Testing Seasonal Unit Roots in Data at Any Frequency, an HEGY approach

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Testing for Seasonal Unit Roots when Residuals Contain Serial Correlations under HEGY Test Framework

This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.

Testing common nonlinear features in vector nonlinear autoregressive models

This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).

Testing of combined heating systems for small houses: Improved procedures for whole system test methods : Deliverable 2.3

Dynamic system test methods for heating systems were developed and applied by the institutes SERC and SP from Sweden, INES from France and SPF from Switzerland already before the MacSheep project started. These test methods followed the same principle: a complete heating system – including heat generators, storage, control etc., is installed on the test rig; the test rig software and hardware simulates and emulates the heat load for space heating and domestic hot water of a single family house, while the unit under test has to act autonomously to cover the heat demand during a representative test cycle. Within the work package 2 of the MacSheep project these similar – but different – test methods were harmonized and improved. The work undertaken includes:  • Harmonization of the physical boundaries of the unit under test. • Harmonization of the boundary conditions of climate and load. • Definition of an approach to reach identical space heat load in combination with an autonomous control of the space heat distribution by the unit under test. • Derivation and validation of new six day and a twelve day test profiles for direct extrapolation of test results.   The new harmonized test method combines the advantages of the different methods that existed before the MacSheep project. The new method is a benchmark test, which means that the load for space heating and domestic hot water preparation will be identical for all tested systems, and that the result is representative for the performance of the system over a whole year. Thus, no modelling and simulation of the tested system is needed in order to obtain the benchmark results for a yearly cycle. The method is thus also applicable to products for which simulation models are not available yet. Some of the advantages of the new whole system test method and performance rating compared to the testing and energy rating of single components are:  • Interaction between the different components of a heating system, e.g. storage, solar collector circuit, heat pump, control, etc. are included and evaluated in this test. • Dynamic effects are included and influence the result just as they influence the annual performance in the field. • Heat losses are influencing the results in a more realistic way, since they are evaluated under "real installed" and representative part-load conditions rather than under single component steady state conditions.   The described method is also suited for the development process of new systems, where it replaces time-consuming and costly field testing with the advantage of a higher accuracy of the measured data (compared to the typically used measurement equipment in field tests) and identical, thus comparable boundary conditions. Thus, the method can be used for system optimization in the test bench under realistic operative conditions, i.e. under relevant operating environment in the lab.   This report describes the physical boundaries of the tested systems, as well as the test procedures and the requirements for both the unit under test and the test facility. The new six day and twelve day test profiles are also described as are the validation results.