was present as well. Public debt appears to respond faster to a high corruption regime compared to a low corruption regime, while an increase in the size of the shadow economy, government expenses, the inflation rate, interest payments on debt and military expenditure all increased the debt to GDP ratio. By contrast, an increase in GDP per capita, the secondary school enrollment ratio and the ratio of tax revenues to GDP led to a fall in the debt to GDP ratio. The findings survive certain robust checks when the role of the 2008 financial crisis is explicitly considered, as well as when two separate country samples were considered, i.e. developed vs developing countries.Practical implicationsGovernments should aim to control both corruption and the size of the shadow economy if they really wish to reduce any high levels of their public debt. As debt levels respond faster to high corruption regimes, it is necessary that measures to reduce corruption are complemented by higher GDP per capita growth rates, enrolment rates and higher tax revenues.Originality/valueThe novelty of the paper is that it investigates for the first time, to the best of the authors’ knowledge, the presence of non-linearity between corruption and government debt. It proposes non-linear panel cointegration and causality tests, as well as a non-linear panel error correction model that allows for smooth changes between regimes, hence, examining causal relationships in each regime separately.

Homodyne Laser Vibrometer With Detectability of Nanoscale Vibration and Adaptability to Reflectivity

Homodyne laser vibrometer plays an essential role in the precision vibration measurement, but its application is restricted when measuring subfringe vibration and targets with various reflectivities. In order to achieve the nanoscale vibration measurement and to adapt to various reflectivities, an enhanced homodyne laser vibrometer is presented in this paper. First, an active vibration mechanism (AVM) based on a flexure hinge stimulated by a piezoelectric transducer (PZT) is introduced into the reference arm, with which the parameters for nonlinear error correction can be predetermined, and thereby the measurement of vibration less than quarter wavelength is feasible. Second, an automatic gain module is employed to optimize the intensity of the interference signals, which significantly improves the adaptability to target reflectivity. The experimental results show that the laser vibrometer proposed is capable of measuring vibration with amplitude down to 2 nm and vibration with surface reflectivity down to 0.08%.

Testing for cointegration in nonlinear asymmetric smooth transition error correction models

The present paper proposes an alternative procedure to test for cointegration in asymmetric exponential smooth transition autoregressive (AESTAR) model. The proposed new F-statistics test the null hypothesis of no cointegration against the alternative hypothesis of cointegration with asymmetric ESTAR adjustment. We derive the nonstandard limit distributions analytically via Monte Carlo simulations. We also study the finite sample properties and the power of proposed tests with Monte Carlo simulations and find that the empirical sizes of two tests are quite close to the nominal one and the proposed tests do not lead to over-rejections of the null hypothesis of no cointegration.

Price Adjustments and Transaction Costs in the European Natural Gas Market

The presence of long-term contracts indexed to oil prices is a key feature of the evolution of the European natural gas industry. During the 2000’s, the European Commission (EC) promoted reforms to establish a single and integrated natural gas market, leading to the development of short-term regional markets based on hubs. This paper tests the hypothesis that asymmetric price responses in the continental European hubs derive from transaction costs. By applying linear and nonlinear error correction models, it assesses the price transmission dynamics and the degree of integration between the German, the Belgium and the Dutch spot markets. The models identified cointegration relations, price asymmetries and transaction costs in these markets. Results show a high degree of integration across regions, with prices converging rapidly to their long-run equilibrium. However, asymmetric price adjustments reveal the presence of transaction costs in the German regional hub.

Empirical Evidence Of Oil Price Shocks And Oil Economy Asymmetric Nexus: The Cases Of Angola And Nigeria

The relationship between oil price shocks and economic growth (GDP) examined in many studies is assumed to be linear. However, this may incorrectly specify if the relationship is nonlinear. The few existing studies that modelled the relationship in dynamic form focused on developed oil-exporting or importing countries leaving dearth of studies on developing oil-backed countries whose oil price fluctuations may be more pronounced. Thus, this study examines asymmetric effects of oil price shocks on economic growth, focusing on Angola and Nigeria. We applied Nonlinear ARDL method to capture both the long- and short-run asymmetric effects with nonlinear error correction in a single equation. GDP and West Texas Intermediate (WTI) and Brent (BRT) oil prices data of 1980-2015 were employed and analyzed. Our results revealed that oil price-growth nexus for Angola and Nigeria is asymmetric. We found that oil prices have significant impacts with positive and negative effects on Nigerian economy, while only negative impact turns to be significant for Angola. Nonetheless, application of expansionary monetary policy for stabilizing these economies to support oil revenue in the wake of oil price fall may have little effect.

Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

Abstract Over the last decades a transition from a state-own monopoly to a private business took place in the Spanish fuel sector. To figure out whether downstream prices react differently to upstream price increases than to price decreases, alternative dynamic nonlinear and asymmetric error correction models are applied to weekly price data. This paper analyse the existence of price asymmetries in the fuel market in Spain during the 2011–2016 period. In comparison with traditional asymmetric price theory literature, this paper introduces a new double threshold error correction (ECM) model (DT-ECM) and new double logistic ECM models and compares them with more common linear ECM, time varying parameter models (TV-ECM), threshold autoregressive models (T-ECM), smooth transition autoregressive (STAR) models and nonlinear error correction (Logistic-ECM) and double threshold Logistic (DT-Logistic ECM). The asymmetric results found in Spain in the oil sector, show that sophisticated bivariate short-run nonlinearities are present in the gasoline market prices and that those price reactions depend on two main aspects; whether the oil price increases or decreases and on the stage (above of below) of the prices of gasoline relative to their long-run expected crude oil prices (error correction term). Those empirical results are consistent with the economic explanations based on market power-collusion and/or with consumer having search costs.

Nonlinear error correction for FMCW ladar by the amplitude modulation method.

FMCW ladar is a kind of absolute distance measurement technology with high spatial resolution. However, the advantage of high spatial resolution is significantly covered up by the non-linearity of laser frequency sweep. One of the typical approaches for the nonlinearity is resample technology, which has residual phase error from the sample time delay mismatch between the clock signal and the measurement signal. We have proposed and demonstrated a novel amplitude modulation method for correcting the nonlinear error of FMCW technology. The optical structure of the method is comprised of two tandem fiber interferometers. The first interferometer is used to produce a carrier signal and the second one is used to load the range information on the amplitude of the carrier signal. In the end, the experimental result verifies that the nonlinear error can be suppressed effectively, the phase error from the mismatch has been eliminated observably, and the range resolution can be notably improved to 69μm; the stability is 2.9μm and the measurement precision is 4.3μm.

Asymmetric and nonlinear dynamics in sovereign credit risk markets

We employ asymmetric and nonlinear error correction models to characterize the price discovery and volatility interactions between the sovereign CDS and bond spreads for 22 reference entities. We find asymmetric, nonlinear, and bidirectional short and long‐run information flow in the first and second moments. The flow from the CDS to the bond market is stronger than in the reverse direction, demonstrating that CDS market is the more effective vehicle for price discovery. The persistence of volatility implies that informed trading occurs in the CDS markets. Both markets seem to converge to an equilibrium relationship when the basis is large.

Exploring Dynamic Impact of Foreign Direct Investment on China’s CO $$_{2}$$ 2 Emissions Using Markov-Switching Vector Error Correction Model

The impact of foreign direct investment (FDI) on China’s CO $$_{2}$$ emissions is an important index to evaluate the effect of foreign investment policy. This paper uses the monthly data of CO $$_{2}$$ emissions and FDI from January 1997 to December 2013 to analyze the regime states, switching probability and regime correlation between FDI and CO $$_{2}$$ emissions with the help of nonlinear Markov-switching vector error correction model (MS-VECM), The results indicate that the influence of FDI on CO $$_{2}$$ emissions shows the two-regime dynamic characteristics, FDI has played a stimulating role in promoting China’s CO $$_{2}$$ emissions during the period from January 1997 to October 2003, while played an inhibiting role during the period from November 2003 to December 2013. The duration of the inhibiting effect of FDI on CO $$_{2}$$ emissions is longer, and the frequency is higher than that of the stimulating effect. Therefore, the overall influence of FDI on CO $$_{2}$$ emissions during the period from January 1997 to December 2013 is inhibitive, which means FDI has contributed to CO $$_{2}$$ emissions reduction. The innovation points of this study are mainly reflected in the following two aspects: first, nonlinear MS-VECM is introduced to dynamically study the relationship between FDI and CO $$_{2}$$ emissions in contrast to prior studies that simply use static analysis method; second, the effect of China’s foreign investment policies on CO $$_{2}$$ emissions is evaluated in each period according to the empirical results of MS-VECM.

Nonlinear error correction based cointegration test in panel data

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.

Nonlinear error correction model and multiple-threshold cointegration

Nonlinear error correction model and multiple-threshold cointegration