bluuebunny/crossref_metadata_2025 huggingface dataset:
Unit commitment at frequency security condition
Authors: Lei X. , Lerch E. , Povh D.
Published: July 2007

In island grids and weakly interconnected power systems, the loss of a large proportion of generation will cause the system frequency to fall dramatically. In order to ensure a stable operation with the lowest impact to the system, the disturbed power balance must be equalized within a short specified time by activating the second‐reserve of on‐line units or by load shedding or both. Unit commitment procedures shall consider these factors to ensure a reliable power supply while minimizing the fuel costs. This paper presents a unit commitment procedure taking the frequency security condition of systems into account. The procedure commits and optimizes units, calculates necessary second‐reserve capability, and allocates them among the available on‐line units. Parallel to the minimization of daily fuel costs, a specified frequency minimum following the loss of generation is employed as a criterion for maintaining system security. A case study on typical island systems with a large number of different units is demonstrated using the proposed procedure. Results from the study validated robust performance of the proposed procedure that minimizes fuel costs while maintaining frequency security condition. This paper considers only the frequency security condition to be handled. However, it can also be extended with other criteria such transmission capability during transient conditions of interconnected systems.
Non‐linear approaches for reducing large power systems
Authors: Lei X. , Buchholz B. , Ruhle O. , Kulicke B. , Menze A.
Published: July 2007

Issues on the establishment of equivalent networks are becoming essential for the deregulated power market. This paper presents a comprehensive tool for network reduction of large power systems. Through integrating different methodologies into a simulation program, the dynamic equivalent can be established by adopting one common database. With a readily integrated modified Gauss‐Newton algorithm, network reduction can be executed under the dynamic conditions either in the time domain or in the frequency domain in coping with nonlinear nature of the system involved. Furthermore, a novel algorithm based on dynamic coherency approach implemented readily into the simulation program is also presented. This novel approach determines coherent generators on non‐linear basis in the time domain using the cross correlation technique, taking dynamic characteristics of the system involved into consideration. Two case studies are presented in this paper. Each of the non‐linear approaches presented is applied for one of the case studies as application example. The results achieved validate the functionality of the approaches presented.
Power flow solution by a complex admittance matrix method
Authors: Benato R. , Paolucci A. , Turri R.
Published: July 2007

The paper describes a newly developed algorithm for power flow solution based on a complex admittance matrix. The conciseness and close‐to‐reality iterative procedure make the method extremely attractive for self‐made software implementation. The complex algorithm approach enables network connections, loads, generators, controlled bus voltages, including slack bus, to be considered in a single complex matrix. The power flow solution is achieved with iterations in complex form without the need of real/imaginary decomposition. The method has shown to have advantages over other traditional and available methods in terms of accuracy and convergence also in highly ill‐conditioned cases. The cpu‐time is comparable and sometimes competitive with those derived from Newton‐Raphson methods.
Determination of location of series compensation devices using fuzzy decision making
Authors: Bagriyanik M. , Dag H.
Published: July 2007

This paper presents a method to place the thyristor controlled series capacitor (TCSC) in transmission lines using fuzzy decision making method. The indices used for making a decision are those that TCSC affects the most. Amount of increase in operation limit boundary, amount of voltage drop, level of short circuit current, and the amplitude of line reactance are some of the indices that can be used when making a fuzzy decision to place a device in power system. TCSC placement is done for three reasons: improvement of voltage stability, improvement of transient stability, and reduction of total reactive power loss. By using fuzzy decision making we intend to realize the three goals above at the same time (or attain as much improvement /reduction as possible). The method is applied to some of the standard test cases and the results are provided.
Power flow studies of a large practical power network with embedded facts devices using improved optimal multiplier newton‐raphson method
Authors: Xiao Y. , Song Y. H.
Published: July 2007

In this paper, an improved optimal multiplier Newton‐Raphson (OMNR) power flow method is presented for power flow studies of ill‐conditioned large power system with embedded Flexible AC Transmission Systems (FACTS) devices. Power injection models (PIMs) of two typical FACTS devices, Phase Shifter (PS) and Unified Power Flow Controller (UPFC), are derived in rectangular form. After detailed analysis, a defect of the original OMNR method is identified and an improved version is presented. Incorporating the derived FACTS power injection models into the improved OMNR power flow program, the impacts of FACTS devices on power system control have been fully tested on the U.K. National Grid Company (NGC) system. The results clearly illustrate the effectiveness of the proposed approach.
Advanced voltage dependent dynamic programming algorithm for the optimization of shunt capacitors in radial distribution systems
Authors: Sarić A. T. , Ćalovićl M. S. , Djukanović M. B.
Published: July 2007

