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1 – 10 of 21This chapter investigates the impact of different state correlation assumptions for out-of-sample performance of unobserved components (UC) models with stochastic volatility…
Abstract
This chapter investigates the impact of different state correlation assumptions for out-of-sample performance of unobserved components (UC) models with stochastic volatility. Using several measures of US inflation the author finds that allowing for correlation between inflation’s trend and cyclical (or gap) components is a useful feature to predict inflation in the short run. In contrast, orthogonality between such components improves the out-of-sample performance as the forecasting horizon widens. Accordingly, trend inflation from orthogonal trend-gap UC models closely tracks survey-based measures of long-run inflation expectations. Trend dynamics in the correlated-component case behave similarly to survey-based nowcasts. To carry out estimation, an efficient algorithm which builds upon properties of Toeplitz matrices and recent advances in precision-based samplers is provided.
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Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modeling. Identification is often achieved by imposing restrictions on the…
Abstract
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modeling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study focuses on the latter device. Some possible setups for identification via heteroskedasticity are reviewed and their potential and limitations are discussed. Two detailed examples are considered to illustrate the approach.
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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…
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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.
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To determine where, when, how, and wherefore European social theory hit upon the formula of “the True, the Good, and the Beautiful,” and how its structural position as a skeleton…
Abstract
Purpose
To determine where, when, how, and wherefore European social theory hit upon the formula of “the True, the Good, and the Beautiful,” and how its structural position as a skeleton for the theory of action has changed.
Methodology/approach
Genealogy, library research, and unusually good fortune were used to trace back the origin of what was to become a ubiquitous phrase, and to reconstruct the debates that made deploying the term seem important to writers.
Findings
The triad, although sometimes used accidentally in the renaissance, assumed a key structural place with a rise of Neo-Platonism in the eighteenth century associated with a new interest in providing a serious analysis of taste. It was a focus on taste that allowed the Beautiful to assume a position that was structurally homologous to those of the True and the Good, long understood as potential parallels. Although the first efforts were ones that attempted to emphasize the unification of the human spirit, the triad, once formulated, was attractive to faculties theorists more interested in decomposing the soul. They seized upon the triad as corresponding to an emerging sense of a tripartition of the soul. Finally, the members of the triad became re-understood as values, now as orthogonal dimensions.
Originality/value
This seems to be the first time the story of the development of the triad – one of the most ubiquitous architectonics in social thought – has been told.
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Bhaskar Bagchi, Dhrubaranjan Dandapat and Susmita Chatterjee
This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle…
Abstract
This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set of available predictors is inconveniently large to handle with methods and diagnostics used in traditional small-scale models. First, available information from a large dataset is summarized into a considerably smaller set of variables through factors estimated using standard principal components. However, even in the case of reducing the dimension of the data the true number of factors may still be large. For that reason I introduce in my analysis simple and efficient Bayesian model selection methods. Model estimation and selection of predictors is carried out automatically through a stochastic search variable selection (SSVS) algorithm which requires minimal input by the user. I apply these methods to forecast 8 main U.S. macroeconomic variables using 124 potential predictors. I find improved out-of-sample fit in high-dimensional specifications that would otherwise suffer from the proliferation of parameters.
Irina Farquhar and Alan Sorkin
This study proposes targeted modernization of the Department of Defense (DoD's) Joint Forces Ammunition Logistics information system by implementing the optimized innovative…
Abstract
This study proposes targeted modernization of the Department of Defense (DoD's) Joint Forces Ammunition Logistics information system by implementing the optimized innovative information technology open architecture design and integrating Radio Frequency Identification Device data technologies and real-time optimization and control mechanisms as the critical technology components of the solution. The innovative information technology, which pursues the focused logistics, will be deployed in 36 months at the estimated cost of $568 million in constant dollars. We estimate that the Systems, Applications, Products (SAP)-based enterprise integration solution that the Army currently pursues will cost another $1.5 billion through the year 2014; however, it is unlikely to deliver the intended technical capabilities.