2024-03-29T00:29:53Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:155
2019-09-27T05:05:04Z
7374617475733D756E707562
7375626A656374733D43:4334
7375626A656374733D43:4338:433831
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/155/
Distribution-Preserving Statistical Disclosure Limitation
Woodcock, Simon
Benedetto, Gary
C4 - Econometric and Statistical Methods: Special Topics
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
One approach to limiting disclosure risk in public-use microdata is to release multiply-imputed, partially synthetic data sets. These are data on actual respondents, but with confidential data replaced by multiply-imputed synthetic values. A mis-specified imputation model can invalidate inferences because the distribution of synthetic data is completely determined by the model used to generate them. We present two practical methods of generating synthetic values when the imputer has only limited information about the true data generating process. One is applicable when the true likelihood is known up to a monotone transformation. The second requires only limited knowledge of the true likelihood, but nevertheless preserves the conditional distribution of the confidential data, up to sampling error, on arbitrary subdomains. Our method maximizes data utility and minimizes incremental disclosure risk up to posterior uncertainty in the imputation model and sampling error in the estimated transformation. We validate the approach with a simulation and application to a large linked employer-employee database.
2006-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/155/1/MPRA_paper_155.pdf
Woodcock, Simon and Benedetto, Gary (2006): Distribution-Preserving Statistical Disclosure Limitation.
en
oai:mpra.ub.uni-muenchen.de:215
2019-09-26T16:56:09Z
7374617475733D756E707562
7375626A656374733D4A:4A32:4A3232
7375626A656374733D4D:4D31:4D3133
7375626A656374733D43:4334:433431
7375626A656374733D4A:4A32:4A3234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/215/
The Effect of Motivation on Self-Employment Duration in Germany: Necessity versus Opportunity Entrepreneurs
Block, Joern
Sandner, Philipp
J22 - Time Allocation and Labor Supply
M13 - New Firms ; Startups
C41 - Duration Analysis ; Optimal Timing Strategies
J24 - Human Capital ; Skills ; Occupational Choice ; Labor Productivity
Using data from the German Socio-Economic Panel Study (GSOEP), we analyze whether necessity and opportunity entrepreneurs differ in terms of self-employment duration. We find that the two types of entrepreneurs differ regarding their duration in self-employment. Once controlled for educational variables however, this effect turns out to be no longer significant. We therefore conclude that the difference observed is no original effect but is due to selection. We then go on to discuss the implications of our finding for entrepreneurship-policy making. Suggestions to improve governmental start-up support programmes are given. Estimations are carried out with discrete time hazard rate models controlling for unobserved heterogeneity.
2006-10-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/215/1/MPRA_paper_215.pdf
Block, Joern and Sandner, Philipp (2006): The Effect of Motivation on Self-Employment Duration in Germany: Necessity versus Opportunity Entrepreneurs.
en
oai:mpra.ub.uni-muenchen.de:226
2019-09-27T15:19:28Z
7374617475733D707562
7375626A656374733D4A:4A33
7375626A656374733D43:4334:433431
7375626A656374733D4A:4A33:4A3331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/226/
Escaping the low pay trap: do labour market entrants stand a chance?
Pavlopoulos, Dimitris
Fouarge, Didier
J3 - Wages, Compensation, and Labor Costs
C41 - Duration Analysis ; Optimal Timing Strategies
J31 - Wage Level and Structure ; Wage Differentials
This paper investigates the wage and employment perspectives of low-wage labour
market entrants, using panel data from the UK, the Netherlands, and Germany. We
apply a competing risks hazard model of transitions from low pay to higher pay, to
unemployment or to inactivity. Low pay is found to be a rather transitory experience.
However, a significant amount of transitions between low pay and non-employment
is indicated. Exits from low-pay seem to be determined by firm-specific skills in
the UK and the Netherlands, while by formal educational and vocational training
qualifications in Germany.
2006-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/226/1/MPRA_paper_226.pdf
Pavlopoulos, Dimitris and Fouarge, Didier (2006): Escaping the low pay trap: do labour market entrants stand a chance? Published in: OSA WP2006-25
en
oai:mpra.ub.uni-muenchen.de:326
2019-09-27T05:39:15Z
7374617475733D756E707562
7375626A656374733D43:4334:433439
7375626A656374733D4C:4C31
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/326/
Strategic groups in Polish banking sector and financial stability
Hałaj, Grzegorz
Żochowski, Dawid
C49 - Other
L1 - Market Structure, Firm Strategy, and Market Performance
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The paper provides results of research concerning identification of strategic
groups in the Polish banking sector and tests of the usefulness of these
groups in the assessment of financial stability. The theory of strategic
groups predicts the existence of stable groups of companies, stemming from
the strategy adopted by them. The theory also predicts that groups differ
in performance. Our empirical research, preceded by a review of relevant
literature, has been carried out on the basis of a cluster analysis with the
use of Ward’s algorithm that optimises allocation of banks into groups. We
have identified strategic groups in the Polish banking sector, sustained over
time after the year 2000. We have also observed statistically significant differences
in performance between banks belonging to different groups, and
we have demonstrated further that modelling of profitability within groups
with the use of regression yields more precise estimates of parameters than
in the case of estimation of a model for the whole sector. Thus, breaking
down the whole banking sector into strategic groups creates a possibility to
forecast the banking sector earnings in a more precise way, i.e. to provide
a more precise ex ante assessment of stability of the financial system.
2006-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/326/1/MPRA_paper_326.pdf
Hałaj, Grzegorz and Żochowski, Dawid (2006): Strategic groups in Polish banking sector and financial stability.
en
oai:mpra.ub.uni-muenchen.de:417
2019-09-26T21:59:34Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4334:433433
7375626A656374733D43:4335:433531
7375626A656374733D43:4333
7375626A656374733D45:4531:453137
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/417/
Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
Barnett, William A.
Seck, Ousmane
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C43 - Index Numbers and Aggregation
C51 - Model Construction and Estimation
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
E17 - Forecasting and Simulation: Models and Applications
Among the many demand specifications in the literature, the Rotterdam model and the Almost Ideal Demand System (AIDS) have particularly long histories, have been highly developed, and are often applied in consumer demand systems modeling. Using Monte Carlo techniques, we seek to determine which model performs better in terms of its ability to recover the true elasticities of demand. We derive the correct formulae for the AIDS models elasticities, when the Törnqvist or two modified versions of the Stone index are used to linearize the model. The resulting linearized AIDS are compared to the full AIDS.
2006-02-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/417/1/MPRA_paper_417.pdf
Barnett, William A. and Seck, Ousmane (2006): Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
en
oai:mpra.ub.uni-muenchen.de:418
2019-09-26T10:08:03Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/418/
Divisia Monetary Index
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the first draft of an encyclopedia entry on Divisia Monetary Indexes to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-04-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/418/1/MPRA_paper_418.pdf
Barnett, William A. (2006): Divisia Monetary Index.
en
oai:mpra.ub.uni-muenchen.de:419
2019-10-01T00:25:45Z
7374617475733D756E707562
7375626A656374733D45:4535
7375626A656374733D45:4534
7375626A656374733D43:4334:433433
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/419/
Supply of Money
Barnett, William A.
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E4 - Money and Interest Rates
C43 - Index Numbers and Aggregation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This short paper is the encyclopedia entry on Supply of Money to appear in the second edition of the International Encyclopedia of the Social Sciences. The encyclopedia is edited by William A. Darity and forthcoming from Macmillan Reference USA (Thomson Gale).
2006-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/419/1/MPRA_paper_419.pdf
Barnett, William A. (2006): Supply of Money.
en
oai:mpra.ub.uni-muenchen.de:466
2019-09-28T16:34:03Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/466/
Least Squares Fitting of Chacón-Gielis Curves by the Particle Swarm Method of Optimization
Mishra, SK
C44 - Operations Research ; Statistical Decision Theory
C63 - Computational Techniques ; Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Ricardo Chacón generalized Johan Gielis's superformula by introducing elliptic functions in place of trigonometric functions. In this paper an attempt has been made to fit the Chacón-Gielis curves (modified by various functions) to simulated data by the least squares principle. Estimation has been done by the Particle Swarm (PS) methods of global optimization. The Repulsive Particle Swarm optimization algorithm has been used. It has been found that although the curve-fitting exercise may be satisfactory, a lack of uniqueness of Chacón-Gielis parameters to data (from which they are estimated) poses an insurmountable difficulty to interpretation of findings.
2006-07-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/466/1/MPRA_paper_466.pdf
Mishra, SK (2006): Least Squares Fitting of Chacón-Gielis Curves by the Particle Swarm Method of Optimization.
en
oai:mpra.ub.uni-muenchen.de:646
2019-10-05T16:39:10Z
7374617475733D707562
7375626A656374733D4F:4F35:4F3535
7375626A656374733D4C:4C37:4C3739
7375626A656374733D46:4630:463031
7375626A656374733D4F:4F31:4F3131
7375626A656374733D43:4334:433434
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F32:4F3231
7375626A656374733D4F:4F31:4F3139
7375626A656374733D51:5131:513133
7375626A656374733D4D:4D33:4D3331
7375626A656374733D44:4434:443431
7375626A656374733D4C:4C31:4C3131
7375626A656374733D4F:4F32:4F3234
7375626A656374733D51:5131:513137
7375626A656374733D43:4332:433232
7375626A656374733D46:4631:463134
7375626A656374733D44:4434:443430
7375626A656374733D46:4631:463133
7375626A656374733D45:4533:453330
7375626A656374733D4F:4F31:4F3133
7375626A656374733D4C:4C37:4C3738
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/646/
Causality and Efficiency in the Coffee Futures Market
Kebede, Yohannes
O55 - Africa
L79 - Other
F01 - Global Outlook
O11 - Macroeconomic Analyses of Economic Development
C44 - Operations Research ; Statistical Decision Theory
C51 - Model Construction and Estimation
O21 - Planning Models ; Planning Policy
O19 - International Linkages to Development ; Role of International Organizations
Q13 - Agricultural Markets and Marketing ; Cooperatives ; Agribusiness
M31 - Marketing
D41 - Perfect Competition
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
O24 - Trade Policy ; Factor Movement Policy ; Foreign Exchange Policy
Q17 - Agriculture in International Trade
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F14 - Empirical Studies of Trade
D40 - General
F13 - Trade Policy ; International Trade Organizations
E30 - General
O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products
L78 - Government Policy
Tests for causality and rationality in the coffee futures market were carried out using data from the New York Market. Tests of causality indicated that futures prices strongly influence variations in spot price eight weeks or more to maturity. However, beginning seven weeks to maturity there seems to be a strong causal relationship going from futures to spot and from spot to futures. Risk constancy or neutrality, equality of risk premium and spot price, and efficiency were rejected for the period 18, 51, and 33 weeks or more to maturity. However, simultaneity of risk neutrality and efficiency was accepted for contracts with 55-77 weeks to maturity. The general conclusion from this study is that coffee futures market can be used as an indicator of spot market prices for contracts with 55-77 weeks to maturity. While benefits can be obtained through short term adjustment of available stock and making use of quality storage facilities, planning longer term planting and marketing decisions (e.g., ≥ 77 weeks) on the basis of futures market price can result in misallocation of resources and welfare loss.
1992-03-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/646/1/MPRA_paper_646.pdf
Kebede, Yohannes (1992): Causality and Efficiency in the Coffee Futures Market. Published in: Journal of International Food & Agribusiness Marketing , Vol. 5, No. 1 (1993): pp. 55-71.
en
oai:mpra.ub.uni-muenchen.de:662
2019-09-30T23:12:05Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D44:4437:443731
7375626A656374733D44:4432:443233
7375626A656374733D44:4438:443833
7375626A656374733D44:4437:443732
7375626A656374733D51:5131:513132
7375626A656374733D4F:4F35:4F3535
7375626A656374733D5A:5A31
7375626A656374733D51:5131:513135
7375626A656374733D44:4438:443831
7375626A656374733D44:4431:443133
7375626A656374733D51:5131:513138
7375626A656374733D51:5131:513133
7375626A656374733D44:4438:443835
7375626A656374733D43:4338:433831
7375626A656374733D51:5131:513136
7375626A656374733D44:4438:443832
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/662/
The Limits to Common Resource Management: The Bypassed Commons or Commons without Tragedy
Kebede, Yohannes
C44 - Operations Research ; Statistical Decision Theory
D71 - Social Choice ; Clubs ; Committees ; Associations
D23 - Organizational Behavior ; Transaction Costs ; Property Rights
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
Q12 - Micro Analysis of Farm Firms, Farm Households, and Farm Input Markets
O55 - Africa
Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology
Q15 - Land Ownership and Tenure ; Land Reform ; Land Use ; Irrigation ; Agriculture and Environment
D81 - Criteria for Decision-Making under Risk and Uncertainty
D13 - Household Production and Intrahousehold Allocation
Q18 - Agricultural Policy ; Food Policy
Q13 - Agricultural Markets and Marketing ; Cooperatives ; Agribusiness
D85 - Network Formation and Analysis: Theory
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
Q16 - R&D ; Agricultural Technology ; Biofuels ; Agricultural Extension Services
D82 - Asymmetric and Private Information ; Mechanism Design
Land, labor, indigenous knowledge and institutional resources of producers in the Central Highlands of Ethiopia are investigated. Frequency distribution and comparative statistical analysis of the two regions with respect to these and other parameters suggest that in a situation where all producers are subjected to a common source of risk (e.g. rainfall): i) the institutional resources become less effective, and ii) combination of land, labor, knowledge and other complementary resources form the basis for adjustment mechanisms, sequential or strategic decisions, and that these decisions are directed towards maintaining the nuclear family. On the other hand, when essential resources such as land are government owned and household decisions are shared by the state, local institutions or social networks become an effective means to maintain reproduction of the farm and the producer through providing access to or sharing of resources.