This paper presents a new voltage dependent model for optimal reactive compensation planning of radial distribution systems. It is of combinatorial type, with non‐linear and non‐differentiable criterion function, including nonequality constraints. The problem solution consists of an effective accelerated search, based on the dynamic programming. Two different search procedures are proposed. The first procedure employs normalized simultaneous load duration curves of consumer's nodes, arranged in decreased sequence and the second one considers the case of non‐simultaneous and unarranged load diagrams. The model is tested on two characteristic radial distribution systems. It exhibited better results regarding savings, than previously proposed methods applied on the same test systems.
Optimization and minimization of torque ripple in A.C machines supplied by V.S.I
Authors: Rekioua T. , Rekioua D. , Laporte B. , Benmahammed K.
Published: July 2007

In this paper, the design of a position sensor for voltage source inverter (V.S.I) fed alternating current (A.C) machines is presented. This system aims at suppressing undesirable voltage harmonics and hence minimizing electromagnetic torque ripple. The optimized pulse width modulation (P.W.M) technique is used as a base for the design of this position sensor. In comparison with the classical system, the undesirable harmonics are eliminated directly by the position sensor control output signal and not from the inverter output voltage waveforms. Thus, the obtained inverter control circuit is a very simple design and there is no need for microprocessor nor for specialized P.W.M integrated circuits use for its implementation. The obtained simulation results are compared to the practical ones, in the case of a self controlled synchronous machine.
Feeder reconfiguration employing simulated annealing for distribution systems
Authors: Su C.‐T. , Lee C.‐S. , Huang L.‐L.
Published: July 2007

This paper presents an effective method to feeder reconfiguration for reliability improvement, loss reduction, and voltage profile enhancement. Feeder reconfiguration is often accomplished by operating the sectionalizing switches placed along a feeder and the tie switches connecting feeders. Two reliability indices, system average interruption frequency index (SAIFI) and system average interruption duration index (SAIDI), are employed. To obtain the optimal solution, the simulated annealing technique is applied. The idea of this research is to identify beneficial load transfers, such that the objective function composed of SAIFI, SAIDI. and power loss is minimized and voltage quality constraint is satisfied. The application of the proposed approach is demonstrated by using a practical secondary substation of Taiwan Power Company (TPC). Simulation results show that the method is especially effective in reliability improvement, but effect of power loss reduction is not significant.
Factors affecting the dynamics of wire particles in gas‐insulated systems
Authors: Metwally I. A. , Abdel‐Rahim A.
Published: July 2007

This paper introduces a theoretical study of the significant factors that affecting the dynamics of wire particles in a horizontal coaxial gas‐insulated transmission line (GITL) and/or gas‐insulated switchgear (GIS) systems. The dynamics of the particle is investigated using a computational algorithm and under different voltage waveforms, gas pressures and coating thicknesses. The simulated voltage waveforms are the 60 Hz AC, single and successive switching impulses (SI), and bipolar‐oscillatory and damped impulses. All the applied voltage waveforms are simulated with and without the DC prestress, except for the AC case. These voltages represent the actual waveforms that occur in practice. The present work highlights the dangerous situations of the particle dynamics and their methods of mitigation. Moreover, the investigated dynamic behaviours of such defect under AC energization give excellent signs for the recognition by the acoustic detection technique.
Third‐order passive load identification under non‐sinusoidal conditions
Authors: Mattavelli P. , Tenti P.
Published: July 2007

This paper presents an extension of the well known load identification method, valid under non‐sinusoidal conditions, which makes use of a 2nd‐order passive circuit and an auxiliary voltage or current generator. The proposed solution is similar, but uses a 3rd‐order passive circuit. This allows to identify the passive circuit components with positive or negative parameters, according to the aim of the identification (load modeling or compensation). Moreover, the proposed approach keeps the orthogonality between current/voltage components and removes the indetermination which occurs, with the 2nd‐order approach, in the case of sinusoidal operation. As an application example, the proposed approach is applied to the design of a hybrid compensation system including active and passive filtering.
A numerical approach to the design of conducting shields for extremely low frequency magnetic field reduction
Authors: Bottauscio O. , Chiarabaglio D. , Chiampi M. , Repetto M.
Published: July 2007

