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Book part
Publication date: 22 November 2012

Eric R. Sims

A state space representation of a linearized DSGE model implies a VAR in terms of observable variables. The model is said be non-invertible if there exists no linear rotation of…

Abstract

A state space representation of a linearized DSGE model implies a VAR in terms of observable variables. The model is said be non-invertible if there exists no linear rotation of the VAR innovations which can recover the economic shocks. Non-invertibility arises when the observed variables fail to perfectly reveal the state variables of the model. The imperfect observation of the state drives a wedge between the VAR innovations and the deep shocks, potentially invalidating conclusions drawn from structural impulse response analysis in the VAR. The principal contribution of this chapter is to show that non-invertibility should not be thought of as an “either/or” proposition – even when a model has a non-invertibility, the wedge between VAR innovations and economic shocks may be small, and structural VARs may nonetheless perform reliably. As an increasingly popular example, so-called “news shocks” generate foresight about changes in future fundamentals – such as productivity, taxes, or government spending – and lead to an unassailable missing state variable problem and hence non-invertible VAR representations. Simulation evidence from a medium scale DSGE model augmented with news shocks about future productivity reveals that structural VAR methods often perform well in practice, in spite of a known non-invertibility. Impulse responses obtained from VARs closely correspond to the theoretical responses from the model, and the estimated VAR responses are successful in discriminating between alternative, nested specifications of the underlying DSGE model. Since the non-invertibility problem is, at its core, one of missing information, conditioning on more information, for example through factor augmented VARs, is shown to either ameliorate or eliminate invertibility problems altogether.

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

Keywords

Book part
Publication date: 22 November 2012

Juan Carlos Escanciano, Thomas B. Fomby, R. Carter Hill, Eric Hillebrand and Ivan Jeliazkov

This volume of Advances in Econometrics is devoted to dynamic stochastic general equilibrium (DSGE) models, which have gained popularity in both academic and policy circles as a…

Abstract

This volume of Advances in Econometrics is devoted to dynamic stochastic general equilibrium (DSGE) models, which have gained popularity in both academic and policy circles as a theoretically and methodologically coherent way of analyzing a variety of issues in empirical macroeconomics. The volume is divided into two parts. The first part covers important topics in DSGE modeling and estimation practice, including the modeling and role of expectations, the study of alternative pricing models, the problem of non-invertibility in structural VARs, the possible weak identification in new open economy macro models, and the modeling of trend inflation. The second part is devoted to innovations in econometric methodology. The papers in this section advance new techniques for addressing key theoretical and inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood, and method of moments estimators.

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

Book part
Publication date: 19 October 2020

Hon Ho Kwok

This chapter develops a set of two-step identification methods for social interactions models with unknown networks, and discusses how the proposed methods are connected to the…

Abstract

This chapter develops a set of two-step identification methods for social interactions models with unknown networks, and discusses how the proposed methods are connected to the identification methods for models with known networks. The first step uses linear regression to identify the reduced forms. The second step decomposes the reduced forms to identify the primitive parameters. The proposed methods use panel data to identify networks. Two cases are considered: the sample exogenous vectors span Rn (long panels), and the sample exogenous vectors span a proper subspace of Rn (short panels). For the short panel case, in order to solve the sample covariance matrices’ non-invertibility problem, this chapter proposes to represent the sample vectors with respect to a basis of a lower-dimensional space so that we have fewer regression coefficients in the first step. This allows us to identify some reduced form submatrices, which provide equations for identifying the primitive parameters.

Abstract

Details

Mathematical and Economic Theory of Road Pricing
Type: Book
ISBN: 978-0-08-045671-3

Book part
Publication date: 1 January 2005

Hai Yang and Hai-Jun Huang

Abstract

Details

Mathematical and Economic Theory of Road Pricing
Type: Book
ISBN: 978-0-08-045671-3

Book part
Publication date: 13 December 2013

Fabio Canova and Matteo Ciccarelli

This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between heterogeneous…

Abstract

This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between heterogeneous assets, households, firms, sectors, and countries. We discuss what their distinctive features are, what they are used for, and how they can be derived from economic theory. We also describe how they are estimated and how shock identification is performed. We compare panel VAR models to other approaches used in the literature to estimate dynamic models involving heterogeneous units. Finally, we show how structural time variation can be dealt with.