1993
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/662/1/MPRA_paper_662.pdf
Kebede, Yohannes (1993): The Limits to Common Resource Management: The Bypassed Commons or Commons without Tragedy.
en
oai:mpra.ub.uni-muenchen.de:666
2019-09-27T16:49:44Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D51:5134:513438
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5135:513534
7375626A656374733D51:5135
7375626A656374733D51:5135:513531
7375626A656374733D51:5134:513433
7375626A656374733D43:4334:433436
7375626A656374733D43:4333:433339
7375626A656374733D51:5135:513535
7375626A656374733D51:5135:513532
7375626A656374733D51:5135:513536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/666/
Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries
Mariam, Yohannes
C44 - Operations Research ; Statistical Decision Theory
Q48 - Government Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q5 - Environmental Economics
Q51 - Valuation of Environmental Effects
Q43 - Energy and the Macroeconomy
C46 - Specific Distributions ; Specific Statistics
C39 - Other
Q55 - Technological Innovation
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
There has been a lot of debate regarding the impact of emissions of pollutants on human health and the environment. Epidemiological studies tend to show the impact of increased ambient concentrations of pollutants on increased hospital admissions, mortality, morbidity, respiratory problems, etc. Without controlled experiments that compare people who are exposed to contaminants to those who are not, it is impossible to predict the causes and effects with certainty. Nevertheless, estimates of human and environmental health benefits from improved air quality indicate that there are associations between ambient concentrations of contaminants, human health and environmental impacts.
The present study examines the linkages between human health, environmental quality, and emission of pollutants and selected socioeconomic variables for selected OECD regions. Path or causal models will be constructed using health, socioeconomic and environmental parameters to determine the direction of causal relationships, their magnitude and possible implication for public policy making. This analysis will be performed for the OECD countries, and selected regions of the OECD (North America, the Pacific Rim, and Europe). Comparative analysis of the relationships between human health, socioeconomic and environmental variables among the OECD countries will indicate, among other things, i) whether or not environmental quality is an important determinant of human health, ii) whether or not spending on health care system is significantly influenced by indicators of health status that are included by environmental variables, and iii) which socioeconomic variables are significantly associated with indicators of human and the environment health.
1999-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/666/1/MPRA_paper_666.pdf
Mariam, Yohannes (1999): Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries.
en
oai:mpra.ub.uni-muenchen.de:669
2019-10-05T16:35:05Z
7374617475733D756E707562
7375626A656374733D51:5133:513332
7375626A656374733D51:5133:513338
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5135
7375626A656374733D51:5135:513531
7375626A656374733D51:5132
7375626A656374733D43:4334:433436
7375626A656374733D43:4331:433133
7375626A656374733D51:5133:513331
7375626A656374733D51:5135:513536
7375626A656374733D43:4335:433533
7375626A656374733D43:4332:433232
7375626A656374733D51:5135:513534
7375626A656374733D51:5133:513334
7375626A656374733D51:5135:513533
7375626A656374733D51:5134:513433
7375626A656374733D51:5135:513532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/669/
Trends in Resource Extraction and Implications for Sustainability in Canada
Mariam, Yohannes
Q32 - Exhaustible Resources and Economic Development
Q38 - Government Policy
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q5 - Environmental Economics
Q51 - Valuation of Environmental Effects
Q2 - Renewable Resources and Conservation
C46 - Specific Distributions ; Specific Statistics
C13 - Estimation: General
Q31 - Demand and Supply ; Prices
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
C53 - Forecasting and Prediction Methods ; Simulation Methods
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q34 - Natural Resources and Domestic and International Conflicts
Q53 - Air Pollution ; Water Pollution ; Noise ; Hazardous Waste ; Solid Waste ; Recycling
Q43 - Energy and the Macroeconomy
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
There is a disagreement on the concept, definition and application of the paradigm of sustainable development. The definition that has been accepted by many involves several components, and it is difficult to measure or quantify indicators. Depending on the structure of the economy, it is possible to identify important variables and examine some aspects of sustainability. In this respect, analysis of indicators related to the extraction of natural resources seems to be appropriate for a resource-based economy.
For resource-based economy such as Canada is the speed with which natural resources are extracted greatly influence patterns of growth and development. Indicators can be established to measure the progress toward to or demise of sustainability. Indicators that deal with the speed with which resources such as non-renewable energy, minerals, forests, soil, water, etc., have been utilized to examine aspects of sustainability. However, these indicators have been argued to provide less guidance for the implementation of feasible public policies unless supplemented by other kinds of analyses that relate resource use with socioeconomic parameters.
The utilization of resources could be evaluated in relation to available stock as a proxy for progress toward sustainability. The extraction of resources may also cause major environmental problems due to the release of pollutants or wastes that requires an increasing amount of expenditure for environmnetal protection. This is crucial for countries such as Canada whose major export is dependent on availability of natural resources and heavily impacted by external public debt.
The present study will examine stock, depletion and addition of natural resources to evaluate sustainability of consumption patterns. In addition, the consumption of these resources will be compared with selected socioeconomic indicators such as GDP, employment, etc., to anticipate whether or not these factors may have contributed to increased consumption of natural resources. Furthermore, attempts will be made to investigate the patterns of expenditure to protect the environment from wastes and pollutants. The findings of this study could serve as an early warning system with respect to depletion of resources and their consequent environmental impacts.
1999-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/669/1/MPRA_paper_669.pdf
Mariam, Yohannes (1999): Trends in Resource Extraction and Implications for Sustainability in Canada.
en
oai:mpra.ub.uni-muenchen.de:1242
2019-09-30T22:46:17Z
7374617475733D707562
7375626A656374733D43:4331
7375626A656374733D43:4331:433130
7375626A656374733D43:4334
7375626A656374733D43:4334:433434
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1242/
Hilbert's Sixth Problem: Descriptive Statistics as New Foundations for Probability: Lévy Processes
Johnson, Joseph F.
C1 - Econometric and Statistical Methods and Methodology: General
C10 - General
C4 - Econometric and Statistical Methods: Special Topics
C44 - Operations Research ; Statistical Decision Theory
C65 - Miscellaneous Mathematical Tools
Hay esbozos según los cuales las probabilidades se
cuentan como la fundación de la teoría matemática
de las estadísticas. Mas la significación física
de las probabilidades matemáticas son oscuros,
muy poco entendidos. Parecíera mejor que las
probabilidades físicas se fundaran en las
estadísticas descriptivas de datos fisicales. Se
trata una teoría que así responde a una cuestiona
de Hilbert propuesta en su Problema Número Seis,
la axiomatización de la Física. Esta está basada en la
auto-correlación de los series temporales. Casi todas
de las funciones de auto-correlación de las trayectorías
de un sistema dinámico lineal (con
un numbero bastante grande de grados de libertad) son todas
aproximadamente iguales, no importan las condiciones
iniciales, aún si el sistema no sea ergódico, como
conjeturó Khintchine en 1943.
2013-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1242/1/MPRA_paper_1242.pdf
Johnson, Joseph F. (2013): Hilbert's Sixth Problem: Descriptive Statistics as New Foundations for Probability: Lévy Processes. Published in: Revista Investigación Operacional , Vol. 35, No. 2 (April 2014): pp. 173-179.
en
oai:mpra.ub.uni-muenchen.de:1418
2019-10-08T06:25:39Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4334:433436
7375626A656374733D47:4731:473131
7375626A656374733D43:4338:433837
7375626A656374733D47:4733:473332
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
7375626A656374733D43:4338:433832
7375626A656374733D47:4731:473135
7375626A656374733D43:4333:433333
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1418/
The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter
C51 - Model Construction and Estimation
C46 - Specific Distributions ; Specific Statistics
G11 - Portfolio Choice ; Investment Decisions
C87 - Econometric Software
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
G15 - International Financial Markets
C33 - Panel Data Models ; Spatio-temporal Models
C13 - Estimation: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used 1976-1996 quarterly data from the International Finance Corporation (IFC) and Microfit was used to analyse the data. Using the assumption that market size is positively correlated with the ability to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most important determinants of the HSE market capitalisation. The study suggests that further in-depth research into the determinants of market capitalisation for the African and other emerging stock markets is required to identify best ways of developing these markets within the global financial system while at the same time promoting local economic growth. The paper begins with an introduction about the HSE followed by short description of stock markets in developing countries. The second part of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and specific cointegrating regression model and the results from the analysis. The third section provides conclusions and policy implications associated with encouraging the stock markets in the emerging stock markets with particular reference to the HSE.
2005-11-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1418/1/MPRA_paper_1418.pdf
Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm
en
oai:mpra.ub.uni-muenchen.de:1443
2019-09-27T06:50:47Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D43:4334:433436
7375626A656374733D51:5134:513430
7375626A656374733D4C:4C39:4C3934
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1443/
Structure and stylized facts of a deregulated power market
Simonsen, Ingve
Weron, Rafal
Mo, Birger
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C46 - Specific Distributions ; Specific Statistics
Q40 - General
L94 - Electric Utilities
Dramatic changes to the structure of the power sector have taken place over the
past few decades. The major structural change being the introduction of competitive
markets and power exchanges. In this paper, we conduct a detailed empirical study
of the statistical properties of the Nordic power (Nord Pool) spot market. The aim
of this study is to identify so-called stylized facts of the market. We address the
structure of the market, and in particular, describe in detail the spot price forming
process (equilibrium point trading). A collection of stylized facts is identified and
discussed for the hourly system spot price, based on the entire 12 year history of
available Nord Pool data. In particular we analyze: seasonallity, weather effects,
the human factor, return distributions, volatility, spikes, and mean-reversion (anticorrelation). The empirical study presented in this paper shed new light on the
mechanisms, features and structures of these new commodity markets. The market
features that distinguish them from more classic financial and commodity markets
are pointed out.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1443/1/MPRA_paper_1443.pdf
Simonsen, Ingve and Weron, Rafal and Mo, Birger (2004): Structure and stylized facts of a deregulated power market.
en
oai:mpra.ub.uni-muenchen.de:1506
2019-10-03T05:14:21Z
7374617475733D756E707562
7375626A656374733D4C:4C30
7375626A656374733D45:4533:453331
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1506/
Эконометрические оценки гедонических индексов цен на персональные компьютеры в России: пример рынка г. Екатеринбурга
Parkhomenko, Alexander
Redkina, Anastasia
L0 - General
E31 - Price Level ; Inflation ; Deflation
C43 - Index Numbers and Aggregation
Economist have noted for decades that Consumer Price Index (CPI) in the developed countries is overstating inflation by 0,5-2,0% per year. A significant part of such a bias is found to be caused by the presence of technology products and differentiated products in CPI. An increasing weight of these products in the Russian CPI may also lead to a substantial upward bias. Nowadays hedonic indices are believed to be the most efficient way to reduce the bias. Following Triplett we have developed the taxonomy of hedonic price indices within the “direct approach”. This first step is essential in constructing a detailed set of hedonic price indices. They can be used in two ways: to estimate the bias in CPI and to elaborate alternative official price indices for IT-products. We've estimated 11% fall of price for personal computers in 2005 with the usage of hedonic price indices, a 11-23% positive bias in price index for PC in Russia was also calculated. We also have found that Russian CPI could be upward biased by 0,12-0,23% per year due to new goods and quality change effects for PC.
2006-06-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1506/1/MPRA_paper_1506.pdf
Parkhomenko, Alexander and Redkina, Anastasia (2006): Эконометрические оценки гедонических индексов цен на персональные компьютеры в России: пример рынка г. Екатеринбурга.
ru
oai:mpra.ub.uni-muenchen.de:1781
2019-09-26T10:07:45Z
7374617475733D756E707562
7375626A656374733D43:4334:433436
7375626A656374733D43:4333:433330
7375626A656374733D43:4333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1781/
Least absolute deviation estimation of linear econometric models: A literature review
Dasgupta, Madhuchhanda
Mishra, SK
C46 - Specific Distributions ; Specific Statistics
C30 - General
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
Econometricians generally take for granted that the error terms in the econometric models are generated by distributions having a finite variance. However, since the time of Pareto the existence of error distributions with infinite variance is known. Works of many econometricians, namely, Meyer & Glauber (1964), Fama (1965) and Mandlebroth (1967), on economic data series like prices in financial and commodity markets confirm that infinite variance distributions exist abundantly. The distribution of firms by size, behaviour of speculative prices and various other recent economic phenomena also display similar trends. Further, econometricians generally assume that the disturbance term, which is an influence of innumerably many factors not accounted for in the model, approaches normality according to the Central Limit Theorem. But Bartels (1977) is of the opinion that there are limit theorems, which are just likely to be relevant when considering the sum of number of components in a regression disturbance that leads to non-normal stable distribution characterized by infinite variance. Thus, the possibility of the error term following a non-normal distribution exists.
The Least Squares method of estimation of parameters of linear (regression) models performs well provided that the residuals (disturbances or errors) are well behaved (preferably normally or near-normally distributed and not infested with large size outliers) and follow Gauss-Markov assumptions. However, models with the disturbances that are prominently non-normally distributed and contain sizeable outliers fail estimation by the Least Squares method. An intensive research has established that in such cases estimation by the Least Absolute Deviation (LAD) method performs well.
