Variance Decomposition Method Research Articles

A Worldwide Comparison of Water Use Efficiency of Crop Production

Worldwide food security and water safety issues necessitate countries with low water use efficiency of crop production (CWUE) to increase it and reduce regional CWUE variations. CWUE function was estimated with stochastic frontier analysis, and CWUE variation was decomposed on inter-continental, intra-continental and international level with variance decomposition method. It is proposed that in order to efficiently improve the CWUE and reduce regional CWUE variation, countries with low CWUE should focus more on the factors listed from the decomposition. Scenario analysis proved the effect of improving the most important factor of CWUE variation, and showed some new key factors in the future after we realize the improvement as mentioned in the scenarios. Lastly we put forward some specific suggestions on the way to improve the CWUE.

The Role of Institutions and Firm Heterogeneity for Labour Market Adjustment: Cross-Country Firm-Level Evidence

This paper investigates the role of policies and institutions for aggregate labour market dynamics during the recent financial crisis using firm-level data. First, it provides comparable estimates on firm-level labor adjustment by country, industry and firm size. Second, using variance decomposition methods, it shows that differences in firm-level labor adjustment accounts for about 40% of the cross-country variation in aggregate employment growth at the outset of the crisis. We interpret this as evidence that differences in institutional settings accounted for a substantial part of the variation in aggregate employment growth. Third, we find that stronger protection for regular workers is associated with lower (higher) employment (earnings-per-worker) response in the wake of output shocks. This suggests employment protection shifts the burden of adjustment from the extensive to the intensive margin. However, in explaining the diverse cross-country patterns in employment adjustment during the crisis, the impact of employment protection alone seems to be small.

On the electricity shortage, price and electricity theft nexus

Pakistan is facing severe electricity shortfall of its history since 2006. Several measures have been implemented in order to mitigate electricity shortage. The focus has been on raising the installed capacity of electricity generation and transmission. The present policy results in expensive thermal electricity generation mostly using expensive and environmentally hazardous furnace oil and inability of utilities to recover their cost of supply although there is unprecedented rise in electricity tariffs. This study concentrates on the electricity demand and traces the relationship between electricity shortfalls, tariff rate and electricity theft in the background of recent electricity crisis using the data for the period 1985–2010. We employed the Granger causality test through error correction model and out-of-sample causality through variance decomposition method. Empirical evidence shows that electricity theft greatly influences electricity shortfalls through lowering investment and inefficient use of electricity.The study concludes that electricity crisis cannot be handled without combating rampant electricity theft in the country.

Heritability of Ambulatory and Beat-to-Beat Office Blood Pressure in Large Multigenerational Arab Pedigrees: The ‘Oman Family Study’

To estimate the heritability of ambulatory blood pressure (BP), heart rate (HR), and beat-to-beat office BP and HR in an isolated, environmentally and genetically homogeneous Omani Arab population. Ambulatory BP measurements were recorded in 1,124 subjects with a mean age of 33.8 ± 16.2 years, using the auscultatory mode of the validated Schiller ambulatory BP Monitor. Beat-to-beat BP and HR were recorded by the Task Force Monitor. Heritability was estimated using quantitative genetic analysis. This was achieved by applying the maximum-likelihood-based variance decomposition method implemented in SOLAR software. We detected statistically significant heritability estimates for office beat-to-beat, 24-hour, daytime, and sleep HR of 0.31, 0.21, 0.20, and 0.07, respectively. Heritability estimates in the above mentioned conditions for systolic BP (SBP)/diastolic BP (DBP)/mean BP (MBP)were all significant and estimated at 0.19/0.19/0.19, 0.30/0.44/0.41, 0.28/0.38/0.39, and 0.21/0.18/0.20,respectively. Heritability estimates for 24-hour and daytime ambulatory SBP, DBP, and MBP ranged from 0.28 to 0.44, and were higher than the heritability estimates for beat-to-beat recordings and sleep periods,which were estimated within a narrow range of 0.18-0.21. In this cohort, because shared environments are common to all, the environmental influence that occurs is primarily due to the variation in non-shared environment that is unique to the individual. We demonstrated significant heritability estimates for both beat-to-beat office and ambulatory BP and HR recordings, but 24-hour and daytime ambulatory heritabilities are higher than those from beat-to-beat resting levels and ambulatory night-time recordings.

