Do shocks permanently change output? : Local persistency in economic time series

While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.

On the purchasing power parity for Latin-American countries

The purpose of this paper is to test the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. These countries share similar economic history and contagious effects from currency crises, which might lead to comovements in their real exchange rates. New time series unit root tests found evidence of PPP for the vast majority of countries. In the panel data framework, tests for the null of unit root, null of stationarity, and unit root under multiple structural breaks indicated stationary real exchange rates. Thus, there is convincing evidence that PPP holds for Latin-American countries in the post-1980 period.

An econometric study on purchasing-power parity

Neste trabalho abordamos alguns “puzzles” da Paridade do Poder de Compra (PPC) ainda não resolvidos; durante esse processo propomos um novo modelo não-linear e estudamos o papel da agregação temporal e de bases de dados abrangendo apenas um pequeno período histórico. A hipótese de que não existe uma força de convergência agindo sobre o câmbio real ajustado (ARER) foi fortemente rejeitada estatisticamente, e a não-linearidade se mostrou um questão importante. As meia-vidas encontradas para o Brasil usando os modelos padrão parecem ser uma das menores já encontradas para um país, e chegamos à conclusão de que a velocidade de convergência em direção a PPC ainda não pode ser considerada um consenso. Pretendemos, em adição, dar contribuições através do levantamento e esclarecimento de alguns resultados e problemas potenciais concernentes ao estudo da PPC.

Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Market coupling in the power markets

The thesis analyses the European Unions’ effort to create an integrated pan-European electricity market based on “market coupling” as the proposed allocation mechanism for interconnector transfer capacity. Thus, the thesis’ main focus is if market coupling leads to a price convergence in interlinked markets and how it affects the behavior of electricity price data. The applied research methods are a qualitative, structured literature review and a quantitative analysis of electricity price data. The quantitative analysis relies on descriptive statistics of absolute price differentials and on a Cointegration analysis according to Engle & Granger (1987)’s two step approach. Main findings are that implicit auction mechanisms such as market coupling are more efficient than explicit auctions. Especially the method of price coupling leads to a price convergence in involved markets, to social welfare gains and reduces market power of producers, as shown on the example of the TLC market coupling. The market coupling initiative between Germany and Denmark, on the other hand, is evaluated as less successful and illustrates the complexity and difficulties of implementing market coupling initiatives. The cointegration analysis shows that the time series were already before the coupling date cointegrated, but the statistical significance increased. The thesis suggests that market coupling leads to a price convergence of involved markets and thus functions as method to create a single, integrated European electricity market.

Melhora da estabilidade dinâmica de sistemas elétricos de potência multimáquinas usando o dispositivo facts thyristor-controlled series capacitor - TCSC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The gradually truncated Levy flight for systems with power-law distributions

Power-law distributions have been observed in various economical and physical systems. Levy flights have infinite variance which discourage a physical approach. We introduce a class of stochastic processes, the gradually truncated Levy flight in which large steps of a Levy flight are gradually eliminated. It has finite variance and the system can be analyzed in a closed form. We applied the present method to explain the distribution of a particular economical index. The present method can be applied to describe time series in a variety of fields, i.e. turbulent flow, anomalous diffusion, polymers, etc. (C) 1999 Elsevier B.V. B.V. All rights reserved.

Dimmable electronic ballast with high power-factor SEPIC preregulator, for multiple tubular fluorescent lamps

An electronic ballast for multiple tubular fluorescent lamps is presented in this paper. The proposed structure features high power-factor, dimming capability, and soft-switching to the semiconductor devices operated in high frequencies. A Zero-Current-Switching - Pulse-Width-Modulated (ZCS-PWM) SEPIC converter composes the rectifying stage, controlled by the instantaneous average input current technique, performing soft-commutations and high input power factor. Regarding the inverting stage, it is composed by a classical resonant Half-Bridge converter, associated to Series Parallel-Loaded Resonant (SPLR) filters. The dimming control technique employed in this Half-Bridge inverter is based on the phase-shift in the current processed through the sets of filter + lamp. In addition, experimental results are shown in order to validate the developed analysis.

Effects of the thyristor controlled serie capacitor on the electric power system

This work deals with the effects of the series compensation on the electric power system for small-signal stability studies. Therefore, the system is modeled admitting the existence of the compensation and then, the equations are linearized and a linear model is obtained for a single machine-infinite bus power system with a compensator installed. The resulting model with nine defined constants is very similar to the Heffron & Phillips linear model widely used on the existent literature. Finally, simulations are executed for an example system, to analyze the behavior of these constants when loading the system. © 2004 IEEE.