This paper is an attempt to survey the literature on LAD estimation of single as well as multi-equation linear econometric models.
2004-06-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1781/1/MPRA_paper_1781.pdf
Dasgupta, Madhuchhanda and Mishra, SK (2004): Least absolute deviation estimation of linear econometric models: A literature review.
en
oai:mpra.ub.uni-muenchen.de:1890
2019-10-10T11:49:31Z
7374617475733D707562
7375626A656374733D46:4631:463135
7375626A656374733D43:4334:433433
7375626A656374733D46:4635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1890/
Correctly finger-pointing the Lisbon-process-villains
Tausch, Arno
F15 - Economic Integration
C43 - Index Numbers and Aggregation
F5 - International Relations, National Security, and International Political Economy
The European Union’s center-piece of economic policy making is the Lisbon process, which tries to make Europe the most competitive economic region in the world economy by 2010. EU Commission President Jose Manuel Durao Barroso recently presented a Centre for European Reform (CER) study that maintained that Denmark, Sweden and Austria are the best performing Lisbon process countries for 2005 and that Romania, Poland and Malta are the lowest ranked countries in the European Union in the same year. Due to lacking data, practically no serious conclusions can be drawn about Turkey. In the study, presented by the Commission President, some real finger pointing is made, with the “good” performers being called “heroes” and the “bad performers” being called “villains”. In the study, Poland was made the European chief “villain” (henceforth called, in keeping with this tendency towards abbreviations in the eurocracy, the ECV, for 2005). Our rigorous re-analysis of the data leads us to the conclusion that the ECV, i.e. the country characterized by past bad cumulated performance, and having no real prospect of things getting better is not Poland but Portugal. It emerges once again that the Lisbon process is in a dire state of affairs
2007-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1890/1/MPRA_paper_1890.pdf
Tausch, Arno (2007): Correctly finger-pointing the Lisbon-process-villains. Published in: Centro Argentino de Estudios Internacionales. European Program Working Papers , Vol. 13, No. 13 (1 January 2007): pp. 1-21.
en
oai:mpra.ub.uni-muenchen.de:2028
2019-09-27T01:03:49Z
7374617475733D756E707562
7375626A656374733D46:4632:463232
7375626A656374733D43:4334:433431
7375626A656374733D4A:4A36:4A3631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2028/
Labor market outcomes, capital accumulation, and return migration: Evidence from immigrants in Germany
Kirdar, Murat
F22 - International Migration
C41 - Duration Analysis ; Optimal Timing Strategies
J61 - Geographic Labor Mobility ; Immigrant Workers
In this paper I test the capital accumulation conjecture that is used to rationalize return migration decisions in the context of immigrants in Germany and examine how labor market outcomes influence return migration decisions, with particular attention to selection in these outcomes in return migration. I characterize the level and timing of return migration as well as the selection in it and derive a number of implications of these on the impact of immigrants on the host as well as source countries. Using a rich longitudinal dataset that has an over-sampled group of immigrants (German Socioeconomic Panel), I conduct a Cox proportional hazard analysis with alternative waiting-time concepts. That the sample contains immigrants from four different source countries allows me to utilize the variation in the source country characteristics as well as the time variation in them to identify the parameters of interest. I find evidence for the savings accumulation conjecture, in which return is motivated by higher purchasing power of accumulated savings in the home country. On the other hand, human capital accumulation conjecture is rejected. In the framework of savings accumulation, I examine the impact of an increase in German earnings whose theoretical impact on the return migration decision is ambiguous. In terms of labor market outcomes, both retirement and unemployment emerge as important determinants of return migration choices. Unemployment spell length determines the direction of selection with respect to unemployment in return migration. The data also reveal that the level of return migration is high and varies considerably across the source countries. The hazard function of Turkish immigrants displays a hump-shaped profile that peaks between the ages of 45 and 54 whereas EU immigrants are more likely to return at earlier ages and after retirement.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2028/1/MPRA_paper_2028.pdf
Kirdar, Murat (2007): Labor market outcomes, capital accumulation, and return migration: Evidence from immigrants in Germany.
en
oai:mpra.ub.uni-muenchen.de:2038
2019-09-26T20:05:32Z
7374617475733D756E707562
7375626A656374733D4A:4A31:4A3132
7375626A656374733D43:4334:433431
7375626A656374733D44:4438:443833
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2038/
Divorce and the Option Value of Marital Search
Filoso, Valerio
J12 - Marriage ; Marital Dissolution ; Family Structure ; Domestic Abuse
C41 - Duration Analysis ; Optimal Timing Strategies
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
This works tests whether or not the introduction of divorce law changes the timing of marital search. Common sense suggests that rational agents should adjust to the divorce risk by increasing the average length of search spell, whereas the option value theory stresses the role played by irreversible investments: in this case, the new exit option available to married partners should result in shorter search spells. Using a dynamic model of marital search, a new dataset of retrospective individual Italian data, and two robust statistical specifications based upon the Before-After estimator, we find strong evidence that the legal innovation actually lowered the age at marriage, thereby worsening the level of marital matching, and possibly reinforcing self-fulfilling prophecies of divorce.
2007-02-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2038/1/MPRA_paper_2038.pdf
Filoso, Valerio (2007): Divorce and the Option Value of Marital Search.
en
oai:mpra.ub.uni-muenchen.de:2040
2019-09-27T23:56:50Z
7374617475733D707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4330:433032
7375626A656374733D43:4334:433436
7375626A656374733D42:4232:423234
7375626A656374733D42:4234:423430
7375626A656374733D42:4232:423233
7375626A656374733D42:4231:423134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2040/
The indeterminacy of price-value correlations: a comment on papers by Simo Mohun and Anwar Shaikh
Freeman, Alan
C43 - Index Numbers and Aggregation
C02 - Mathematical Methods
C46 - Specific Distributions ; Specific Statistics
B24 - Socialist ; Marxist ; Sraffian
B40 - General
B23 - Econometrics ; Quantitative and Mathematical Studies
B14 - Socialist ; Marxist
This paper is the first published critique of the indeterminacy of price-value correlations and their inadequacy as empirical evidence for the determination of prices by values. It comments on the approach developed by Shaikh, Petrovic, Parys, Ochoa and others, according to which prices, as asserted by Ricardo, are empirically ‘97%’ determined by values.
This method calculates measures of distance (according to some or other measure such as Mean Absolute Distance, or correlation) between a vector of empirically-observed average price of a set of industrial sectors, and a vector of aggregate values calculated as the vertically-integrated labour coefficients of the same set of industrial sectors.
The present paper suggests, and establishes using a Monte Carlo method, that the observed correlations are most likely to ‘spurious’ since they can be entirely accounted for by variations in the size of the industrial sectors concerned.
The paper was published in the same volume as the paper from Anwar Shaikh to which it responds, as well as another by Simon Mohun on which the paper also comments. (Bellofiore, R (ed) Marxian Economics: a Reappraisal, Volume 2, pp139-162. Basingstoke: McMillan)
The controversy was subsequently developed in a number of exchanges including, in particular, papers in the Cambridge Journal of Economics between Andrew Kliman, Paul Cockshott and Allin Cottrell. It has further been discussed in papers by Ruben Osuna and Emilio Diaz which are at the time of submission unpublished, and in papers by Tsoulfidis and Maniatis also in the Cambridge Journal of Economics.
1998
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2040/1/MPRA_paper_2040.pdf
Freeman, Alan (1998): The indeterminacy of price-value correlations: a comment on papers by Simo Mohun and Anwar Shaikh. Published in: Bellofiore, R (ed) Marxian Economics: a Reappraisal, Volume 2, pp139-162. Basingstoke: McMillan. ISBN 0 333 64411 5 (1998): pp. 139-162.
en
oai:mpra.ub.uni-muenchen.de:2292
2019-09-27T12:14:23Z
7374617475733D707562
7375626A656374733D43:4334:433436
7375626A656374733D43:4332:433232
7375626A656374733D43:4335:433533
7375626A656374733D51:5134:513430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2292/
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?
Weron, Rafal
Misiorek, Adam
C46 - Specific Distributions ; Specific Statistics
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C53 - Forecasting and Prediction Methods ; Simulation Methods
Q40 - General
This paper is a continuation of our earlier studies on short-term price forecasting of California electricity prices with time series models. Here we focus on whether models with heavy-tailed innovations perform better in terms of forecasting accuracy than their Gaussian counterparts. Consequently, we limit the range of analyzed models to autoregressive time series approaches that have been found to perform well for pre-crash California power market data. We expand them by allowing for heavy-tailed innovations in the form of α-stable or generalized hyperbolic noise.
2007-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2292/1/MPRA_paper_2292.pdf
Weron, Rafal and Misiorek, Adam (2007): Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? Published in: Prace Naukowe Akademii Ekonomicznej we Wroclawiu , Vol. 1076, (2007): pp. 472-480.
en
oai:mpra.ub.uni-muenchen.de:2294
2019-09-27T08:20:39Z
7374617475733D756E707562
7375626A656374733D43:4334:433436
7375626A656374733D46:4633:463331
7375626A656374733D43:4331:433133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2294/
Origins of scaling in FX markets
Mercik, Szymon
Weron, Rafal
C46 - Specific Distributions ; Specific Statistics
F31 - Foreign Exchange
C13 - Estimation: General
Typical data sets employed by economists and financial analysts
do not exceed a few hundred or thousand observations per series.
However, in the last decade data sets containing tick-by-tick
observations have become available. The studies of these data
have turned up new and interesting facts about the pricing of assets.
In this article we show that foreign exchange (FX) rate returns
satisfy scaling with an exponent significantly different from that
of a random walk. But what is more important, we also show that
the conditionally exponential decay (CED) model can be used to
solve a long standing problem in the analysis of intra-daily data,
i.e. it can be used to identify the mathematical structure of the
distributions of FX returns corresponding to the empirical scaling laws.
2002-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2294/1/MPRA_paper_2294.pdf
Mercik, Szymon and Weron, Rafal (2002): Origins of scaling in FX markets.
en
oai:mpra.ub.uni-muenchen.de:2481
2019-09-27T16:54:07Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2481/
Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
Ozun, Alper
Cifter, Atilla
C45 - Neural Networks and Related Topics
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
Long-term memory effect in stock prices might be captured, if any, with alternative models. Though Geweke and Porter-Hudak (1983) test model the long memory with the OLS estimator, a new approach based on wavelets analysis provide WOLS estimator for the memory effect. This article examines the long-term memory of the Istanbul Stock Index with the Daubechies-20, Daubechies-12, the Daubechies-4 and the Haar wavelets and compares the results of the WOLS estimators with that of OLS estimator based on the Geweke and Porter-Hudak test. While the results of the GPH test imply that the stock returns are memoryless, fractional integration parameters based on the Daubechies wavelets display that there is an explicit long-memory effect in the stock returns. The research results have both methodological and practical crucial conclusions. On the theoretical side, the wavelet based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where nonlinearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak-form efficient because the prices have memories that are not reflected in the prices, yet.
2007-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2481/1/MPRA_paper_2481.pdf
Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets.
en
oai:mpra.ub.uni-muenchen.de:2482
2019-09-26T11:16:31Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D46:4633:463331
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2482/
The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets
Cifter, Atilla
Ozun, Alper
C45 - Neural Networks and Related Topics
F31 - Foreign Exchange
G15 - International Financial Markets
This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X markets on emerging markets currencies. We used EUR/USD parity as input indicator (international F/X markets) and three emerging markets currencies as Brazilian Real, Turkish Lira and Russian Ruble as output indicator (emerging markets currency). We test if the effects of international F/X markets change across different timescale. Using wavelet networks, we showed that the effects of international F/X markets increase with higher timescale. This evidence shows that the causality of international F/X markets on emerging markets should be tested based on 64-128 days effect. We also find that the effects of EUR/USD parity on Turkish Lira is higher on 17-32 days and 65-128 days scales and this evidence shows that Turkish lira is less stable compare to other emerging markets currencies as international F/X markets effects Turkish lira on shorten time scale.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2482/1/MPRA_paper_2482.pdf
Cifter, Atilla and Ozun, Alper (2007): The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets.
en
oai:mpra.ub.uni-muenchen.de:2485
2019-09-29T04:31:30Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4331:433134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2485/
Estimating the Effects of Interest Rates on Share Prices Using Multi-scale Causality Test in Emerging Markets: Evidence from Turkey
Cifter, Atilla
Ozun, Alper
C45 - Neural Networks and Related Topics
C14 - Semiparametric and Nonparametric Methods: General
This paper examines the impacts of changes in interest rates on stock returns by using wavelet analysis with Granger causality test. Financial time series in non-coherent markets should be analyzed by advanced methods capturing complexity of the markets and non-linearities in stock returns. As a semi-parametric method, wavelets analysis might be superior to detect the chaotic patterns in the non-coherent markets. By using daily closing values of the ISE 100 Index and compounded interest rates, it is proven that and starting with 9 days time-scale effect interest rate is granger cause of ISE 100 index and the effects of interest rates on stock return increases with higher time-scales. This evidence shows that bond market has significant long-term effect on stock market for Turkey and traders should consider long-term money markets changes as well as short-term changes.