A 3D hybrid finite Element (FEM) boundary Element (BEM) formulation for the analysis of thin conducting sheet has been applied to the evaluation of the efficiency of shielding systems for extremely low frequency magnetic fields. Low Voltage (LV) 3‐phase distribution systems constituted either by busbars or cables (straight or twisted disposal) have been investigated and the numerical model, validated by comparison to experiments, has been employed to find out the influence of several geometrical and supply parameters on the shielding efficiency.
Load frequency control for power system with reheat steam turbine and governor deadband non‐linearity by using neural network controller
Authors: Zeynelgil H. L. , Demirören A. , Şengör N. S.
Published: July 2007

In this paper, a neural network (NN) controller is presented for load‐frequency control of power system. The NN controller uses back propagation‐through‐time algorithm. In the power system, the reheat effect of the steam turbine and the effect of governor deadband non‐linearity are considered by describing function approach in the state space model. By comparing the results of simulations, the performance of the NN controller is better than conventional controller. NN controller gives a shorter settling time and eliminates the necessity of parameter estimation time required in conventional adaptive control techniques.
Energy storage by capacitors
Authors: Späth H. , Becker K.‐P.
Published: July 2007

The paper presents analytical calculations for a capacitor as an energy storage device, which is discharged with constant power. Calculated are the delivered energy, the energy losses, the residual energy, the voltages and the currents at the beginning and at the end of the discharging process as well as the feasible duration of this process, all in dependence on the delivered power. The per unit values of these quantities are plotted in diagrams with both linear and logarithmic scale. To clarify the fact, that different types of capacitors are adapted for different applications of energy storage, the results of these calculations are applied to aluminium electrolytic capacitors and to double layer capacitors. In addition, the different characteristics of both types are explained by their values of specific energy and specific power.
Ability of transfer function method to diagnose axial displacement of transformer windings
Authors: Rahimpour E. , Christian J. , Feser K. , Mohseni H.
Published: July 2007

Transient currents can cause the mechanical displacement of transformer windings. The transfer function method is presented as a tool to detect this displacement. In order to be able to evaluate the measurements, the correlation between the characteristics of transfer functions and possible damages must be known. Axial displacement of transformer windings has been studied in this research. As test object a transformer with a primary winding of 31 double inverted disk (approx. 1.3 MVA, 10 kV) and a secondary winding with four layer concentric winding was used. A detailed mathematical model was developed for the test object and a comparison was carried out between measured and calculated results. To compare the sensitivity of transfer functions, five different transfer functions with different terminal conditions are simulated. It is shown that the detailed model can present the behaviour of the transformer winding in case of sound and displaced windings.
Successive expansion method of network planning applying symbolic analysis method
Authors: Škokljev I.
Published: July 2007

The conventional power system network successive expansion planning method is discussed in the context of the new paradigm of competitive electric power, energy and service market. In sequel, the paper presents an application of the conceptually new computer program, based on the symbolic analysis of load flows in power system networks. The network parameters and variables are defined as symbols. The symbolic analyzer which models analytically the power system DC load flows enables the sensitivity analysis of the power system to parameter and variable variations (costs, transfers, injections), a valuable tool for the expansion planning analysis. That virtue could not be found within the conventional approach, relying on compensation methods, precalculated distribution factors, and so on. This novel application sheds some light on the traditional power system network expansion planning method, as well as on its possible application within the system network expansion planning in the new environment assuming the competitive electric power market.
Steinmetz system design under unbalanced conditions
Authors: Jordi O. , Sainz L. , Chindris M.
Published: July 2007

This paper studies and develops general analytical expressions to obtain three‐phase current symmetrization under unbalanced voltage conditions. It proposes two procedures for this symmetrization: the application of the traditional expressions assuming symmetry conditions and the use of optimization methods based in the general analytical equations. Specifically, the paper applies and evaluates these methods to analyze the Steinmetz system design. Several graphics evaluating the error introduced by assumption of balanced voltage in the design are plotted and an example is studied to compare both procedures. In the example the necessity to apply the optimization techniques in highly unbalanced conditions is demonstrated.
Degree of insecurity estimation in a power system using functional link neural network
Authors: Singh S. N. , Srivastava K. N.
Published: July 2007

Secure operation of power system has always been a challenge to system operators. With increasing interconnection and growing load demand, a power system, sometimes, may go into the insecure operation especially after severe contingencies. It is important to develop a technique to quantify the degree of insecurity in both planning and operational stages. This paper presents such an algorithm.