Relationships between energy technology patents and CO2 emissions in China: An empirical study

This paper explores dynamic relationships between energy technology patents and CO2 emissions in China during 1985–2009. Based on vector autoregression, cointegration and vector error correction model are adopted to uncover relationships in both long-run and short-run; also dynamic interactions are identified to establish these relationships between variables through impulse response functions and variance decomposition methods. Results show that: (1) the increase of energy technology patents does not reduce CO2 emissions in both long-run and short-run; (2) in the long-run, the increase of energy technology patents helps to reduce CO2 emissions intensity; while it does not for the short term. The present empirical study clearly indicates that Chinese government should attach more importance to investigating and improving energy technology patent system and formulating related energy technology policies for CO2 emissions reduction.

Analysis of impact of different types of patents on technological advancement in China

This article examines the construction of a system of dynamic relationship between invention patent; utility model patent; external design patent and technological advantages by using vector autoregression (VAR) model. Through the application of Granger causality analysis, it has been found that there exists a unilateral Granger causality between invention patent; utility model patent and external design patent. This indicates that invention patent has the effect of promoting the growth of other types of patents and that it is able to foster technological advances in China. Through analysis using impulse response analysis and variance decomposition method, it is found that utility model patent and external design patent are able to promote technological advancement, although, the promotional effort of invention patent is not obvious. Key words: Types of patent, technological advancement, vector autoregression (VAR) model.

The Dynamic Causality between Money and Macroeconomic Activity: Empirical Evidence from Nigeria (1960-2011)

This paper examines the dynamic causality between money and macroeconomic activities (output, interest rate, exchange rate and prices) in Nigeria between 1960 and 2011. The methodologies applied include the multivariate cointegration test developed by Johansen (1988) and Johansen and Juselius (1990), the Granger causality test in vector error correction model (vEcm), impulse response function (JRF) and variance decomposition (vDc) method. The cointegration test indicates that a long run relationship exists among the macroeconomic variables. The VECM results show that, in the short-run, real GDP and money supply stand out econometrically exogenous, whereas the presence of causal relationships among the variables shows that money supply is not neutral in the short-run. There are unidirectional short-run relationships running from (I) broad money to price, (2) money supply to interest rate and (3) narrow money to exchange rate. The IRF indicates that a positive money shock would increase output and prices, while decreasing interest rates. The exchange rate, however, will remain relatively unchanged and stable for the first two years before decreasing. Considering the definitions of money stocks, broad money (M2) appears to have a stronger causal effect on real output than narrow money (M1). The VDCs show that money supply contains better information about the source of shocks that is affecting the economy when compared to others variables. This implies that money supply could be very useful for predicting the current and future growth rate in output and prices in the Nigerian economy. The Granger causal chain implies that the findings are consistent with the quantity theory of money as opposed to other economic paradigms. However, it also suggests that monetary policy alone is insufficient to achieve sustainable economic growth and price stability.

基于协整理论的经济增长与生态环境变化关系分析——以重庆市渝东南地区为例

Ecological environmental changes play critical roles in economic development,but environment conservation and economic growth always assumes the two-direcrtional interactions between them.When many countries and regions achieved high-speed economic growth,these activities also led to over-exploration and consumption of ecological resources that further caused serious environmental pollution and ecological damage.Based the related research literatures,the e influencing mechanisms of eco-environmental changes on economic growth can be concluded into 3 catagories,but most of the literatures ignored the two-way influencing mechanism between economic growth and ecological environmental changes because the feedback response of ecological environmental changes on economic growth was ignored,which led to a statistically variable deviation because economic growth itself is endogenous variable together determined by environmental change and other factors. Based on the time-series data between 1980—2009,this research conducted a dynamic quantitative analysis on economic development and environmental changes by using co-integration test and variance decomposition model,Compared with the previous studies,this research has mainly the following characteristics: 1)the long-term dynamic impulse response analysis between eco-environmental changes and economic growth using impulse response function method;2) predictive variance decomposition method is used to further investigate the relative importance level of economic growth and environmental changes in explaining the changes in economic and environmental factors. We have some conclusions as follows: There exists a long-term equilibrium relationship between economic growth and environmental changes.The non-stationary indicators of economic growth and eco-environmental factors becomes stationary treated by a first-order difference technique and have statistically co-integration relations between them.Co-nintegration test showed that per capita GDP,gas discharge,solid wastes,fertilizer usage amount and exploiting of mineral resources by using the test model with intercept and trend term.The trace test and the maximum eigenvalue showed that there exists co-integration relationships among per capita GDP,waste gas discharge amount,solid wastes discharge,fertilizer usage amount and exploitting amount of mineral resources with an 5% of significance level.In the long run,per capita GDP is negatively correlated with waste gas discharge amount and solid waste discharge amount while it is positively correlated with exploiting amount of mineral resources and fertilizer usage intensity.The exploiting amount of mineral resources is negatively correlated with waste gas discharge amount and solid waste discharge amount while positively correlated with per capita GDP.Impulse response analysis based on VECM shows that fast economic growth was the main factor influencing environmental change,and eco-environmental degradation had a feedback actionon economic growth.From the effects of this kind of responses,the negative responses of eco-environmental degradation on economic growth showed that the increase of eco-environmental degradation led to the change in citizens′environmental preference which caused an external pressure on economic growth,but the feedback actions of eco-environmental changes on economic growth had a time delay.