Stability analysis of power system including facts (TCSC) effects by direct method approach

The problem of power system stability including the effects of a flexible alternating current transmission system (FACTS) is approached. First, the controlled series compensation is considered in the machine against infinite bar system and its effects are taken into account by means of construction of a Lyapunov function (LF). This simple system is helpful in order to understand the form the device affects dynamic and transient performance of the power system. After, the multimachine case is considered and it is shown that the single-machine results apply to multimachine systems. An energy-form Lyapunov function is derived for the power system including the FACTS device and it is used to analyse damping and synchronizing effects due to the FACTS device in single-machine as well as in multimachine power systems. © 2005 Elsevier Ltd. All rights reserved.

Frequency-adjustable positive sequence detector for power conditioning applications

This paper proposes a novel and simple positive sequence detector (PSD), which is inherently self-adjustable to fundamental frequency deviations by means of a software-based PLL (Phase Locked Loop). Since the proposed positive sequence detector is not based on Fortescue's classical decomposition and no special input filtering is needed, its dynamic response may be as fast as one fundamental cycle. The digital PLL ensures that the positive sequence components can be calculated even under distorted waveform conditions and fundamental frequency deviations. For the purpose of validating the proposed models, the positive sequence detector has been implemented in a PC-based Power Quality Monitor and experimental results illustrate its good performance. The PSD algorithm has also been evaluated in the control loop of a Series Active Filter and simulation results demonstrate its effectiveness in a closed-loop system. Moreover, considering single-phase applications, this paper also proposes a general single-phase PLL and a Fundamental Wave Detector (FWD) immune to frequency variations and waveform distortions. © 2005 IEEE.

Consumer behavior after the Brazilian power rationing in 2001

In June 2001, after a dry period, the level of the water reservoirs in Brazil was below their operational levels. This situation, combined with other historical factors, led the country into a period of power rationing. As expected, power consumption lowered during this period. After December 2001, when the power rationing ended, electrical utilities expected to return to their normal power consumption in a matter of months, but the level of power consumption only returned to its level around years 2004 2005. Consumer behavior went through a change during this period, and the consumers kept this behavior after, leading to electrical and economical consequences until today. This paper presents an analysis of several factors that led to these events, including historical consumption data and comparisons with similar situations. The objective of this analysis is to give helpful information to electrical utilities, that could deal with similar situations, in their load forecasting studies. © 2006 IEEE.

Development of a DC-DC converter for DC bus voltage control of series connected device

The purpose of this work is to study voltage control and energy balance of a split DC bus topology within a power electronics equipment connected to the AC mains, such as UPS systems, wind power generators, active filters and FACTS devices. A typical configuration in such equipment has two mains connected converters sharing a common DC bus, one series connected and the other parallel connected. The DC bus is usually composed by a battery or a capacitor bank. In the proposed topology, the DC bus is divided in two sides, interconnected with a buck-boost converter, which controls power flow and DC voltage on both sides. © 2009 IEEE.

Reactive power support pricing of distributed generators with primary energy source uncertainty

In this paper, a novel methodology to price the reactive power support ancillary service of Distributed Generators (DGs) with primary energy source uncertainty is shown. The proposed methodology provides the service pricing based on the Loss of Opportunity Costs (LOC) calculation. An algorithm is proposed to reduce the uncertainty present in these generators using Multiobjective Power Flows (MOPFs) implemented in multiple probabilistic scenarios through Monte Carlo Simulations (MCS), and modeling the time series associated with the generation of active power from DGs through Markov Chains (MC). © 2011 IEEE.

Pricing of reactive power support provided by distributed generators in transmission systems

Distributed Generation, microgrid technologies, two-way communication systems, and demand response programs are issues that are being studied in recent years within the concept of smart grids. At some level of enough penetration, the Distributed Generators (DGs) can provide benefits for sub-transmission and transmission systems through the so-called ancillary services. This work is focused on the ancillary service of reactive power support provided by DGs, specifically Wind Turbine Generators (WTGs), with high level of impact on transmission systems. The main objective of this work is to propose an optimization methodology to price this service by determining the costs in which a DG incurs when it loses sales opportunity of active power, i.e, by determining the Loss of Opportunity Costs (LOC). LOC occur when more reactive power is required than available, and the active power generation has to be reduced in order to increase the reactive power capacity. In the optimization process, three objectives are considered: active power generation costs of DGs, voltage stability margin of the system, and losses in the lines of the network. Uncertainties of WTGs are reduced solving multi-objective optimal power flows in multiple probabilistic scenarios constructed by Monte Carlo simulations, and modeling the time series associated with the active power generation of each WTG via Fuzzy Logic and Markov Chains. The proposed methodology was tested using the IEEE 14 bus test system with two WTGs installed. © 2011 IEEE.