The distance (Euclidean norm) in parameter space between any insecure point and closest point on feasible (secure) hypersurface is used as a measure of insecurity. Artificial Neural Network (ANN) based Functional Link Network (FLN) is proposed because ANN is very popular for complex problems. The various FLN models are evolved to estimate the degree of insecurity. The sample study is performed on an IEEE 30‐bus test system for different loading patterns and single line outage contingencies. The investigations reveal that the proposed FLN accurately estimates the degree of insecurity with least computational time compared to the existing methods.
Mixed p‐z approach for analytical analysis of an induction motor fed from space‐vector PWM voltage source inverter
Authors: Klima J.
Published: July 2007

This paper proposes an analytical method for calculating both the steady‐state and transient performance of an induction motor fed from the three‐phase voltage source inverter. As a modulation technique of the inverter we consider space vector modulation. The proposed method makes use of the Laplace and modified Z‐transformation of the space vectors (mixed p‐z approach) to predict current response of induction motor. From the Laplace transform of the stator voltage vector we can also derive Fourier analysis to predict the voltage harmonic spectrum. Experimental tests have been carried out confirming the validity of the analytical results.
Linear‐programming‐based method for optimum schedule of reactive power sources in integrated AC‐DC power systems
Authors: Abdel‐Salam M. , Seddik H.
Published: July 2007

This paper is aimed at obtaining the optimal flow of reactive power which corresponds to minimum real power losses in integrated AC‐DC power systems including one DC link. The DC power or DC current, drawn by the link at its rectifier side is introduced as a new control variable added to the normal control variables, i.e. transformer tap‐settings, generator terminal voltages and reactive‐power outputs, and switchable reactive power sources. The constraints include the reactive power limits of the generators, limits on the load bus voltages and the operating limits of the control variables. Dual linear programming is applied to minimize an objective function for system losses. Application of the proposed method on different test AC‐DC systems confirmed that less system losses is achieved with the introduction of the DC control variable.
Graphical representation of doubly‐fed induction machine operation: Consideration of stability and saturation limits
Authors: Poloujadoff M. , Kamoun M. B. A. , Toumi A.
Published: July 2007

This paper presents an extension of a previous work [1] which deals with the graphical representation of the steady‐state of doubly‐fed synchronous machine. The principal contribution of this work is a simple approach for the representation of circular diagram of the machine steady‐state stability limits. A particular interest has been given to the machine saturation. In this context, a simple approach is proposed in order to test the machine saturation level.
Cost‐benefit analysis of voltage sag mitigation methods in fiber extrusion plants
Authors: Didden M. , Belmans R. , D'haeseleer W.
Published: July 2007

The fiber extrusion process is very vulnerable to voltage sags. Being the biggest exporter of carpets in the world, Belgium has many textile fiber extrusion plants. This paper describes the importance of the voltage sag problem in such plants and possible mitigation methods. It turns out that the number of process outages due to voltage sags is less than described in other papers for other geographical grid locations. Still, there are economically attractive mitigation methods. Depending on the manufacturer of the production line, these methods get economically interesting if they mitigate between one and three outages a year. Together with a cost‐benefit analysis, this paper‐describes the methods that have already been implemented as well as possible future options.
Formation of self‐excited vibrations in wet rotor motors and their influence on the motor current
Authors: Kenull T. , Canders W. R. , Kosyna G.
Published: July 2007

Research on condition monitoring for sensitive or process relevant drives has gained increasing importance in the latest past. The efforts made to reduce repairing costs and downtime led to the requirement of monitoring electrical drives. When doing so an important aspect is the detection of damages in an early state. Condition monitoring can be done by using various kinds of sensors and by analyzing stationary and non‐stationary signals. In some cases the use of vibration sensors for pump and motor protection and condition monitoring is difficult due to insufficient space and difficult environmental conditions, e.g. high water pressure. Submersible motor pumps for example are commonly working in deep wells down to 1000 meters. That is why motor current analysis remains as the only reliable monitoring method for condition monitoring and damage protection of submersible motor pumps. As one of the results of a highly interdisciplinary project this paper reports how the damage of the journal bearings of a wet rotor motor can be detected by motor current analysis. The investigations are bound on experimental measurements of two different types of centrifugal pumps with wet rotor motors.
Wave propagation characteristics on cross‐bonded underground power transmission cables and sheath fault location
Authors: Wang X. H. , Song Y. H. , Ferguson C. P.
Published: July 2007

In this paper, a new method to locate the sheath fault on crossbonded power transmission cables is presented. This method utilises the transients generated by the fault and captured at both ends of the sections. On crossbonded power cables, there are six modes of waves travelling along the whole cable system and three are associated with the sheath. The waves travelling in mode 2 are used for fault location. The arrival times of the transients on both ends are localised by wavelet analysis. ATP simulations are used to test and validate the proposed fault location approach for typical power transmission cables.
Combined resonance phenomena due to earth wires grounding and conductor sagging effects in overhead transmission lines
Authors: Ãofaria J. A. Brand
Published: July 2007