2007-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2485/1/MPRA_paper_2485.pdf
Cifter, Atilla and Ozun, Alper (2007): Estimating the Effects of Interest Rates on Share Prices Using Multi-scale Causality Test in Emerging Markets: Evidence from Turkey.
en
oai:mpra.ub.uni-muenchen.de:3127
2019-09-30T13:10:18Z
7374617475733D756E707562
7375626A656374733D43:4334:433436
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3127/
Social Policy Targeting and Binary Information Transfer between Surveys
Gottlieb, Daniel
Kushnir, Leonid
C46 - Specific Distributions ; Specific Statistics
This paper deals with the optimal transfer of binary information (BIT) on group membership between different statistical surveys of an identical population, a need arising frequently in socio-economic surveys. The limited number of questions asked in any one survey may necessitate information transfer between surveys. We design a method for a a BIT between a source-survey originally including the information and a target survey in which it is needed.
An efficient BIT depends on (1) efficient estimation of the statistical model explaining group-membership as estimated by the ROC-curve, (2) the choice of a cutoff value for translating the forecasted logistic probability back into a binary variable and (3) a statistically testable quality control of the transfer. We suggest an optimal cutoff point that minimizes the sum of squared errors instead of the well-known Hosmer-Lemeshow method.
Our application illustrates how survey data can be enhanced, when repeated interviews are expensive or difficult to implement.
We enhance the Household Expenditure Survey (HES) by transferring a binary variable of households' religious group membership from the Social Survey to the HES. This helps identify extremely poor groups for poverty calculations and improved targeting of anti-poverty policy.
2006-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3127/1/MPRA_paper_3127.pdf
Gottlieb, Daniel and Kushnir, Leonid (2006): Social Policy Targeting and Binary Information Transfer between Surveys.
en
oai:mpra.ub.uni-muenchen.de:3135
2019-10-03T08:59:59Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3135/
Estimating hedonic price indexes for personal computers in russia: Case of Yekaterinburg
Parkhomenko, Alexander
Redkina, Anastasia
Maslivets, Olga
E31 - Price Level ; Inflation ; Deflation
C43 - Index Numbers and Aggregation
Economists have been noting for decades that Consumer Price Index (CPI) in the
developed countries is overstating inflation by 0,5−2,0% per year. A significant part of
the bias is due to the presence of technology products and
differentiated products in the CPI basket. An increase share of these products in the Russian CPI may also lead to a substantial upward bias.
Nowadays hedonic indices are believed to be the most efficient way to reduce this bias. They can be used in two ways: to estimate the bias in CPI and to elaborate alternative official price indices for information and communication technology (ICT) products. We estimate a 25% fall in the price of personal computers for 20 months (03.04-11.05) using this method. A 25−44% upward bias in price index for PC in Russia was also calculated. We have found that the Russian CPI could be upward biased by 0,18-0,32% per year due to new goods and quality change effects for PC (given 1% expenditure share).
2007-01-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3135/1/MPRA_paper_3135.pdf
Parkhomenko, Alexander and Redkina, Anastasia and Maslivets, Olga (2007): Estimating hedonic price indexes for personal computers in russia: Case of Yekaterinburg.
en
oai:mpra.ub.uni-muenchen.de:3333
2019-10-01T04:47:22Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4331:433130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3333/
Construction of an Index by Maximization of the Sum of its Absolute Correlation Coefficients with the Constituent Variables
Mishra, SK
C43 - Index Numbers and Aggregation
C10 - General
On many occasions we need to construct an index that represents a number of variables. Cost of living index, general price index, human development index, index of level of development, etc are some of the examples that are constructed by a weighted (linear) aggregation of a host of variables. The weights are determined by the importance assigned to the variables to be aggregated. The criterion on which importance of a variable (vis-à-vis other variables) is determined may be varied and usually has its own logic. In many cases the analyst does not have any preferred means or logic to determine the relative importance of different variables. In such cases, weights are assigned mathematically. One of the methods to determine such mathematical weights is the Principal Components analysis.
In the Principal Components analysis weights are determined such that the sum of the squared correlation coefficients of the index with the constituent variables is maximized. The method has, however, a tendency to pick up the subset of highly correlated variables to make the first component, assign marginal weights to relatively poorly correlated subset of variables and/or to relegate the latter subset to construction of the subsequent principal components. If one has to construct a single index, such an index undermines the poorly correlated set of variables. The index so constructed is elitist in nature that has a preference to the highly correlated subset over the poorly correlated subset of variables. Further, since there is no dependable method available to obtain a composite index by merging two or more principal components, the deferred set of variables never finds its representation in the further analysis.
In this paper we suggest a method to construct an index by maximizing the sum of the absolute correlation coefficients of the index with the constituent variables. We also suggest construction of an alternative index by maximin correlation. Our experiments suggest that the indices so constructed are inclusive or egalitarian. They do not prefer the highly correlated variables much to the poorly correlated variables.
2007-05-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3333/1/MPRA_paper_3333.pdf
Mishra, SK (2007): Construction of an Index by Maximization of the Sum of its Absolute Correlation Coefficients with the Constituent Variables.
en
oai:mpra.ub.uni-muenchen.de:3337
2019-09-29T01:00:55Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4331:433130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3337/
Construction of an Index by Maximization of the Sum of its Absolute Correlation Coefficients with the Constituent Variables
Mishra, SK
C43 - Index Numbers and Aggregation
C10 - General
On many occasions we need to construct an index that represents a number of variables. Cost of living index, general price index, human development index, index of level of development, etc are some of the examples that are constructed by a weighted (linear) aggregation of a host of variables. The weights are determined by the importance assigned to the variables to be aggregated. The criterion on which importance of a variable (vis-à-vis other variables) is determined may be varied and usually has its own logic. In many cases the analyst does not have any preferred means or logic to determine the relative importance of different variables. In such cases, weights are assigned mathematically. One of the methods to determine such mathematical weights is the Principal Components analysis.
In the Principal Components analysis weights are determined such that the sum of the squared correlation coefficients of the index with the constituent variables is maximized. The method has, however, a tendency to pick up the subset of highly correlated variables to make the first component, assign marginal weights to relatively poorly correlated subset of variables and/or to relegate the latter subset to construction of the subsequent principal components. If one has to construct a single index, such an index undermines the poorly correlated set of variables. The index so constructed is elitist in nature that has a preference to the highly correlated subset over the poorly correlated subset of variables. Further, since there is no dependable method available to obtain a composite index by merging two or more principal components, the deferred set of variables never finds its representation in the further analysis.
In this paper we suggest a method to construct an index by maximizing the sum of the absolute correlation coefficients of the index with the constituent variables. We also suggest construction of an alternative index by maximin correlation. Our experiments suggest that the indices so constructed are inclusive or egalitarian. They do not prefer the highly correlated variables much to the poorly correlated variables.
2007-05-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3337/1/MPRA_paper_3337.pdf
Mishra, SK (2007): Construction of an Index by Maximization of the Sum of its Absolute Correlation Coefficients with the Constituent Variables.
en
oai:mpra.ub.uni-muenchen.de:3338
2019-09-28T04:57:50Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3338/
Construction of maximin and non-elitist composite indices - alternatives to elitist indices obtained by the principal components analysis
Mishra, SK
C43 - Index Numbers and Aggregation
On many occasions we need to construct an index that represents a number of variables. Cost of living index, general price index, human development index, index of level of development, etc are some of the examples that are constructed by a weighted (linear) aggregation of a host of variables. The weights are determined by the importance assigned to the variables to be aggregated. The criterion on which importance of a variable (vis-à-vis other variables) is determined may be varied and usually has its own logic. In many cases the analyst does not have any preferred means or logic to determine the relative importance of different variables. In such cases, weights are assigned mathematically. One of the methods to determine such mathematical weights is the Principal Components analysis.
In the Principal Components analysis weights are determined such that the sum of the squared correlation coefficients of the index with the constituent variables is maximized. The method has, however, a tendency to pick up the subset of highly correlated variables to make the first component, assign marginal weights to relatively poorly correlated subset of variables and/or to relegate the latter subset to construction of the subsequent principal components. If one has to construct a single index, such an index undermines the poorly correlated set of variables. The index so constructed is elitist in nature that has a preference to the highly correlated subset over the poorly correlated subset of variables. Further, since there is no dependable method available to obtain a composite index by merging two or more principal components, the deferred set of variables never finds its representation in the further analysis.
In this paper we suggest a method to construct an index by maximizing the sum of the absolute correlation coefficients of the index with the constituent variables. We also suggest construction of an alternative index by maximin principle. Our experiments suggest that the indices so constructed are inclusive or egalitarian. They do not prefer the highly correlated variables much to the poorly correlated variables.
2007-05-27
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3338/1/MPRA_paper_3338.pdf
Mishra, SK (2007): Construction of maximin and non-elitist composite indices - alternatives to elitist indices obtained by the principal components analysis.
en
oai:mpra.ub.uni-muenchen.de:3377
2019-09-26T16:05:19Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3377/
A Comparative Study of Various Inclusive Indices and the Index Constructed by the Principal Components Analysis
Mishra, SK
C63 - Computational Techniques ; Simulation Modeling
C43 - Index Numbers and Aggregation
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Construction of (composite) indices by the PCA is very common, but this method has a preference for highly correlated variables to the poorly correlated variables in the data set. However, poor correlation does not entail the marginal importance, since correlation coefficients among the variables depend, apart from their linearity, also on their scatter, presence or absence of outliers, level of evolution of a system and intra-systemic integration among the different constituents of the system. Under-evolved systems often throw up the data with poorly correlated variables. If an index gives only marginal representation to the poorly correlated variables, it is elitist. The PCA index is often elitist, particularly for an under-evolved system.
In this paper we consider three alternative indices that determine weights given to different constituent variables on the principles different from the PCA. Two of the proposed indices, the one that maximizes the sum of absolute correlation coefficient of the index with the constituent variables and the other that maximizes the entropy-like function of the correlation coefficients between the index and the constituent variables are found to be very close to each other. These indices alleviate the representation of poorly correlated variables for some small reduction in the overall explanatory power (vis-à-vis the PCA index). These indices are inclusive in nature, caring for the representation of the poorly correlated variables. They strike a balance between individual representation and overall representation (explanatory power) and may perform better. The third index obtained by maximization of the minimal correlation between the index and the constituent variables cares most for the least correlated variable and in so doing becomes egalitarian in nature.
2007-06-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3377/1/MPRA_paper_3377.pdf
Mishra, SK (2007): A Comparative Study of Various Inclusive Indices and the Index Constructed by the Principal Components Analysis.
en
oai:mpra.ub.uni-muenchen.de:3441
2019-10-09T17:02:40Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4334:433433
7375626A656374733D52:5231:523131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3441/
Socio-economic Exclusion of Different Religious Communities in Meghalaya
Mishra, SK
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C43 - Index Numbers and Aggregation
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
Meghalaya, a state in the North Eastern India, is inhabited by over 2.3 million of population of which 70 percent are Christian, 13 percent are Hindus and a little over 4 percent are Muslims as obtained in the Census 2001. In this study we investigate if numerical dominance of a community leads to socio-economic dominance. We have constructed two composite indices of exclusion by weighted aggregation of 13 socio-economic indicators. The first composite index (I1) is obtained by maximization of the sum of absolute coefficients of correlation of the index with the indicator variables, while the second index (I2) is constructed by the principal components analysis that maximizes the sum of squared coefficients of correlation of the index with the indicator variables. In our judgment, the first index presents the reality more correctly, as a number of indicators undermined by I2 are given their due representation in I1. A perusal of the index (I1) reveals that while the Christian segment of population in the rural areas of Meghalaya is certainly better off than their Hindu or Muslim counterparts, they score comparatively poorly in the urban areas of Meghalaya. In the urban areas, the Muslim segment of the population is in the most advantageous position, followed by the Hindus. The Christians segment of population is more intensively excluded from the benefits of development. Thus, numerical dominance of a particular religious community does not entail socio-economic advantages. The advantages of numerical dominance may well be absorbed by the intra-community inequalities in the command over resources and opportunities.
2007-06-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3441/1/MPRA_paper_3441.pdf
Mishra, SK (2007): Socio-economic Exclusion of Different Religious Communities in Meghalaya.
en
oai:mpra.ub.uni-muenchen.de:3467
2019-10-10T12:21:14Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4334:433433
7375626A656374733D52:5231:523131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3467/
Socio-economic Exclusion of Different Religious Communities in Meghalaya
Mishra, SK
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C43 - Index Numbers and Aggregation
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
Meghalaya, a state in the North Eastern India, is inhabited by over 2.3 million of population of which 70 percent are Christian, 13 percent are Hindus and a little over 4 percent are Muslims as obtained in the Census 2001. In this study we investigate if numerical dominance of a community leads to socio-economic dominance. We have constructed two composite indices of exclusion by weighted aggregation of 13 socio-economic indicators. The first composite index (I1) is obtained by maximization of the sum of absolute coefficients of correlation of the index with the indicator variables, while the second index (I2) is constructed by the principal components analysis that maximizes the sum of squared coefficients of correlation of the index with the indicator variables. In our judgment, the first index presents the reality more correctly, as a number of indicators undermined by I2 are given their due representation in I1. A perusal of the index (I1) reveals that while the Christian segment of population in the rural areas of Meghalaya is certainly better off than its Hindu or Muslim counterparts, it scores comparatively poorly in the urban areas of Meghalaya. In the urban areas, the Muslim segment of the population is in the most advantageous position, followed by the Hindus. The Christians segment of population is more intensively excluded from the benefits of development. Thus, numerical dominance of a particular religious community does not entail socio-economic advantages. The advantages of numerical dominance may well be absorbed by the intra-community inequalities in the command over resources and opportunities.