Details

VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

Keywords

Book part
Publication date: 13 December 2013

Raffaella Giacomini

This article reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation. The mapping between DSGE…

Abstract

This article reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation. The mapping between DSGE and VAR models is broken down into three stages: (1) from DSGE to state-space model; (2) from state-space model to VAR( ); (3) from VAR( ) to finite-order VAR. The focus is on discussing what can go wrong at each step of this mapping and on critically highlighting the hidden assumptions. I also point out some open research questions and interesting new research directions in the literature on the econometrics of DSGE models. These include, in no particular order: understanding the effects of log-linearization on estimation and identification; dealing with multiplicity of equilibria; estimating nonlinear DSGE models; incorporating into DSGE models information from atheoretical models and from survey data; adopting flexible modeling approaches that combine the theoretical rigor of DSGE models and the econometric model’s ability to fit the data.

Details

VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

Keywords

Open Access
Article
Publication date: 16 July 2021

Nikolay Andreevich Moldovyan and Dmitriy Nikolaevich Moldovyan

The practical purpose of this research is to propose a candidate for post-quantum signature standard that is free of significant drawback of the finalists of the NIST world…

Abstract

Purpose

The practical purpose of this research is to propose a candidate for post-quantum signature standard that is free of significant drawback of the finalists of the NIST world competition, which consists in the large size of the signature and the public key. The practical purpose is to propose a fundamentally new method for development of algebraic digital signature algorithms.

Design/methodology/approach

The proposed method is distinguished by the use of two different finite commutative associative algebras as a single algebraic support of the digital signature scheme and setting two different verification equation for a single signature. A single public key is computed as the first and the second public keys, elements of which are computed exponentiating two different generators of cyclic groups in each of the algebras.

Findings

Additionally, a scalar multiplication by a private integer is performed as final step of calculation of every element of the public key. The same powers and the same scalar values are used to compute the first and the second public keys by the same mathematic formulas. Due to such design, the said generators are kept in secret, providing resistance to quantum attacks. Two new finite commutative associative algebras, multiplicative group of which possesses four-dimensional cyclicity, have been proposed as a suitable algebraic support.

Originality/value

The introduced method is novel and includes new techniques for designing algebraic signature schemes that resist quantum attacks. On its base, a new practical post-quantum signature scheme with relatively small size of signature and public key is developed.

Details

Applied Computing and Informatics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2634-1964

Keywords

Article
Publication date: 7 November 2017

Naveed Riaz, Ayesha Riaz and Sajid Ali Khan

The security of the stored biometric template is itself a challenge. Feature transformation techniques and biometric cryptosystems are used to address the concerns and improve the…

Abstract

Purpose

The security of the stored biometric template is itself a challenge. Feature transformation techniques and biometric cryptosystems are used to address the concerns and improve the general acceptance of biometrics. The purpose of this paper is to provide an overview of different techniques and processes for securing the biometric templates. Furthermore, the paper explores current research trends in this area.

Design/methodology/approach

In this paper, the authors provide an overview and survey of different features transformation techniques and biometric cryptosystems.

Findings

Feature transformation techniques and biometric cryptosystems provide reliable biometric security at a high level. There are many techniques that provide provable security with practical viable recognition rates. However, there remain several issues and challenges that are being faced during the deployment of these technologies.

Originality/value

This paper provides an overview of currently used techniques for securing biometric templates and also outlines the related issues and challenges.

Details

Sensor Review, vol. 38 no. 1
Type: Research Article
ISSN: 0260-2288

Keywords

Article
Publication date: 21 August 2007

Ong Thian Song, Andrew Teoh Beng Jin and Tee Connie

This paper aims to address some of the practical and security problems when using fingerhash to secure biometric key for protecting digital contents.

2015

Abstract

Purpose

This paper aims to address some of the practical and security problems when using fingerhash to secure biometric key for protecting digital contents.

Design/methodology/approach

Study the two existing directions of biometric‐based key generation approach based on the usability, security and accuracy aspects. Discuss the requisite unresolved issues related to this approach.

Findings

The proposed Fingerhashing approach transforms fingerprint into a binary discretized representation called Fingerhash. The Reed Solomon error correction method is used to stabilize the fluctuation in Fingerhash. The stabilized Fingerhash is then XORed with a biometric key. The key can only be released upon the XOR process with another Fingerhash derived from an authentic fingerprint. The proposed method could regenerate an error‐free biometric key based on an authentic fingerprint with up to 99.83 percent success rate, leading to promising result of FAR = 0 percent and FRR = 0.17 percent. Besides, the proposed method can produce biometric keys (1,150 bit length) which are longer in size than the other prevailing biometric key generation schemes to offer higher security protection to safeguard digital contents.

Originality/value

Outlines a novel solution to address the issues of usability, security and accuracy of biometric based key generation scheme.

Details

Information Management & Computer Security, vol. 15 no. 4
Type: Research Article
ISSN: 0968-5227

Keywords

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