The periodic discrete bonding of earth wires to ground, on the one hand, and the distributed conductor sagging between towers, on the other, are mechanisms that have been reported before to be individually responsible for abnormal high‐frequency responses of overhead power lines. In this paper we consider both effects superposed and then evaluate, as a function of the frequency, the even and odd mode propagation parameters characterizing a given transmission line section. We show that the two interacting mechanisms being combined do not annihilate each other; on the contrary, wave interference effects accumulate giving rise to broadband noticeable resonance phenomena for frequencies such that the line span gets close to one half wavelength, typically in the 400–600 kHz range.
An analytical approach for the operation of series compensators to relieve power flow congestion
Authors: Lim J.‐U. , Moon S.‐I.
Published: July 2007

This paper describes an analytical approach for the operation of series compensators to relieve power flow congestion. The flexible AC Transmission Systems (FACTS) devices such as thyristor‐controlled series capacitor (TCSC) and static synchronous series compensator (SSSC) can control power flow in the line by varying reactive line impedances. In the case of congestion problem at normal state or at contingency state, it is necessary for these devices to change their operating points to relieve the line flow congestion and eventually to increase the system security level. In order to find the approximate operating points, the changes in line flows for changes in control variables by series compensators are derived analytically in this paper. The derivation of these sensitivity factors is based on the DC model of power flow analysis and under the assumption that the generation dispatch is maintained. Changes in the direction and the amount of compensation can be determined according to sensitivity values derived from DC power flow model. For verification of the proposed method, intensive studies have been performed on a 10‐unit 39‐bus New England System equipped with multiple series compensators.
Power quality issues in the TRTS DC railway power networks
Authors: Wang Y. J. , Chen C. L.
Published: July 2007

This paper presents a study into power quality issues in the Taipei Rapid Transit System (TRTS). The effect of three‐phase voltage unbalance upon the second harmonic of the DC power network is simulated using the EMTP. Also studied are harmonic currents produced by the variable‐voltage variable‐frequency (VVVF) inverters of the motor‐cars at three different control modes, and possible series and parallel harmonic resonances resulting from the rail inductance and the filter capacitance.
Rotating field losses in HTSC hysteresis rotor
Authors: Grüner A. , Gutt H.‐J.
Published: July 2007

New materials such as High‐Temperature‐Super‐Conductors (HTSC) have new properties like “magnetic field penetration” ‐ as well as “flux creep” as also as “trapped field”. They will be researched by test results of several 3‐phase self‐starting HTSC‐hysteresis motors from 50 W to 1.0 kW output. The research of magnetic parameters of the superconducting rotor, for example rotational losses and complex permeability, are very important for design and analysis of the behaviour of HTSC‐motors. In the near future remanent “trapped field” induction higher than 1 T and thus higher energy density of these motors are to be expected.
Substation lightning shielding and risk assessment
Authors: Meliopoulos A. P. Sakis , Cokkinides G. J.
Published: July 2007

Electric power installations are subject to lightnining, lightning overvoltages, and the associated risk of damage or disruption. The paper presents a probabilistic method for assessing the risk of damage and disruptions from lightning overvoltages. The proposed method has two components: (a) shielding analysis and evaluation using a probabilistic implementation of the electro‐geometric model and (b) a probabilistic assessment of lightning overvoltages at power equipment and control cables for a specific lightning shielding design. Both computational procedures are based on a 3‐D model of the entire electrical installation. Visualization techniques based on animated 3‐D graphics are used to demonstrate the computational methodology.
An econometric model of U.K. manufacturing employment using survey data on expected output
Authors: Wren‐Lewis Simon
Published: July 2007

A model of U.K. manufacturing employment is estimated in which output expectations data are derived from Confederation of British Industry (CBI) survey information. The output expectations terms are highly significant, and equations including them encompass more traditional models that use current and lagged output. In addition, the equations also successfully predict the sharp falls in manufacturing employment that occurred after 1979. One interesting implication of these equations is that the decline in ‘cyclically adjusted’ productivity around 1975, and the subsequent improvement around 1980, can be largely explained in terms of a prolonged period of over‐optimistic output expectations by U.K. firms.
An adjustment procedure for predicting systematic risk
Authors: Bera Anil K. , Kannan Srinivasan
Published: July 2007