Is devaluation contractionary? Empirical evidence for Pakistan

The paper examines the effect of real devaluation on economic growth. In the empirical model we include few other theoretically justified variables e.g., money supply, foreign remittances, and government spending as they appear relevant for Pakistan. The ADF unit root test is used for stationarity of the series. Also, to capture possible structural breaks due to currency regimes shifts, the Saikkonen and Lutkepohl unit root test is used. We apply the ARDL bounds testing approach to cointegration to explore a long run relation among the series; and the variance decomposition method and impulse response function for the direction of causality. The findings affirm cointegrating relation among the series. Real devaluation exerts contractionary effect on economic growth. The results should help in formulating a comprehensive trade policy including the use of competitive devaluation as a tool to correct balance of payments problems.

Research on the Association Mechanism between China's Textile Industry and Macroeconomic — Based on VAR Model

This paper studies the relationship between the development of textile industry and the macroeconomic growth. By establishing the VAR model and co-integration test, the paper systematically describes the dependency between them. It also applies the method of impulse response function and variance decomposition to analyze their dynamic correlations. The result shows that there exists a long-term relationship between the textile industry and macroeconomic in China. But the relevance between them has something alike as well as something different through the analysis of impulse response function and variance decomposition. The good functioning of macroeconomic creats favourable conditions for the development of the textile industry. However, the influence on the textile industry of macroeconomic has a time-lag effect.

Modeling and forecasting a firm’s financial statements with a VAR – VECM model

This paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the chosen company is Petrobras S/A. The methodology comprises correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, in addition to impulse response and variance decomposition methods. Besides the endogenous financial statement variables, an exogenous variable vector was utilized including the Brazilian GDP, domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The model’s final version is a Vector Error Correction Model (VECM), which takes into account the cointegrating relationships among the endogenous variables. After estimation and validation, the model is used to forecast the firm’s financial statements. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm’s market value. The results are apparently robust and might contribute to the field of financial planning and forecasting.

VAR analysis of foreign direct investment and environmental regulation: China's case

This paper employs impulse response function of VAR model and the estimation variance decomposition method to investigate the two-way dynamic relationship between environmental regulation and FDI during 1985 to 2009. The result of generalized impulse response shows the impact effects of environmental regulation exerting to FDI become less and less in long-term, which verifies “hypothesis of pollution haven”. The inverse U-shape curve of “environmental regulation - FDI” depends on the choice of regulation indicators. Furthermore, the positive impulse response shows the inflows of FDI would cause the deterioration of ecology and the intervene of governments, which gives pressure to the transformation of environmental regulation standard.

Empirical Analysis on the Relationship between Tourism Development and Economic Growth in Sichuan

Sichuan has abundant tourist resources; the Government confirmed the tourism industry as the six pillar industries of the cross-century development in Sichuan. In recent years, the ratio of tourism to the province's GDP increased year by year. Based on stability test of the VAR model, this paper uses impulse response functions and variance decomposition method for econometric analysis, by using the economic data in 1990-2009 years. And the results indicated that, the development of tourism bases on economic growth, at the same time, economic growth is in need of tourism development.

The Consumption Terms of Trade and Commodity Prices

The national terms of trade, defined as the ratio of an export price index to an import price index has been extensively studied empirically. In this paper we construct an alternative measure, which we call the consumption terms of trade. This measure recognizes the fact that consumers and firms face different prices for the same items and consume different items. Using micro-data from the Economist Intelligence Unit at the retail level, we conduct a forensic analysis of the variation of the terms of trade of 38 countries. Using a novel variance decomposition method, we find that the bulk of terms of trade variation is accounted for by oil, automobiles and medicine. The other goods in our construct tend to exhibit balanced trade, providing a natural hedge against world price fluctuations. We find the consumption terms of trade at local prices is more volatile than at world prices, but the two are strongly positively correlated. The same commodities dominate the variance decomposition in both constructs, but variance shifts from oil to medicine, when local prices are used, presumably due to larger LOP deviations in the latter than the former. The significant differences in time paths of producer (conventional) and consumer terms of trade suggests the need to adapt the elasticities approach to trade balance adjustment to recognize different prices and baskets at the consumer and producer level.

