Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH

The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.

A structural VAR analysis of electricity consumption and real GDP : evidence from the G7 countries

In this paper, we depart from the literature on electricity consumption–real GDP in that for the first time we examine the reaction of real GDP to shocks in electricity consumption. To achieve this goal, we use the structural vector autoregressive (SVAR) model and examine the impact of electricity consumption shocks on real GDP for the G7 countries. We find that except for the USA, electricity consumption has a statistically significant positive impact on real GDP over short horizons. This finding implies that except for the USA, electricity conservation policies will hurt real GDP in the G7 countries.

Temporal causality between human capital and real income in cointegrated VAR processes : empirical evidence from China, 1960-1999

This article examines the causal relationship between human capital and real income using data for China from 1960 to 1999. In the long run there is unidirectional Granger causality running from human capital to real income, while in the short run there is unidirectional Granger causality running from real income to human capital

A factor-augmented VAR approach : the effect of a rise in the US personal income tax rate on the US and Canada

In this paper a factor-augmented vector autoregressive (FAVAR) model is estimated to characterize the dynamic effects of shocks in the personal income tax rate in the United States on United States and Canadian economies. The representation and the estimate of the FAVAR model is based on Stock and Watson (2005) and the shocks are recovered applying the identification scheme proposed by Bernanke et al. (2005); this method allows impulse response functions to be generated for all the variables in the dataset and provides a description of the domestic and international transmission mechanisms of United States movements in the personal income tax rate. A distinguishing feature of our model is the disaggregation of traded goods sector where imports and exports are disaggregated into 12 and 13 industries, respectively. This provides extra information on the domestic and international transmission mechanism across the two countries. The results show that the FAVAR approach generates a reasonable characterisation of the effects of United States movements in the US personal income tax rate on the United States economy and its transmission to the Canadian economy.

Optimisation of Bacillus thuringiensis var. israelensis (Vectobac) applications for the blackfly control programme on the Orange River, South Africa

The Orange River, South Africa’s largest river, is a critical water resource for the country. In spite of the clear economic benefits of regulating river flows through a series of impoundments, one of the significant undesirable ecological consequences of this regulation has been the regular outbreaks of the pest blackfly species Simulium chutteri and S. damnosum s.l. (Diptera: Simuliidae). The current control programme, carried out by the South African National Department of Agriculture, uses regular applications, by helicopter, of the target-specific bacterial larvicide Bacillus thuringiensis var. israelensis. While cost-benefit analyses show significant benefits to the control programme, benefits could potentially be further increased through applying smaller volumes of larvicide in an optimised manner, which incorporates upstream residual amounts of pesticide through downstream carry. Using an optimisation technique applied in the West African Onchocerciasis Control Programme, to a 136 km stretch of the Orange River which includes 31 blackfly breeding sites, we demonstrate that 28.5% less larvicide could be used to potentially achieve the same control of blackfly. This translates into potential annual savings of between R540 000 and R1 800 000. A comparison of larvicide volumes estimated using traditional vs. optimised approaches at different discharges, illustrates that the savings on optimisation decline linearly with increasing flow volumes. Larvicide applications at the lowest discharge considered (40 m³·s^-1) showed the greatest benefits from optimisations, with benefits remaining but decreasing to a theoretical 30% up to median flows of 100 m3·s-1. Given that almost 70% of flows in July are less than 100 m³·s^-1, we suggest that an optimised approach is appropriate for the Orange River Blackfly Control Programme, particularly for flow volumes of less than 100 m³·s^-1. We recommend that trials be undertaken over two reaches of the Orange River, one using the traditional approach, and another using the optimised approach, to test the efficacy of using optimised volumes of B.t.i.

Salicylic acid suppression of clubroot in broccoli (Brassicae oleracea var. italica) caused by the obligate biotroph Plasmodiophora brassicae

The obligate soil-borne biotroph Plasmodiophora brassicae has a significant economic impact on Brassicaceae crops. The pathogen severely disrupts the roots by inducing the production of galls which leads to malformation and reduced growth of the roots and a reduced ability to take up water and nutrients. Control of P. brassicae is difficult because it has a number of survival and dissemination strategies that involve both motile and resting stages that need to be targeted by any control agent. We investigated, under controlled conditions and in glasshouse and field experiments, the potential of salicylic acid (SA), a key phytohormone, that is required for defence against certain biotic and abiotic stresses, to reduce infection by P. brassicae in broccoli (Brassicae oleracea var. italica). Under controlled conditions in a growth cabinet exogenous application of SA to roots resulted in its transport systemically to the leaves where it promoted the up-regulation of the pathogenesis related genes PR-1 and PR-2 in an SAR-like response as early as 24 h post-treatment. Concentrations of SA >20 mM reduced significantly both shoot and root weights when applied exogenously but lower concentrations had little measureable effect on plant growth. When SA was applied to plants above 5 mM there was a significant reduction (25-65 %) in gall formation 6 weeks post-inoculation with P. brassicae, indicating that the pathogen was being controlled by the addition of SA. A combination of SA and JA was also shown to reduce severity (25-35 %) of disease associated with P. brassicae. These findings indicate that there may be SA inducible mechanisms in B. oleracea that if fine-tuned could provide enhanced resistance to clubroot disease.

An effective VAR planning to improve dynamic voltage profile of distribution networks with distributed wind generation

This paper proposes an effective VAR planning based on reactive power margin for the enhancement of dynamic voltage stability in distribution networks with distributed wind generation. The analysis is carried over a distribution test system representative of the Kumamoto area in Japan. The detailed mathematical modeling of the system is also presented. Firstly, this paper provides simulation results showing the effects of composite load on voltage dynamics in the distribution network through an accurate time-domain analysis. Then, a cost-effective combination of shunt capacitor bank and distribution static synchronous compensator (D-STATCOM) is selected to ensure fast voltage recovery after a sudden disturbance. The analysis shows that the proposed approach can reduce the size of compensating devices, which in turn, reduces the cost. It also reduces power loss of the system.