This paper looks at the currently available beta adjustment techniques and suggests a multiple root‐linear model to adjust for the regression tendency of betas. Our empirical investigate on indicates that cross‐sectional betas are not normally distributed, but their distribution tends to normal after a square‐root transformation. The evidence from the Box‐Cox regression model and the multivariate normality observed among betas after the transformation, make the functional form of our model correct. Also, we observe that the disturbance term of the multiple root‐linear model is well behaved. These findings make the ordinary least squares estimates unbiased and efficient. Finally, the mean square and extreme errors are found to be lower when our adjustment procedure is usedvis‐à‐visthe existing procedures.
Monetary anticipation and the demand for money in the U.K.: Testing rationality in the Shock‐Absorber hypothesis
Authors: Cuthbertson Keith , Taylor Mark P.
Published: July 2007

The Carr‐Darby shock‐absorber hypothesis that unanticipated changes in the money supply cause changes in real balances but anticipated changes have a unit impact on the price level (and therefore leave real balances unchanged) is tested using two‐step and joint estimation techniques. For the U.K., two‐step methods appear to support the shock‐absorber hypothesis, but the superior joint estimation technique decisively rejects the hypothesis, particularly the implicit rational expectations cross‐equation restrictions.
A forward looking model of the exchange rate
Authors: Hall S. G.
Published: July 2007

This paper outlines a simple framework for testing some of the underlying concepts which form the basis of a number of recent models of exchange rate determination. It estimates a structural exchange rate equation with explicit forward expectations using the Wickens errors‐in‐variables method. The paper finds a strong rejection of the simple open arbitrage model in favour of a more complex model.
A stock‐flow consistent macro‐econometric model of the UK economy—part I
Authors: Davis E. P.
Published: July 2007

This paper surveys briefly the main theoretical developments in the analysis of stock and flow integration in macro‐economics, then proceeds to use this corpus of theory as a critique of the structure of existing macro‐econometric models of the British economy. An outline is then suggested for a model which would take all of these stock‐flow effects into account, given the macro‐economic data currently available. In a following paper (Davis, 1987) we give a detailed account of estimation and simulation of such a stock‐flow consistent model.
Cliometrics, 1971–1986: A survey
Authors: Crafts N. F. R.
Published: July 2007

The paper selectively surveys recent quantitative work in economic history with special emphasis on research into unemployment in interwar Britain, the Habakkuk controversy, the Kuznets curve, the demographic transition and heights in history. It is shown that the field has advanced well beyond the routine applications of elementary microeconomics which characterized its early days. Considerably greater quantitative sophistication and a much wider coverage of historical issues have been notable features of this advance. It is argued that econometric methods need to be supplemented in historical work by other forms of evidence to obtain persuasive answers to historical questions.
Testing for exogeneity in limited dependent variable models using a simplified likelihood ratio statistic
Authors: Smith Richard J.
Published: July 2007

A simple likelihood‐ratio statistic for the weak exogeneity of the continuously observed endogenous variables is presented for the limited information simultaneous equations models in which a single endogenous variable is censored. The statistic is a likelihood ratio test statistic for the exclusion of the reduced form residuals of the continuously observed endogenous variables and is asymptotically locally most powerful. The procedure is illustrated by an application to a model of female labour supply.
A stock‐flow consistent macro‐econometric model of the UK economy—part II
Authors: Davis E. P.
Published: July 2007

This paper is the second of a series of two which describe the estimation and simulation of a stock‐flow consistent macro‐economic model of the UK economy. The first part (Davis, 1987) surveyed the theoretical literature on stock‐adjustment dynamics, criticized existing UK forecasting models for omitting many potential stock‐flow interactions and gave an outline of the model which is constructed here. The estimation and simulation results suggest that variables encapsulating such stock‐flow effects are frequently significant in the estimation of key equations, and that their inclusion may make a sizeable difference to the simulation properties of a model.
Sluggish quantity adjustment in a non‐clearing market—a disequilibrium econometric application to the loan market
Authors: Browne F. X.
Published: July 2007

The paper argues that the estimated speed of price adjustment in a disequilibrium econometric model is likely to be biased if allowance is not made for quantity adjustment inertia on both sides of the market. Furthermore, if the model estimated is static rather than dynamic then, in certain circumstances, an excess demand regime may be mistaken for one of excess supply and vice‐versa. In an empirical application to the loan market for the clearing banks in Ireland we can claim to have obtained some support for this belief.
Prices, wages, and import prices in Israel: 1970–1983
Authors: Melnick Rafi
Published: July 2007

