Search results

This paper investigates the usefulness of switching Gaussian state space models as a tool for implementing dynamic model selection (DMS) or averaging (DMA) in time-varying parameter regression models. DMS methods allow for model switching, where a different model can be chosen at each point in time. Thus, they allow for the explanatory variables in the time-varying parameter regression model to change over time. DMA will carry out model averaging in a time-varying manner. We compare our exact method for implementing DMA/DMS to a popular existing procedure which relies on the use of forgetting factor approximations. In an application, we use DMS to select different predictors in an inflation forecasting application. We find strong evidence of model switching. We also compare different ways of implementing DMA/DMS and find forgetting factor approaches and approaches based on the switching Gaussian state space model to lead to similar results.

Many recent chapters have investigated whether data from internet search engines such as Google can help improve nowcasts or short-term forecasts of macroeconomic variables. These chapters construct variables based on Google searches and use them as explanatory variables in regression models. We add to this literature by nowcasting using dynamic model selection (DMS) methods which allow for model switching between time-varying parameter regression models. This is potentially useful in an environment of coefficient instability and over-parameterization which can arise when forecasting with Google variables. We extend the DMS methodology by allowing for the model switching to be controlled by the Google variables through what we call “Google probabilities”: instead of using Google variables as regressors, we allow them to determine which nowcasting model should be used at each point in time. In an empirical exercise involving nine major monthly US macroeconomic variables, we find DMS methods to provide large improvements in nowcasting. Our use of Google model probabilities within DMS often performs better than conventional DMS methods.

This paper applies the variable forgetting factor and the fixed forgetting factor to financial time-series analysis, and establishes the linkage for the first time between the variable forgetting factor approach and kernel smoothing. We then demonstrate the use of the proposed variable forgetting factor approach to undertake forecasting of the Euro's exchange rates and the CRSP monthly net asset values (NAV). For both applications, the findings show that the kernel bandwidth so determined can improve the forecasting performance.

In this chapter we use a new data weighting process to examine the relationships between stock market returns in major Southeast Asian nations. Investigation is then directed to financial integration between those ASEAN countries and the larger Asia-Pacific region.

The findings indicate that, after the Asian financial crisis, financial integration has continued in most ASEAN countries and between ASEAN countries and the larger Asia-Pacific region. Such effects can be accounted for by the forgetting factor technique. This new technique will provide revenue managers with a decision-making tool to evaluate some complex underlying relationships which managers cannot comprehend prima facie.

In this chapter, we apply an efficient subset of vector error correction model (VECM) using the forgetting factor to examine the cointegration under climate change of the time series of the gross domestic product (GDP) and the industrial production and that of the utilization and consumption of important metals such as copper and steel in some important OECD countries as well as some selected newly industrialized Asian and Latin American countries. Both the long-term and the short-term dynamic relations among these variables are examined and the implications are discussed.

This paper illuminates the distinction between individual and organizational actors in business-to-business markets as well as the coexistence of formal and informal mechanisms of coordination in multinational corporations. The main questions addressed include the following. (1) What factors influence the occurrence of personal contacts of foreign subsidiary managers in industrial multinational corporations? (2) How such personal contacts enable coordination in industrial markets and within multinational firms? The theoretical context of the paper is based on: (1) the interaction approach to industrial markets, (2) the network approach to industrial markets, and (3) the process approach to multinational management. The unit of analysis is the foreign subsidiary manager as the focal actor of a contact network. The paper is empirically focused on Portuguese sales subsidiaries of Finnish multinational corporations, which are managed by either a parent country national (Finnish), a host country national (Portuguese) or a third country national. The paper suggests eight scenarios of individual dependence and uncertainty, which are determined by individual, organizational, and/or market factors. Such scenarios are, in turn, thought to require personal contacts with specific functions. The paper suggests eight interpersonal roles of foreign subsidiary managers, by which the functions of their personal contacts enable inter-firm coordination in industrial markets. In addition, the paper suggests eight propositions on how the functions of their personal contacts enable centralization, formalization, socialization and horizontal communication in multinational corporations.

Despite considerable development in our understanding of potential over the past two decades, we argue that the failure to adequately conceptualize and manage “potential” in the context of talent management has significantly limited the ability of organizations to meet their talent needs. In this chapter, we begin by defining the concept of potential, calling attention to the need to separate it from performance. We also address the need to specify the target for judgments of potential (e.g., management level, specific roles), along with the identification of constructs to measure. The chapter highlights two contextual variables – gender and culture, including translations of language that describe relevant constructs – that may impact judgments of potential. This chapter concludes by summarizing what we know and by identifying a variety of future directions for research on the important construct of potential.

The potential impact of farmer's innovations for the development of food regimes is the topic of this chapter. Two case studies analysed from the perspective of strategic niche management show that there is niche formation visible as an alternative to the dominant modern food regime. These innovations are based upon the active rediscovery of marginalised and often forgotten knowledge and result in effective linkages between old and new knowledge. This retro side of innovations can have a large potential for developing viable alternatives for rural development. Social scientists play an important role in the understanding of the retro side of innovations and its potential and influence on the prevailing knowledge and information systems inside and outside of the scientific domain.

Neoclassic economics is a thing of considerable beauty. It yet finds an increasing tendency on the part of those trained in its discipline to rebel from its neatly fitted abstractions and intriguing diagrams. The rebellion stems from two sources. Veblen's sweeping attacks upon its postulates¹⁶ shock its theoretical foundations. The rapid changes in the industrial and business world discredited it on another front by bringing into increasingly sharp relief the divergence between the institutional assumptions of the orthodox theory and the conditions actually obtaining. The giant corporation, overhead costs, and the necessity for maintenance of volume, industrial concentration, the trade association, a widening spread among income classes, advertising, the growing inability of the consumer to gauge quality, the resort to reorganization instead of the “going out of business” of the long-run analyses – what place could the orthodox theory give to these important characteristics of the existing business economy?

The Public Organisation Risk Management concept challenges managers to develop a means of systematically identifying and managing key features of the organisation’s uncertainty field (its risks, uncertainties, the unknown and emergent, and the human perception/behaviour component). This presents an immense challenge, as it seems an organisation would need – in some sense – to identify all aspects of the environment before then isolating that subset of the most important risks and uncertainties. Clearly this is impossible, but a conscious awareness of this limitation might be valuable in its own right.

Assessment and analysis refers to the systematic and ongoing process by which a public organisation identifies, analyses, and measures the key components of its uncertainty field. A foundation concept that governs assessment and analysis is the view that public organisations are, in effect, collections of contracts, obligations, commitments, and agreements between the government and resource holders. Those arrangements serve as means by which the public organisation becomes exposed to the elements of the uncertainty field. Those elements, in turn, arise from the physical, social, political, economic, legal, operational, and cognitive environments.

A more detailed exposition of assessment and analysis appears in both Chapters Six and Seven. Here, in Chapter Five the goal is to set the foundation for such an exploration. Key terms and concepts are presented, and some core issues are introduced. As with all chapters, the discussion will address what have been identified as ‘traditional’ as well as enterprise risk management influenced perspectives. This in turn will lead to some coverage of alternative thinking about the assessment and analysis process.