Analysis, modeling and simulation of GPS satellite clock errors

The satellite clock error is an essential error source for a navigation satellite system. This paper analyses the noise characteristics of the Rb/Cs clocks onboard GPS satellites based on IGS observations, and establish the model of clock error simulation. First, different Rb/Cs clocks are characterized and analyzed using modified Allan variance in the time-domain. Next, the time offset, frequency offset and linear frequency drift parameters are determined using a piecewise least-square polynomial fitting method. And the residual random noises after the polynomial fitting are modelled by a power law spectrum. Finally, an Allan variance decomposition and inversion method is proposed to generate the independent random sequence and then the sequences are superposed together. The synthesized clock error sequence is compared with the original data to validate the modeling and simulation methodology.

ROLE OF ECONOMIC STRUCTURAL ADJUSTMENT FOR LONG-TERM ECONOMIC STABILITY IN CHINA: ESTIMATION BASED ON VARIANCE DECOMPOSITION

Based on the variance decomposition method of Eggers and Ioannides, the sources of long-term stability of the Chinese economy since the mid-1990s are estimated and the potential influence of structural optimization is predicted. Results show that: (i) the contribution of industrial structural adjustment was a negative 46.38%; and (ii) if the share of the expenditure structure was adjusted to the average level in the early period, the contribution of structural optimization would be approximately 38.25%. Moreover, it is believed that a reasonable economic structure can be achieved only through the implementation of a development strategy that takes comparative advantage into consideration.

Control performance assessment for nonlinear systems

Abstract Assessing the quality of existing industrial control loops, or comparing between two alternative controller designs is becoming an important routine auditing task for the control engineer. While most of the research and commercial activity in CPA has been applied to linear systems to date, those researchers investigating nonlinear systems fall into one of two groups. The first group focussed on the diagnosis of a common specific nonlinearity, namely valve stiction [1–3], while the second group tried to establish the minimum variance performance lower bound (MVPLB) [4–8]. In this paper we will propose a new CPA performance index for general nonlinear models based on an ANOVA-like variance decomposition method. The results of two simulation examples illustrate that the proposed methodology is efficient and accurate.

Study on the tritium behaviors in the VHTR system. Part 2: Analyses on the tritium behaviors in the VHTR/HTSE system

Tritium behaviors in the very high temperature gas reactor (VHTR)/high temperature steam electrolysis (HTSE) system have been analyzed by the TPAC developed by Idaho National Laboratory (INL). The reference system design and conditions were based on the indirect parallel configuration between a VHTR and a HTSE. The analyses were based on the SOBOL method, a modern uncertainty and sensitivity analyses method using variance decomposition and Monte Carlo method. A total of 14 parameters have been taken into account associated with tritium sources, heat exchangers, purification systems, and temperatures. Two sensitivity indices (first order index and total index) were considered, and 15,360 samples were totally used for solution convergence. As a result, important parameters that affect tritium concentration in the hydrogen product have been identified and quantified with the rankings. Several guidelines and recommendations for reducing modeling uncertainties have been also provided throughout the discussions along with some useful ideas for mitigating tritium contaminations in the hydrogen product.

Variance Decomposition Sensitivity Analysis of a Passive Residual Heat Removal System Model

Passive systems are central in the safety design of new generation nuclear power plants (NPPs). In this paper, the variance decomposition method is adopted to identify key parameters which influence the uncertain behavior of the passive Residual Heat Removal system (RHRs) in the High Temperature Gas-Cooled Reactor (HTGR).

Producer & Consumer Prices Nexus: ARDL Bounds Testing Approach

The present endeavor explores relationship between producer and consumer price indices by employing new techniques. We have utilized the time series monthly (1992M1-2007M6) data while ARDL Bounds Testing and Johanson Cointegration Approach is used to determine the long run association and robustness of long run results. Toda & Yamamato (1995) and Variance Decomposition for causal rapport between producer and consumer prices are applied. DF-GLS & Ng-Perron Tests are also applied to inquire the order of integration for running variables. Results have verified the existence of long run relationship between producer and consumer prices, and their association is robust in long span of time in the case of small developing economy like Pakistan. Causal results through Toda and Yamamato’s (1995) technique asserts that there is two-way causality but it is stronger from producer to consumer prices and same with Variance Decomposition Method. Finally Feed back impacts show that feedback influence from PPI to CPI is stronger or dominating as compared to feedback from CPI to PPI, which support “Cushing and McGarvey (1990) hypothesis”