This paper presents an empirical investigation of the dynamics of prices, wages and import prices in a small open economy using data for Israel in the accelerating inflationary period of 1970–1983. The appropriateness of the specification of a price equation as a function of import prices and wages is critically reviewed using Sims's methodology. The main finding is that the only significant lags in the representation of the rate of change in prices, wages and import prices are the lags of the rate of change in prices (the rate of inflation). Other factors in the representation are attributed to market forces influencing real wages and the real exchange rate. Testing the correlation of the estimated VAR residuals leads to the conclusion that a short‐term inflation equation specified as a function of present and past wages is not acceptable. A further decomposition of the VAR residuals presents evidence in favour the hypothesis that price shocks contribute to the explanation of the inflationary process in Israel. A rational expectation interpretation of the results is proposed, followed by some policy implications.
A test for the existence of allocative inefficiency in firms
Authors: Melfi C. A. , Rogers A. J.
Published: July 2007

This paper is concerned with the problem of testing for the presence of allocative inefficiency in firms for models in which the cost function is stochastic, the possibility of technical inefficiency is allowed, and the efficient input cost share equations are stochastic. The test exploits the relationships among the disturbances in the cost and share equations to derive implications of the existence of allocative inefficiency. This leads to the use of a Wald‐type statistic to take account of the one‐sided nature of the alternative. Some empirical experience is reported.
The econometric analysis of models with risk terms
Authors: Pagan Adrian , Ullah Aman
Published: July 2007

In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set. Four existing methods commonly used to estimate models with risk terms are examined, and applications of the techniques are made to the estimation of the risk term in the $US/$C exchange market, and the effects of price uncertainty upon production.
Efficient estimation with panel data: An empirical comparison of instrumental variables estimators
Authors: Cornwell Christopher , Rupert Peter
Published: July 2007

Hausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our returns to schooling example noticeable efficiency gains are limited to the coefficients of time‐invariant endogenous variables. This is important, however, since education does not vary over time in our sample.
Constructing the true cost of living index from the Engel curves of the PIGLOG model
Authors: Fry Vanessa , Pashardes Panos
Published: July 2007

This paper investigates the properties of the Tornqvist index and shows how this can be used to construct a true cost of living index from a simple system of Engel curves. This allows the substitution bias inherent in a fixed weight index to be estimated using the maximum degree of commodity disaggregation available in the data. Furthermore the proposed index can be decomposed to show the impact of inflation on households with different expenditure levels and household chararacteristics. An empirical application of the method is given, using data on UK food expenditures.
The relationship between the level and variability of inflation: Theory and evidence
Authors: Demetriades Panikos O.
Published: July 2007

This paper emphasizes the role played by asymmetric stabilization policies in producing the widely reported positive association between the level and variability of inflation. A simple theoretical model is constructed which shows how asymmetric policies give rise to this association. The empirical findings presented provide support to the proposition that variations in inflation uncertainty are policy‐induced.
A qualitative response analysis of UK firms' employment and output decisions
Authors: McIntosh James , Schiantarelli Fabio , Low William
Published: July 2007

This paper investigates firms' employment and output decisions and presents some empirical evidence concerning the rationality of firms' expectations. The dymanic model is based on the assumptions of convex adjustment costs and monopolistic competition in the product market. The results are obtained using categorical information on individual firms contained in business surveys collected by the Confederation of British Industry. Ordered probit models are used to estimate the employment and output equations. We find that expected demand is a critical determinant of firms' decisions, the effect of changes in cost conditions is not as well determined, and the data are not consistent with the rational expectations hypothesis.
Consistent estimation when the left‐hand variable is exogenous over part of the sample period
Authors: Kohli U.
Published: July 2007

This paper proposes a consistent estimation method for regression equations with a left‐hand variable that is endogenous for some observations, and exogenous for others. This method is applied to the estimation of a demand‐for‐money function for Switzerland over a time interval which includes periods of monetary control; that is periods when the quantity of money can best be viewed as exogenous.
A random walk through the Gibson paradox
Authors: Corbae Dean , Ouliaris Sam
Published: July 2007

Evidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference, that the price level possesses a significant coefficient. We argue that this class of evidence is spurious since the nominal interest rate and the price level (both integrated variables) do not form a cointegrated system.
Semiparametric efficiency bounds
Authors: Newey Whitney K.
Published: July 2007

Semiparametric models are those where the functional form of some components is unknown. Efficiency bounds are of fundamental importance for such models. They provide a guide to estimation methods and give an asymptotic efficiency standard. The purpose of this paper is to provide an introduction to research methods and problems for semiparametric efficiency bounds. The nature of the bounds is discussed, as well as ways of calculating them. Their uses in solving estimation problems are outlined, including construction of semiparametric estimators and calculation of their limiting distribution. The paper includes new results as well as survey material.
Distribution of personal income: Development of a new model and its application to U.S. income data
Authors: Majumder Amita , Chakravarty Satya Ranjan
Published: July 2007