2007-06-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3467/1/MPRA_paper_3467.pdf
Mishra, SK (2007): Socio-economic Exclusion of Different Religious Communities in Meghalaya.
en
oai:mpra.ub.uni-muenchen.de:3513
2019-10-01T15:41:45Z
7374617475733D756E707562
7375626A656374733D44:4436:443633
7375626A656374733D43:4334:433433
7375626A656374733D4F:4F35:4F3537
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3513/
A Note on Human Development Indices with Income Equalities
Mishra, SK
D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
C43 - Index Numbers and Aggregation
O57 - Comparative Studies of Countries
Human Development Index (HDI) is a composite index obtained by a weighted aggregation of other three indices, each measuring one aspect, namely life expectancy, education and real per capita income. Intra-country equality in income distribution, however, is very important with regard to quality of life and, thus, human development. This paper is concerned with the question that if the measure of income equality also were included in construction of the HDI, then what would be the relative weights of different indices. One method could be to assign equal weights to all the four, but it is too pragmatic. Alternatively, the principal component analysis (PCA) may be applied to derive weights. But, again, the PCA is an overly elitist method that undermines the poorly correlated set of variables, which might be very important in their own right, in favor of highly correlated set of variables. We propose an alternative method that maximizes the sum of absolute coefficients of correlation of the composite index with the constituent indices. Such an index is inclusive in nature and gives proper representation to weakly correlated variables also. The method has been applied to data of 125 countries and the HDI so constructed has been compared with the PCA HDI and HDR (UNDP) HDI. We find substantial ups and downs in the HDI ranks of different countries.
2007-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3513/1/MPRA_paper_3513.pdf
Mishra, SK (2007): A Note on Human Development Indices with Income Equalities.
en
oai:mpra.ub.uni-muenchen.de:3612
2019-09-29T10:58:00Z
7374617475733D756E707562
7375626A656374733D4F:4F35:4F3533
7375626A656374733D4A:4A37:4A3731
7375626A656374733D5A:5A31:5A3132
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3612/
Analysis of Gender Disparity in Meghalaya by Various Types of Composite Indices
Mishra, SK
O53 - Asia including Middle East
J71 - Discrimination
Z12 - Religion
C43 - Index Numbers and Aggregation
Subjugation of women in certain spheres of life is very common in the patriarchal societies and it has a long history. In India, women have little social or economic independence. They are treated inequitably at home as much as at the workplace outside. Perhaps, it is so for the Indian society is predominantly patriarchal. However, Meghlaya, a state in North East India, presents a case different than the rest of the country at large (except Kerala and some other pockets). A very large majority of population in the state belongs to three tribes, Garo, Jaintia and Khasi, well known for their being matrilineal (and matrifocal). In this paper we investigate how women in Meghalaya perform, vis-à-vis men, in the socio-economic sphere. The investigation is based on Census of India-2001 data. Two sets of nine variables that measure socio-economic inclusion of people in development have been obtained, first for men and the second for women, and from these variables a composite index has finally been constructed. Many methods of constructing a composite index are discussed and applied on the data for obtaining loadings on the variables. Analytic methods (e.g. principal component/factor analysis) and synthetic methods (MSAR, MEFAR and MMAR) have been compared empirically. We find that the synthetic methods perform better than the analytic methods in representing the constituent variables judiciously and meaningfully.
Do matrifocal societies favour women in socio-economic sphere and help achieve gender equality? We conclude that indeed they do so. The tribes of Meghalaya whose societies are organized on matrifocal principles have obtained much greater gender equality than the societies (e.g. Hindu and Muslim) that are organized on the patriarchal principles.
2007-06-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3612/1/MPRA_paper_3612.pdf
Mishra, SK (2007): Analysis of Gender Disparity in Meghalaya by Various Types of Composite Indices.
en
oai:mpra.ub.uni-muenchen.de:3793
2019-10-06T06:08:58Z
7374617475733D756E707562
7375626A656374733D44:4436:443633
7375626A656374733D43:4334:433433
7375626A656374733D4F:4F35:4F3537
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3793/
A Note on Human Development Indices with Income Equalities
Mishra, SK
D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
C43 - Index Numbers and Aggregation
O57 - Comparative Studies of Countries
Human Development Index (HDI) is a composite index obtained by a weighted aggregation of other three indices, each measuring one aspect, namely life expectancy, education and real per capita income. Intra-country equality in income distribution, however, is very important with regard to quality of life and, thus, human development. This paper is concerned with the question that if the measure of income equality also were included in construction of the HDI, then what would be the relative weights of different indices. One method could be to assign equal weights to all the four, but it is too pragmatic. Alternatively, the principal component analysis (PCA) may be applied to derive weights. But, again, the PCA is an overly elitist method that undermines the poorly correlated set of variables, which might be very important in their own right, in favor of highly correlated set of variables. We propose an alternative method that maximizes the sum of absolute coefficients of correlation of the composite index with the constituent indices. Such an index is inclusive in nature and gives proper representation to weakly correlated variables also. The method has been applied to data of 125 countries and the HDI so constructed has been compared with the PCA HDI and HDR (UNDP) HDI. We find substantial ups and downs in the HDI ranks of different countries.
2007-06-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3793/1/MPRA_paper_3793.pdf
Mishra, SK (2007): A Note on Human Development Indices with Income Equalities.
en
oai:mpra.ub.uni-muenchen.de:3810
2019-09-30T13:59:06Z
7374617475733D756E707562
7375626A656374733D43:4334:433439
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3810/
The Levy sections theorem: an application to econophysics
Figueiredo, Annibal
Matsushita, Raul
Da Silva, Sergio
Serva, Maurizio
Viswanathan, Gandhi
Nascimento, Cesar
Gleria, Iram
C49 - Other
We employ the Levy sections theorem in the analysis of selected dollar exchange
rate time series. The theorem is an extension of the classical central limit theorem
and offers an alternative to the most usual analysis of the sum variable. We find
that the presence of fat tails can be related to the local volatility pattern of the
series.
2007-07-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3810/1/MPRA_paper_3810.pdf
Figueiredo, Annibal and Matsushita, Raul and Da Silva, Sergio and Serva, Maurizio and Viswanathan, Gandhi and Nascimento, Cesar and Gleria, Iram (2007): The Levy sections theorem: an application to econophysics.
en
oai:mpra.ub.uni-muenchen.de:3926
2019-09-26T13:37:12Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4338:433838
7375626A656374733D43:4335
7375626A656374733D43:4338:433837
7375626A656374733D43:4331
7375626A656374733D42:4234:423431
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3926/
Les algorithmes de la modélisation : une analyse critique pour la modélisation économique
Buda, Rodolphe
C63 - Computational Techniques ; Simulation Modeling
C88 - Other Computer Software
C5 - Econometric Modeling
C87 - Econometric Software
C1 - Econometric and Statistical Methods and Methodology: General
B41 - Economic Methodology
C43 - Index Numbers and Aggregation
C65 - Miscellaneous Mathematical Tools
L'objet de ce papier n'est pas tant de présenter les principaux algorithmes utilisés
en modélisation économique - nombre de manuels font des présentations de meilleure
qualité et plus exhaustives - que d'en proposer une vision critique. Les modèles économiques, et plus particulièrement les modèles macroéconométriques, sont des représentations numériques qui, de ce fait, ont opéré des choix de simplification voire de réduction de la réalité. Revenir sur les algorithmes existants peut donc, nous l'espérons, constituer une étape vers la reformulation d'algorithmiques plus féconds pour la modélisation.
Le problème de la modélisation consiste à se poser la question de savoir, compte tenu de
l'état observé de l'économie et sous certaines hypothèses, quelle sera en mode projection,
quelle serait (en mode simulation), l'état futur (vs l'état alternatif) de cette économie ? Depuis la phase de gestion de la banque de données qui requiert divers algorithmes de tri, jusqu'aux algorithmes d'analyse numérique impliqués dans les calculs matriciels d'estimation économétrique - pour être bref -, le fonctionnement de la modélisation macroéconométrique s'explique par des algorithmes . Il implique l'emploi d'une syntaxe, l'algorithmique, et d'un langage, les mathématiques. L'algorithme est une séquence d'instructions ordonnées et formalisées, permettant d'aboutir à la résolution du problème étudié. Peu d'ouvrages sont consacrés aux phases algorithmiques de la modélisation .
Si les algorithmes visent tous à assister la décision (analyses rétrospective et prospective), ils sont loin de former une librairie homogène de programmes. Nous aborderons des algorithmes directement liés à un traitement numérique (estimation statistique, simulation optimisation). Mais nous consacrerons également quelques lignes à des algorithmes de nature apparemment "moins numériques", mais intervenant dans des phases déterminantes de la modélisation. Il s'agira d'une part des algorithmes permettant de structurer et/ou d'analyse des données ainsi que des algorithmes graphiques et ceux de communication. Enfin nous aborderons brièvement le problème de précision des calculs lié à l'arithmétique des ordinateurs. Délibérément, nous n'avons développé les aspects relatifs au Génie logiciel , de même que dans un souci de clarté, nous avons regroupé les programmes en annexe, lorsque la compréhension n'exigeait pas qu'ils accompagnent le texte. Notre présentation sera jalonnée de travaux algorithmiques et de références
à nos notes de travail, réalisés dans le cadre de notre thèse de Doctorat.
2001-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3926/1/MPRA_paper_3926.pdf
Buda, Rodolphe (2001): Les algorithmes de la modélisation : une analyse critique pour la modélisation économique.
fr
oai:mpra.ub.uni-muenchen.de:3937
2019-10-02T16:43:41Z
7374617475733D756E707562
7375626A656374733D43:4334:433431
7375626A656374733D43:4331:433134
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3937/
A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models
Bhattacharjee, Arnab
C41 - Duration Analysis ; Optimal Timing Strategies
C14 - Semiparametric and Nonparametric Methods: General
C12 - Hypothesis Testing: General
This paper extends commonly used tests for equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the hypothesis that the conditional hazard rate is the same for all covariate values, against the omnibus alternative as well as more specific alternatives, when the covariate is continuous. The tests developed are particularly useful for
detecting trend in the underlying conditional hazard rates or changepoint trend alternatives. Asymptotic distribution of the test statistics are established and small sample properties of the tests are studied. An application to the e¤ect of aggregate Q on corporate failure in the UK shows evidence of trend in the covariate e¤ect, whereas a Cox regression model failed to detect evidence of any covariate effect. Finally, we discuss an
important extension to testing for proportionality of hazards in the presence of individual level frailty with arbitrary distribution.
2004
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3937/1/MPRA_paper_3937.pdf
Bhattacharjee, Arnab (2004): A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models.
en
oai:mpra.ub.uni-muenchen.de:3938
2019-09-29T12:50:59Z
7374617475733D756E707562
7375626A656374733D43:4334:433431
7375626A656374733D43:4331:433134
7375626A656374733D43:4331:433131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3938/
Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing
Bhattacharjee, Arnab
Bhattacharjee, Madhuchhanda
C41 - Duration Analysis ; Optimal Timing Strategies
C14 - Semiparametric and Nonparametric Methods: General
C11 - Bayesian Analysis: General
We propose Bayesian inference in hazard regression models where the baseline hazard is unknown, covariate effects are possibly age-varying (non-proportional), and there is multiplicative frailty with arbitrary distribution. Our framework incorporates a wide variety of order restrictions on covariate dependence and duration dependence (ageing). We propose estimation and evaluation of age-varying covariate effects when covariate dependence is monotone rather than proportional. In particular, we consider situations where the lifetime conditional on a higher value of the covariate ages faster or slower than that conditional on a lower value; this kind of situation is common in applications. In addition, there may be restrictions on the nature of ageing. For example, relevant theory may suggest that the baseline hazard function decreases with age. The proposed framework enables evaluation of order restrictions in the nature of both covariate and duration dependence as well as estimation of hazard regression models under such restrictions. The usefulness of the proposed Bayesian model and inference methods are illustrated with an application to corporate bankruptcies in the UK.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3938/1/MPRA_paper_3938.pdf
Bhattacharjee, Arnab and Bhattacharjee, Madhuchhanda (2007): Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing.
en
oai:mpra.ub.uni-muenchen.de:3962
2019-09-27T13:33:31Z
7374617475733D756E707562
7375626A656374733D4F:4F35:4F3533
7375626A656374733D45:4536:453635
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3962/
Türkiye’deki Hükümetlerin Makroekonomik Performanslarının Bir Karşılaştırması, 1987-2007
Kibritçioğlu, Aykut
O53 - Asia including Middle East
E65 - Studies of Particular Policy Episodes
C43 - Index Numbers and Aggregation
In this paper, a macroeconomic performance index (MEP10) which consists of selected ten indicators is proposed to evaluate the relative performance of Turkish governments by using monthly data for the period of December 1987 – April 2007. According to the multi-staged evaluation process applied in the study, the governments are grouped in three classes:
(1) Relatively successful governments: 46. government (December 1987 – November 1989), 48. government (June 1991 – November 1991), 54. government (June 1996 – June 1997), and 59. government (March 2002 – April 2007),
(2) Relatively unsuccessful governments: 47. government (November 1989 – June 1991), 49. government (November 1991 – June 1993), 55. government (June 1997 – January 1999) and 53. government (March 1996 – June 1996), and
(3) Most unsuccessful governments: 50.-52. governments (June 1993 – March 1996) and 56.-57. governments (January 1999 – November 2002).