This paper proposes a four‐parameter statistical model of the personalized distribution of income using the ‘income share elasticity’ approach suggested by Esteban (1986). Our proposed model includes the Singh–Maddala (1976) and Dagum (1977) distributions as special cases. The generalized beta II distribution of McDonald (1984) is also a variant of this model. It appears to give an excellent fit to US income data and its empirical performance turns out to be superior to those of the Singh–Maddala (1976), Dagum (1977), the five‐parameter Champernowne (1953) distributions and the generalized beta II distribution of McDonald (1984) on some data.
Asymptotic least‐squares estimation efficiency considerations and applications
Authors: Kodde D. A. , Plam F. C. , Pfann G. A.
Published: July 2007

This paper is concerned with the large sample efficiency of the asymptotic least‐squares (ALS) estimators introduced by Gouriéroux, Monfort, and Trognon (1982, 1985) and Chamberlain (1982, 1984). We show how the efficiency of these estimators is affected when additional information is incorporated into the estimation procedure. The relationship between ALS and maximum likelihood is discussed. It is shown that ALS can be used to obtain asymptotically efficient estimates for a large range of econometric models. Many results from the literature on estimation are special cases of the framework adopted in this paper. An application of ALS to a dynamic rational expections factor demand model in the manufacturing sector in The Netherlands demonstrates the potential of the method in the estimation of the parameters in models which are subject to nonlinear cross‐equation restrictions.
Cointegration in a macroeconomic system
Authors: Kunst Robert , Neusser Klaus
Published: July 2007

This paper investigates the long‐run relationships within a set of six quarterly time‐series on the Austrian economy by means of cointegration. After analysing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum‐likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic time trends. In a next stage we investigate whether the empirically determined cointegrating relationships are compatible with implications derived from the neoclassical growth model with exogenous stochastic technical progress. It is found that the Austrian data strongly reject the propositions that the real interest rate and the log ratios of consumption to output, investment to output, and the real gross wage sum to output are stationary.
Multiple and pairwise non‐nested tests of the influence of taxes on money demand
Authors: Smith Marlene A. , Smyth David J.
Published: July 2007

The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accommodate multiple and binary tests of autoregressive, non‐nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P‐tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that pre‐tax variables are preferred to GNP in M1 money equations.
Bivariate garch estimation of the optimal commodity futures Hedge
Authors: Baillie Richard T. , Myers Robert J.
Published: July 2007

Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures. The estimated OHRs reveal that the standard assumption of a time‐invariant OHR is inappropriate. For each commodity the estimated OHR path appears non‐stationary, which has important implications for hedging strategies.
A small linear model of wage‐ and price‐inflation in the Norwegian economy
Authors: Nymoen R.
Published: July 2007

This paper presents a model of inflation in a small open economy which features both wage‐wage linkages and a wage‐price spiral. Hence we have a simultaneous structure which contains the conventional Scandinavian model of inflation as a special case. Full system estimation results are reported. Great emphasis is placed on data coherency and on parameter stability. One interesting finding is that both wage growth and the wage level in the exposed (E)‐sector are strongly influenced by the outside wage. This contradicts the predictions of the Scandinavian model, which defines the wage‐leading role of the E‐sector by the absence of outside wage effects in E‐sector wage formation. Another result is that the speed of adjustment to exogenous shocks is greater for prices than for wages. This finding may be important in explaining real wage flexibility, which is often seen as the hallmark of low unemployment economies such as the Norwegian.
Flat priors vs. ignorance priors in the analysis of the AR(1) model
Authors: Kim In‐Moo , Maddala G. S.
Published: July 2007

The paper compares, by a Monte‐Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter p higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at p higher than 1, even when the true value of p is substantially less than 1.
The case for trend‐stationarity is stronger than we thought
Authors: Dejong David N. , Whiteman Charles H.
Published: July 2007

In DeJong and Whiteman (1991a), we concluded that 11 of the 14 macroeconomic time‐series originally studied by Nelson and Plosser (1982) supported trend‐stationarity. Phillips (1991) criticizes this inference, claiming that our procedure is biased against integration, and that our results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favour of integration; despite these biases, Phillips' own findings indicate that the data provide the greatest relative support to trend‐stationarity. This result is similar to our own (1989, 1990, 1991b) findings concerning the sensitivity of our results; the trend‐stationarity inference is remarkably robust.