The monthly performance index is also used to test some hypotheses regarding the relationship between the length of the governments’ term of office and their macroeconomic performances.
2007-07-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3962/1/MPRA_paper_3962.pdf
Kibritçioğlu, Aykut (2007): Türkiye’deki Hükümetlerin Makroekonomik Performanslarının Bir Karşılaştırması, 1987-2007.
tr
oai:mpra.ub.uni-muenchen.de:4311
2019-09-26T08:41:55Z
7374617475733D707562
7375626A656374733D43:4332:433235
7375626A656374733D43:4334:433435
7375626A656374733D43:4331:433134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4311/
Airport and Access Mode Choice : A Generalized Nested Logit Model Approach
Gelhausen, Marc Christopher
Wilken, Dieter
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
C45 - Neural Networks and Related Topics
C14 - Semiparametric and Nonparametric Methods: General
The purpose of the paper is to present a novel approach of a general airport and access mode choice model. Based on data of the German Air Traveller Survey 2003 with a sample size of about 210.000 passengers interviewed at 21 airports a three-stage nested logit model has been estimated in a first step. 7 different access modes to the airport are modelled, subdivided into four private and three public travel modes. The model includes 7 different market segments: Domestic, European and Intercontinental travel, each segment split up into private and business travel. The European private travel segment is further subdivided into short stay trips and holiday travel.
The aim is to develop a generally applicable airport and access mode choice model. Thereby it is possible to analyse future in terms of new airport constellations and new airport access modes. To achieve this, Kohonens Self-Organizing-Maps are used to identify different airport clusters and assign every airport to the appropriate cluster. Based on these airport clusters the aforementioned nested logit model has been estimated.
The model is fully flexible regarding airports and access modes included in the analysis, thereby it is possible to evaluate any scenario, whether it is existing today or not. Furthermore, the model is not restricted in terms of the maximum number of airport/access mode combinations allowed. Interesting model applications comprise new high speed intercity access to existing airports or the impact of new airports like for example Berlin-Brandenburg International. Analysis of airport and access mode choice in border regions is possible, too.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4311/1/MPRA_paper_4311.pdf
Gelhausen, Marc Christopher and Wilken, Dieter (2006): Airport and Access Mode Choice : A Generalized Nested Logit Model Approach. Published in: Proceedings of the 10th Air Transport Research Society World Conference (2006): pp. 1-30.
en
oai:mpra.ub.uni-muenchen.de:4313
2019-09-28T04:33:16Z
7374617475733D707562
7375626A656374733D43:4332:433235
7375626A656374733D43:4334:433435
7375626A656374733D43:4331:433134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4313/
A Generalized Neural Logit Model for Airport and Access Mode Choice in Germany
Gelhausen, Marc Christopher
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
C45 - Neural Networks and Related Topics
C14 - Semiparametric and Nonparametric Methods: General
The purpose of this paper is to present a new kind of discrete choice model called "Generalized Neural Logit Model" applied exemplarily to the case of airport and access mode choice. This approach employs neural networks to model the utility function of a discrete choice model and correlations within the alternative set and genetic algorithms to optimize the network structure.
To evaluate the new approach the application case of airport and access mode choice is chosen. Benchmark for the Generalized Neural Logit Model is a nested logit approach. The estimated market segment specific airport and access mode choice models are generally applicable to any number of airports and combinations of airports and access modes. Thereby it is possible to analyse future scenarios in terms of new airport constellations and new airport access modes. To achieve this, Kohonen’s Self-Organizing-Maps are used to identify different airport clusters and assign every airport to the appropriate cluster.
Although the nested logit model show a good model fit for most market segments, the Generalized Neural Logit approach produces a significant increase in model fit especially for those market segments whose nested logit model show less satisfying results.
2007
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4313/1/MPRA_paper_4313.pdf
Gelhausen, Marc Christopher (2007): A Generalized Neural Logit Model for Airport and Access Mode Choice in Germany. Published in: Proceedings of the 11th Air Transport Research Society World Conference (2007): pp. 1-42.
en
oai:mpra.ub.uni-muenchen.de:4570
2019-09-28T23:13:07Z
7374617475733D707562
7375626A656374733D43:4333:433335
7375626A656374733D43:4334:433434
7375626A656374733D43:4331:433134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4570/
Novel Methods for Multivariate Ordinal Data applied to Genetic Diplotypes, Genomic Pathways, Risk Profiles, and Pattern Similarity
Wittkowski, Knut M.
C35 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions
C44 - Operations Research ; Statistical Decision Theory
C14 - Semiparametric and Nonparametric Methods: General
Introduction: Conventional statistical methods for multivariate data (e.g., discriminant/regression) are based on the (generalized) linear model, i.e., the data are interpreted as points in a Euclidian space of independent dimensions. The dimensionality of the data is then reduced by assuming the components to be related by a specific function of known type (linear, exponential, etc.), which allows the distance of each point from a hyperspace to be determined. While mathematically elegant, these approaches may have shortcomings when applied to real world applications where the relative importance, the functional relationship, and the correlation among the variables tend to be unknown. Still, in many applications, each variable can be assumed to have at least an “orientation”, i.e., it can reasonably assumed that, if all other conditions are held constant, an increase in this variable is either “good” or “bad”. The direction of this orientation can be known or unknown. In genetics, for instance, having more “abnormal” alleles may increase the risk (or magnitude) of a disease phenotype. In genomics, the expression of several related genes may indicate disease activity. When screening for security risks, more indicators for atypical behavior may constitute raise more concern, in face or voice recognition, more indicators being similar may increase the likelihood of a person being identified.
Methods: In 1998, we developed a nonparametric method for analyzing multivariate ordinal data to assess the overall risk of HIV infection based on different types of behavior or the overall protective effect of barrier methods against HIV infection. By using u-statistics, rather than the marginal likelihood, we were able to increase the computational efficiency of this approach by several orders of magnitude.
Results: We applied this approach to assessing immunogenicity of a vaccination strategy in cancer patients. While discussing the pitfalls of the conventional methods for linking quantitative traits to haplotypes, we realized that this approach could be easily modified into to a statistically valid alternative to a previously proposed approaches. We have now begun to use the same methodology to correlate activity of anti-inflammatory drugs along genomic pathways with disease severity of psoriasis based on several clinical and histological characteristics.
Conclusion: Multivariate ordinal data are frequently observed to assess semiquantitative characteristics, such as risk profiles (genetic, genomic, or security) or similarity of pattern (faces, voices, behaviors). The conventional methods require empirical validation, because the functions and weights chosen cannot be justified on theoretical grounds. The proposed statistical method for analyzing profiles of ordinal variables, is intrinsically valid. Since no additional assumptions need to be made, the often time-consuming empirical validation can be skipped.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4570/1/MPRA_paper_4570.pdf
Wittkowski, Knut M. (2003): Novel Methods for Multivariate Ordinal Data applied to Genetic Diplotypes, Genomic Pathways, Risk Profiles, and Pattern Similarity. Published in: Computational Science and Statistics , Vol. 35, (2003): pp. 626-646.
en
oai:mpra.ub.uni-muenchen.de:4616
2019-09-27T10:39:52Z
oai:mpra.ub.uni-muenchen.de:4663
2019-09-27T05:19:33Z
7374617475733D696E7072657373
7375626A656374733D43:4338:433838
7375626A656374733D44:4438:443834
7375626A656374733D44:4438:443832
7375626A656374733D43:4334:433439
7375626A656374733D43:4334:433434
7375626A656374733D44:4438:443831
7375626A656374733D44:4438:443833
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4663/
Methods to Elicit Forecasts from Groups: Delphi and Prediction Markets Compared
Green, Kesten C.
Armstrong, J. Scott
Graefe, Andreas
C88 - Other Computer Software
D84 - Expectations ; Speculations
D82 - Asymmetric and Private Information ; Mechanism Design
C49 - Other
C44 - Operations Research ; Statistical Decision Theory
D81 - Criteria for Decision-Making under Risk and Uncertainty
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
Traditional groups meetings are an inefficient and ineffective method for making forecasts and decisions. We compare two structured alternatives to traditional meetings: the Delphi technique and prediction markets. Delphi is relatively simple and cheap to implement and has been adopted for diverse applications in business and government since its origins in the 1950s. It can be used for nearly any forecasting, estimation, or decision making problem not barred by complexity or ignorance. While prediction markets were used more than a century ago, their popularity waned until more recent times. As a consequence there is less evidence on their validity. Prediction markets need many participants. They need clear outcomes in order to determine participants’ pay-offs. Even so, relating their knowledge to market prices is not intuitive to everyone and constructing contracts that will provide a useful forecast may not be possible for some problems. It is difficult to maintain confidentiality with markets and they are vulnerable to manipulation. Delphi is designed to reveal panelists’ knowledge and opinions via their forecasts and the reasoning they provide. This format allows testing of knowledge and learning by panelists as they refine their forecasts. Such a process does not happen explicitly in prediction markets and may not happen at all. The reasoning provided as an output of the Delphi process is likely to be reassuring to forecast users who are uncomfortable with the “black box” nature of prediction markets. We consider that, half a century after its original development, Delphi is greatly under-utilized.
2007-08-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4663/1/MPRA_paper_4663.pdf
Green, Kesten C. and Armstrong, J. Scott and Graefe, Andreas (2007): Methods to Elicit Forecasts from Groups: Delphi and Prediction Markets Compared. Forthcoming in: Foresight: The International Journal of Applied Forecasting No. Fall
en
oai:mpra.ub.uni-muenchen.de:4686
2019-09-26T12:36:04Z
7374617475733D696E7072657373
7375626A656374733D4D:4D33:4D3331
7375626A656374733D43:4334:433431
7375626A656374733D43:4332:433235
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4686/
The Price Consideration Model of Brand Choice
Ching, Andrew
Erdem, Tulin
Keane, Michael
M31 - Marketing
C41 - Duration Analysis ; Optimal Timing Strategies
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
The workhorse brand choice models in marketing are the multinomial logit (MNL) and nested multinomial logit (NMNL). These models place strong restrictions on how brand share and purchase incidence price elasticities are related. In this paper, we propose a new model of brand choice, the “price consideration” (PC) model, that allows more flexibility in this relationship. In the PC model, consumers do not observe prices in each period. Every week, a consumer decides whether to consider a category. Only then does he/she look at prices and decide whether and what to buy. Using scanner data, we show the PC model fits much better than MNL or NMNL. Simulations reveal the reason: the PC model provides a vastly superior fit to inter-purchase spells.
2007-08-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4686/1/MPRA_paper_4686.pdf
Ching, Andrew and Erdem, Tulin and Keane, Michael (2007): The Price Consideration Model of Brand Choice. Forthcoming in: Journal of Applied Econometrics
en
oai:mpra.ub.uni-muenchen.de:4703
2019-10-04T16:34:10Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D46:4633:463331
7375626A656374733D46:4631:463130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4703/
A New Indicator of Competitiveness for Italy and the Main Industrial and Emerging Countries
Finicelli, Andrea
Liccardi, Alessandra
Sbracia, Massimo
C43 - Index Numbers and Aggregation
F31 - Foreign Exchange
F10 - General
This paper presents the new competitiveness indicators of the Bank of Italy. While the old ones were calculated with reference to 25 industrial or OECD countries, the new indicators are available for 62 countries, including the main emerging and developing economies. In order to extend the country coverage, we have used a new methodology to compute country weights, introduced by the Federal Reserve, which is entirely based on trade flows; by contrast, the previous IMF-BIS methodology adopted for the old indicators required also data on the domestic production of the manufacturing sector — figures that are rarely available for non-industrial countries. In addition, we have adjusted the trade flows of China and Hong Kong as suggested in the literature, in order to reduce the distortions due to the entrepôt trade of these two countries.
Results show that methodological differences have a negligible impact on competitiveness indicators; on the other hand, the effect of the country coverage may be quite remarkable. In Italy’s case, the old and new indicators show a similar dynamics in the period from January 1980 to September 2005; differences in levels, well-contained between 1980 and 1993, grow thereafter reaching a maximum of 5.5 percentage points. During the recent phase of dollar depreciation began in February 2002, Italy recorded a sharp decline in competitiveness. In addition to the United States, the countries that mostly contributed to this negative performance were Japan, China, Hong Kong and Taiwan. These losses were partly offset by the gains recorded with respect to several central and eastern European countries.
2005-12-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4703/1/MPRA_paper_4703.pdf
Finicelli, Andrea and Liccardi, Alessandra and Sbracia, Massimo (2005): A New Indicator of Competitiveness for Italy and the Main Industrial and Emerging Countries.
en
oai:mpra.ub.uni-muenchen.de:4779
2019-10-08T09:24:41Z
7374617475733D707562
7375626A656374733D43:4334:433433
7375626A656374733D52:5235:523538
7375626A656374733D52:5235:523533
7375626A656374733D52:5231:523130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4779/
Infrastructural Facilities in India: District Level Availability Index
Majumder, Rajarshi
C43 - Index Numbers and Aggregation
R58 - Regional Development Planning and Policy
R53 - Public Facility Location Analysis ; Public Investment and Capital Stock
R10 - General
The role of infrastructure in fostering economic growth and enhancing public welfare is more pronounced in developing economies like India. At the time of our independence, the national government was unanimous in accepting that a much wider base of infrastructure was the ‘sine qua non’ of economic development of this country. The complete consensus obviated the need for any debate on this issue and it was taken for granted that infrastructure sector needed both large scale action and outlay. There has been a remarkable growth in the absolute level of such facilities, as well as in the level relative to the size of the nation and population, i.e. in standardized forms, though the performance in terms of efficiency, quality and financial viability has remained circumspect, if not poor. However, a major aspect of this issue has been the wide regional variation in the availability of infrastructural facilities. This has often accentuated regional disparities in socio-economic development and stressed the necessity for an integrated regional development programme. The first step towards this direction is taking a stock of the regional distribution of infrastructural facilities in India. In this paper an attempt has been made towards this direction. It has been observed that there exists considerable regional disparity in infrastructural facilities in India, not only among the states, but within states also. It is also noted that the relative hierarchy has remained quite sticky over time. Thus, the situation is far from comfortable and this issue is to be taken up seriously to keep our economy on track.
2003-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4779/1/MPRA_paper_4779.pdf
Majumder, Rajarshi (2003): Infrastructural Facilities in India: District Level Availability Index. Published in: Indian Journal of Regional Science , Vol. Vol. 3, No. No. 2 (December 2003)
en
oai:mpra.ub.uni-muenchen.de:4786
2019-10-05T13:05:10Z
7374617475733D756E707562
7375626A656374733D45:4534:453439
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4786/
Toward a Bias Corrected Currency Equivalent Index
Kelly, Logan
Barnett, William A.
Keating, John
E49 - Other
C43 - Index Numbers and Aggregation
Measuring the economic stock of money, defined to be the present value of current and future monetary service flows, is a difficult asset pricing problem, because most monetary assets yield interest. Thus, an interest yielding monetary asset is a joint product: a durable good providing a monetary service flow and a financial asset yielding a return. The currency equivalent index provides an elegant solution, but it does so by making strong assumptions about expectations of future monetary service flows. These assumptions cause the currency equivalent index to exhibit significant downward bias. In this paper, we propose an extension to the currency equivalent index that will correct for a significant amount of this bias.
2007-09-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4786/1/MPRA_paper_4786.pdf
Kelly, Logan and Barnett, William A. and Keating, John (2007): Toward a Bias Corrected Currency Equivalent Index.
en
oai:mpra.ub.uni-muenchen.de:4982
2019-10-03T11:53:51Z
oai:mpra.ub.uni-muenchen.de:4999
2019-09-26T18:06:40Z
7374617475733D696E7072657373
7375626A656374733D44:4438:443833
7375626A656374733D44:4438:443831
7375626A656374733D43:4334:433434
7375626A656374733D43:4338:433838
7375626A656374733D44:4438:443834
7375626A656374733D43:4334:433439
7375626A656374733D44:4438:443832
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4999/
Methods to Elicit Forecasts from Groups: Delphi and Prediction Markets Compared
Green, Kesten C.
Armstrong, J. Scott
Graefe, Andreas
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
D81 - Criteria for Decision-Making under Risk and Uncertainty
C44 - Operations Research ; Statistical Decision Theory
C88 - Other Computer Software
D84 - Expectations ; Speculations
C49 - Other
D82 - Asymmetric and Private Information ; Mechanism Design
Traditional groups meetings are an inefficient and ineffective method for making forecasts and decisions. We compare two structured alternatives to traditional meetings: the Delphi technique and prediction markets. Delphi is relatively simple and cheap to implement and has been adopted for diverse applications in business and government since its origins in the 1950s. It can be used for nearly any forecasting, estimation, or decision making problem not barred by complexity or ignorance. While prediction markets were used more than a century ago, their popularity waned until more recent times. Prediction markets can be run continuously, and they motivate participation and participants to reveal their true beliefs. On the other hand, they need many participants and clear outcomes in order to determine pay-offs. Moreover, translating knowledge into a price is not intuitive to everyone and constructing contracts that will provide a useful forecast may not be possible for some problems. It is difficult to maintain confidentiality with markets and they are vulnerable to manipulation. Delphi is designed to reveal panelists’ knowledge and opinions via their forecasts and the reasoning they provide. This format allows testing of knowledge and learning by panelists as they refine their forecasts but may also lead to conformity due to group pressure. The reasoning provided as an output of the Delphi process is likely to be reassuring to forecast users who are uncomfortable with the “black box” nature of prediction markets. We consider that, half a century after its original development, Delphi is under-utilized.
2007-08-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4999/1/MPRA_paper_4999.pdf
Green, Kesten C. and Armstrong, J. Scott and Graefe, Andreas (2007): Methods to Elicit Forecasts from Groups: Delphi and Prediction Markets Compared. Forthcoming in: Foresight: The International Journal of Applied Forecasting No. Fall
en
oai:mpra.ub.uni-muenchen.de:5004
2019-10-28T17:49:19Z
oai:mpra.ub.uni-muenchen.de:5019
2019-10-03T04:47:49Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5019/
Estimating Hedonic Price Indexes for Personal Computers in Russia
Parkhomenko, Alexander
Redkina, Anastasia
Maslivets, Olga
E31 - Price Level ; Inflation ; Deflation
C43 - Index Numbers and Aggregation
Economists have noted for decades that Consumer Price Index (CPI) in the
developed countries is overstating inflation by 0,5-2,0% per year. A significant part of
this bias is found to be caused by the effects of new goods and quality change. Information and communication technology (ICT) products are mostly subject to these effects. An increasing weight of these products in the Russian CPI may lead to a substantial upward bias in the Russian CPI. Nowadays hedonic price indexes are believed to be one of the most efficient ways to eliminate the bias. They can be used in two ways: to estimate the bias in CPI and to elaborate an alternative to official price indexes for ICT products. In this study we estimate hedonic price and quality indexes for Personal Computers, the most widespread ICT product, in Russia. Using 21 months data (03.2004-11.2005) we estimated a 25% fall in PC prices for 20 months (about 16% on 12 months scale). We have also estimated that elementary price index for PC may be biased upward by 17-27% per year due to the usage of traditional matched models. Hence, the Russian CPI can be overstated by 0,19-0,31% per year. Hedonic quality indexes indicate a significant quality growth of PC (GAGR 19% per year) which is the best explanation for the rapidly falling prices.
2007-01-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5019/1/MPRA_paper_5019.pdf
Parkhomenko, Alexander and Redkina, Anastasia and Maslivets, Olga (2007): Estimating Hedonic Price Indexes for Personal Computers in Russia.
en
oai:mpra.ub.uni-muenchen.de:5303
2019-09-26T16:11:12Z
7374617475733D756E707562
7375626A656374733D43:4334:433430
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5303/
Martingales, the efficient market hypothesis, and spurious stylized facts
McCauley, Joseph L.
Bassler, Kevin E.
Gunaratne, Gemunu h.
C40 - General
G15 - International Financial Markets
The condition for stationary increments, not scaling,
detemines long time pair autocorrelations. An incorrect
assumption of stationary increments generates spurious
stylized facts, fat tails and a Hurst exponent Hs=1/2, when
the increments are nonstationary, as they are in FX markets.
The nonstationarity arises from systematic uneveness in
noise traders’ behavior. Spurious results arise
mathematically from using a log increment with a ‘sliding
window’. We explain why a hard to beat market demands
martingale dynamics , and martingales with nonlinear
variance generate nonstationary increments. The
nonstationarity is exhibited directly for Euro/Dollar FX
data. We observe that the Hurst exponent Hs generated by
the using the sliding window technique on a time series
plays the same role as does Mandelbrot’s Joseph exponent.
Finally, Mandelbrot originally assumed that the ‘badly
behaved second moment of cotton returns is due to fat tails,
but that nonconvergent behavior is instead direct evidence
for nonstationary increments. Summarizing, the evidence for
scaling and fat tails as the basis for econophysics and
financial economics is provided neither by FX markets nor
by cotton price data.
2007-10-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5303/1/MPRA_paper_5303.pdf
McCauley, Joseph L. and Bassler, Kevin E. and Gunaratne, Gemunu h. (2007): Martingales, the efficient market hypothesis, and spurious stylized facts.
en
oai:mpra.ub.uni-muenchen.de:5525
2019-09-27T05:27:18Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5525/
Price indices and unit value indices in German foreign trade statistics
von der Lippe, Peter
C43 - Index Numbers and Aggregation
There is presently an international discussion among statistical institutes, reserve banks etc. about the feasibility of replacing true price indices of exports and imports by unit value indices. For the very few countries, such as Germany, providing both indices on a monthly basis this would mean to give up a (costly) compilation of P-indices. The paper shows that this would be unwise. It aims at exploring the still not well understood methodological differences of both types of indices, and it is also reporting some empirical results of a research project in cooperation with the German Bundesbank.
2007-01-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5525/1/MPRA_paper_5525.pdf
von der Lippe, Peter (2007): Price indices and unit value indices in German foreign trade statistics.
en
oai:mpra.ub.uni-muenchen.de:5528
2019-10-07T16:31:07Z
7374617475733D756E707562
7375626A656374733D45:4534:453439
7375626A656374733D43:4334:433433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5528/
Measuring the Economic Stock of Money
Kelly, Logan
E49 - Other
C43 - Index Numbers and Aggregation
Aggregation theoretic measures of the economic stock of money (ESM) have been criticized for their dependence on future expectations. I answer some of those objections by using several forecasting methods to generate the expectations needed for calculating the ESM. I find that targeted factor model forecasting improves the accuracy of the measurement of the ESM but also that measurement of the ESM is robust to assumptions about future expectation. These findings suggest that concerns about the dependency of theoretical monetary stock aggregates on forecasted future expectations may have been overstated.
2007-11-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5528/2/MPRA_paper_5528.pdf
Kelly, Logan (2007): Measuring the Economic Stock of Money.
en
oai:mpra.ub.uni-muenchen.de:5631
2019-09-26T18:49:14Z
7374617475733D707562
7375626A656374733D52:5234:523431
7375626A656374733D43:4334:433435
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5631/
Airport Choice in Germany - New Empirical Evidence of the German Air Traveller Survey 2003
Wilken, Dieter
Berster, Peter
Gelhausen, Marc Christopher
R41 - Transportation: Demand, Supply, and Congestion ; Travel Time ; Safety and Accidents ; Transportation Noise
C45 - Neural Networks and Related Topics
C53 - Forecasting and Prediction Methods ; Simulation Methods
The paper deals with the quantitative relationship between the number of air travellers in any region and the airports chosen in Germany in 2003. The purpose of the paper is to present results of an analysis of airport choice behaviour of total air passenger demand in Germany, based on data of the German air traveller survey conducted at 17 international and 5 regional airports. About 210 000 passengers were interviewed about their trip origin, destination, choice of travel mode to the airport, purpose of their journey and further journey and person related attributes. As a result of the analysis so far, the distribution of airports chosen by all passengers coming from any region in Germany can be shown in relation to the journey purpose and destination. Based on these data, logit models have been calibrated for each market segment to forecast airport choice in relation to the accessibility and attractiveness of airports. As a further methodological step the outline of a combined neural and nested logit model of access mode and airport choice is given, which will be calibrated on the basis of the data of the German air traveller survey.
Typically, the nearest airport will be chosen by most travellers, there are, however, on average eight airports serving one region (defined as a Spatial Planning Region, of which there are 97 in Germany). If there is an international airport in a region about two thirds of the demand coming from that region will choose that airport, and about one third will choose to depart from one of seven other airports. Vice versa, each airport attracts passengers coming from almost 40 regions. There is thus an intense interaction between an airport and a large influential area.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5631/1/MPRA_paper_5631.pdf
Wilken, Dieter and Berster, Peter and Gelhausen, Marc Christopher (2005): Airport Choice in Germany - New Empirical Evidence of the German Air Traveller Survey 2003. Published in: Proceedings of the 9th Air Transport Research Society World Congress (2005): pp. 1-29.
en
oai:mpra.ub.uni-muenchen.de:5677
2019-09-28T04:42:30Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D43:4331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5677/
Confidence Sets Based on Sparse Estimators Are Necessarily Large
Pötscher, Benedikt M.
C44 - Operations Research ; Statistical Decision Theory
C1 - Econometric and Statistical Methods and Methodology: General
Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price in terms of the quality of the estimator. The results are set in a general parametric or semiparametric framework.
2007-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5677/1/MPRA_paper_5677.pdf
Pötscher, Benedikt M. (2007): Confidence Sets Based on Sparse Estimators Are Necessarily Large.
en
oai:mpra.ub.uni-muenchen.de:5991
2019-09-26T21:14:03Z
7374617475733D756E707562
7375626A656374733D43:4334:433439
7375626A656374733D43:4338:433830
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5991/
Zur Kumulation von Haushaltsstichproben
Merz, Joachim
C49 - Other
C80 - General
Die Kumulation von Haushaltsstichproben steht auf der Agenda einer europäischen
Neuordnung von Haushaltsbefragungen. Im Rahmen des Projektes ‚Amtliche Statistik und
sozioökonomische Fragestellungen‘ des Statistischen Bundesamtes und in Abstimmung mit
den EUROSTAT-Erfordernissen für neue Haushaltsstichproben (EU-SILC) werden in diesem
Beitrag Wege diskutiert, wie jährliche Haushaltsbudgeterhebungen zu einem Gesamtergebnis
analog einer nur mehrjährig erfolgten aber umfangreicheren Erhebung zusammengefasst
werden können. Dazu wird ein Kumulationskonzept entwickelt und in die Diskussion
eingebracht. Aufbauend auf diesem Kumulationskonzept sind dann in einem zweiten Teil
Simulationsrechnungen zur Evaluation der Kumulation durchzuführen.
2002-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5991/1/MPRA_paper_5991.pdf
Merz, Joachim (2002): Zur Kumulation von Haushaltsstichproben.
de
oai:mpra.ub.uni-muenchen.de:6102
2019-09-26T13:11:22Z
7374617475733D707562
7375626A656374733D43:4334:433434
7375626A656374733D44:4434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6102/
Revenue Comparisons for Auctions When Bidders Have Arbitrary Types
Che, Yeon-Koo
Gale, Ian
C44 - Operations Research ; Statistical Decision Theory
D4 - Market Structure, Pricing, and Design
This paper develops a methodology for characterizing expected revenue from auctions in which bidders' types come from an arbitrary distribution. In particular, types may be multidimensional, and there may be mass points in the distribution. One application extends existing revenue equivalence results. Another application shows that first-price auctions yield higher expected revenue than second-price auctions when bidders are risk averse and/or face financial constraints. This revenue ranking also extends to risk-averse bidders with general forms of non-expected utility preferences.
2006
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6102/1/MPRA_paper_6102.pdf
Che, Yeon-Koo and Gale, Ian (2006): Revenue Comparisons for Auctions When Bidders Have Arbitrary Types. Published in: Theoretical Economics , Vol. 1, No. 1 (2006): pp. 95-118.
en
oai:mpra.ub.uni-muenchen.de:6106
2019-09-26T22:48:12Z
7374617475733D707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4330:433032
7375626A656374733D43:4334:433430
7375626A656374733D43:4336:433630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6106/
IS THE SAMPLE COEFFICIENT OF VARIATION A GOOD ESTIMATOR FOR THE POPULATION COEFFICIENT OF VARIATION?
Mahmoudvand, Rahim
Hassani, Hossein
Wilson, Rob
C13 - Estimation: General
C02 - Mathematical Methods
C40 - General
C60 - General
In this paper, we obtain bounds for the population coefficient of variation (CV) in Bernoulli, Discrete Uniform, Normal and Exponential distributions. We also show that the sample coefficient of variation (cv) is not an accurate estimator of the population CV in the above indicated distributions. Finally we provide some suggestions based on the Maximum Likelihood Estimation to improve the population CV estimate.
2007-09-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6106/1/MPRA_paper_6106.pdf
Mahmoudvand, Rahim and Hassani, Hossein and Wilson, Rob (2007): IS THE SAMPLE COEFFICIENT OF VARIATION A GOOD ESTIMATOR FOR THE POPULATION COEFFICIENT OF VARIATION? Published in: World Applied Sciences Journal , Vol. 2, No. 5 (1 September 2007): pp. 519-522.
en
oai:mpra.ub.uni-muenchen.de:6183
2019-09-28T23:02:28Z
7374617475733D707562
7375626A656374733D4D:4D34:4D3431
7375626A656374733D43:4334:433433
7375626A656374733D46:4632:463233
7375626A656374733D46:4634:463433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6183/
MEASUREMENT OF NEED FOR HARMONIZATION BETWEEN NATIONAL ACCOUNTING STANDARDS AND INTERNATIONAL FINANCIAL REPORTING STANDARDS
Mustata, Razvan V.
Matis, Dumitru
M41 - Accounting
C43 - Index Numbers and Aggregation
F23 - Multinational Firms ; International Business
F43 - Economic Growth of Open Economies
This study analyzes the quantification methods of the harmonization degree between the national accounting settlements and the international accounting standards. Starting from the presentation of the main methods used for this purpose such as - Euclidean distances, Jaccard’s coefficients, Spearman’s coefficients and other nonparametric methods for rank correlation analysis – we suggest a method of quantification for the need of harmonization between the national accounting standards and the financial reporting international ones. Beyond the certainty of a quantification model foe this need, we analyze in the present study the situation of 33 states selected through reporting at a global level. The main achievement of this study is represented by the concept of pre-formal harmonization and the method to quantify it, strongly connected with the general accepted concepts of formal and material harmonization of accounting.
2007-12-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6183/1/MPRA_paper_6183.pdf
Mustata, Razvan V. and Matis, Dumitru (2007): MEASUREMENT OF NEED FOR HARMONIZATION BETWEEN NATIONAL ACCOUNTING STANDARDS AND INTERNATIONAL FINANCIAL REPORTING STANDARDS. Published in: Journal of International Business and Economics , Vol. VII, No. 3 (15 October 2007): pp. 23-46.
en
oai:mpra.ub.uni-muenchen.de:6317
2019-09-27T12:31:33Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D48:4830
7375626A656374733D43:4335
7375626A656374733D43:4330
7375626A656374733D48:4832:483233
7375626A656374733D43:4334
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6317/
Polar Bear Population Forecasts: A Public-Policy Forecasting Audit
Armstrong, J. Scott
Green, Kesten C.
Soon, Willie
C53 - Forecasting and Prediction Methods ; Simulation Methods
H0 - General
C5 - Econometric Modeling
C0 - General
H23 - Externalities ; Redistributive Effects ; Environmental Taxes and Subsidies
C4 - Econometric and Statistical Methods: Special Topics
The extinction of polar bears by the end of the 21st century has been predicted and calls have been made to list them as a threatened species under the U.S. Endangered Species Act. The decision on whether or not to list rests upon forecasts of what will happen to the bears over the 21st Century.
Scientific research on forecasting, conducted since the 1930s, has led to an extensive set of principles—evidence-based procedures—that describe which methods are appropriate under given conditions. The principles of forecasting have been published and are easily available. We assessed polar bear population forecasts in light of these scientific principles.
Much research has been published on forecasting polar bear populations. Using an Internet search, we located roughly 1,000 such papers. None of them made reference to the scientific literature on forecasting.
We examined references in the nine unpublished government reports that were prepared “…to Support U.S. Fish and Wildlife Service Polar Bear Listing Decision.” The papers did not include references to works on scientific forecasting methodology.
Of the nine papers written to support the listing, we judged two to be the most relevant to the decision: Amstrup, Marcot and Douglas et al. (2007), which we refer to as AMD, and Hunter et al. (2007), which we refer to as H6 to represent the six authors. AMD’s forecasts were the product of a complex causal chain. For the first link in the chain, AMD assumed that General Circulation Models (GCMs) are valid. However, the GCM models are not valid as a forecasting method and are not reliable for forecasting at a regional level as being considered by AMD and H6, thus breaking the chain. Nevertheless, we audited their conditional forecasts of what would happen to the polar bear population assuming that the extent of summer sea ice will decrease substantially in the coming decades.
AMD could not be rated against 26 relevant principles because the paper did not contain enough information. In all, AMD violated 73 of the 90 forecasting principles we were able to rate. They used two un-validated methods and relied on only one polar bear expert to specify variables, relationships, and inputs into their models. The expert then adjusted the models until the outputs conformed to his expectations. In effect, the forecasts were the opinions of a single expert unaided by forecasting principles. Based on research to date, approaches based on unaided expert opinion are inappropriate to forecasting in situations with high complexity and much uncertainty.
Our audit of the second most relevant paper, H6, found that it was also based on faulty forecasting methodology. For example, it extrapolated nearly 100 years into the future on the basis of only five years of data – and data for these years were of doubtful validity.
In summary, experts’ predictions, unaided by evidence-based forecasting procedures, should play no role in this decision. Without scientific forecasts of a substantial decline of the polar bear population and of net benefits from feasible policies arising from listing polar bears, a decision to list polar bears as threatened or endangered would be irresponsible.
2007-12-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6317/1/MPRA_paper_6317.pdf
Armstrong, J. Scott and Green, Kesten C. and Soon, Willie (2007): Polar Bear Population Forecasts: A Public-Policy Forecasting Audit.
en
oai:mpra.ub.uni-muenchen.de:6951
2019-09-27T02:53:27Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D49:4933
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6951/
CES Function, Generalized Mean and Human Poverty Index: Exploring Some Links
Pillai N, Vijayamohanan
C43 - Index Numbers and Aggregation
I3 - Welfare, Well-Being, and Poverty
The Sennian capability approach has facilitated to capture poverty in its multi-dimensional incidence and thus to raise a new aggregate poverty index – the UNDP’s Human Poverty Index (HPI). The UNDP has found power mean of order α > 1 as possessing some of the most desirable properties in describing the distribution of deprivation dimensions and hence as the most appropriate aggregate index of multi-dimensional deprivation. The UNDP elevates power mean of order α > 1 (PM) in comparison with arithmetic mean (AM) commonly used for averaging, leaving out others. It would hence be worthwhile to look into the links among the means, both the known and the potential ones, and their strengths and weaknesses in terms of their properties in comparison with each other. The present paper is a preliminary attempt at this. We find that the means we commonly use, the AM, the geometric mean (GM) and the harmonic mean (HM), along with the PM, are special cases of the CES function. We acknowledge the possibility of an inverse CES function, and hence, that of an inverse power mean (IPM) also. Among these means, the AM is an average, typical of all the components, but its infinite elasticity of substitution renders it less desirable. To the extent that we need an average typical of the components, we seek for one that is closer to the AM, so that this second best choice will have the minimum deviations next to the AM. And we find this basic criterion is satisfied by the IPM only. Hence, while the PM captures the multi-dimensional deprivation, its inverse, the IPM, seems to offer a multi-dimensional development index.
2008-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6951/1/MPRA_paper_6951.pdf
Pillai N, Vijayamohanan (2008): CES Function, Generalized Mean and Human Poverty Index: Exploring Some Links.
en
oai:mpra.ub.uni-muenchen.de:6953
2019-09-26T11:55:48Z
7374617475733D756E707562
7375626A656374733D51:5134:513431
7375626A656374733D43:4334:433434
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6953/
Loss of Load Probability of a Power System
Pillai N, Vijayamohanan
Q41 - Demand and Supply ; Prices
C44 - Operations Research ; Statistical Decision Theory
By virtue of the vital nature of electric power, both to our economic and personal well being, a power system is expected to supply electrical energy as economically as possible, and with a high degree of quality and reliability. The developed countries in general place higher reliability standards on the performance of electricity supply. However, there has been no significant study in the context of the Indian power sector to analyze reliability in terms of loss of load probability; the technical appraisal of the State power systems in general is confined to examining the plant load factor (PLF) as a measure of capacity utilization only. The present study is a modest attempt to evaluate the reliability of the Kerala power system in the framework of a theory-informed methodology – the first of its kind.
2008-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6953/1/MPRA_paper_6953.pdf
Pillai N, Vijayamohanan (2008): Loss of Load Probability of a Power System.
en
oai:mpra.ub.uni-muenchen.de:7000
2019-10-05T16:35:37Z
7374617475733D756E707562
7375626A656374733D43:4334:433436
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7000/
In Quest of the Distributional Properties of Reliability Rate
Pillai N., Vijayamohanan
C46 - Specific Distributions ; Specific Statistics
Reliability in its broad sense refers to the probability that a component or system is able to perform its intended function satisfactorily during a specified period of time under normal operating conditions. It is estimated as the fraction of time the unit/system is available for operation. For practical purposes, reliability rate is estimated using maximum likelihood estimator (MLE) from sample observations.. No study has gone beyond this to analyze the statistical properties of the MLE of R; the present study is an attempt at such a quest.
2008-02-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7000/1/MPRA_paper_7000.pdf
Pillai N., Vijayamohanan (2008): In Quest of the Distributional Properties of Reliability Rate.
en
oai:mpra.ub.uni-muenchen.de:7045
2019-10-01T04:00:24Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D45:4533:453331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7045/
Index Formula of Laspeyres and the Inversion Test
von der Lippe, Peter
C43 - Index Numbers and Aggregation
E31 - Price Level ; Inflation ; Deflation
The fact that the famous price index of Laspeyres is unable to pass the so called inversion test (IT) gave rise to the idea that this formula tends to measure "spurious inflation" which renders it useless and fallacious. In the IT prices and quantities of n goods, relating to two periods, the base period 0 and the current period t are interchanged in way that the sums of prices, quantities as well as values (products of prices and quantities) remain constant. It therefore appears nonsensical that Laspeyres' price index nonetheless indicates "inflation" under such conditions.
Yet this result can be explained and justified. The paper shows that violation of the IT does not prove uselessness of an index function. On the contrary a number of good reasons can be given why compliance with the IT does not at all make a formula preferable to other formulas and that the message of the IT and its relation to other tests is rather dubious.
2008-02-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7045/1/MPRA_paper_7045.pdf
von der Lippe, Peter (2008): Index Formula of Laspeyres and the Inversion Test.
en
oai:mpra.ub.uni-muenchen.de:7068
2019-09-27T21:28:20Z
7374617475733D707562
7375626A656374733D43:4334:433433
7375626A656374733D44:4432:443234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7068/
On the Commensurability of Directional Distance Functions
Salnykov, Mykhaylo
Zelenyuk, Valentin
C43 - Index Numbers and Aggregation
D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity
Shephard’s distance functions are widely used instruments for characterizing technology and
for estimating efficiency in contemporary economic theory and practice. Recently, they have
been generalized by the Luenberger shortage function, or Chambers-Chung-Färe directional
distance function. In this study, we explore a very important property of an economic
measure known as commensurability or independence of units of measurement up to scalar
transformation. Our study discovers both negative and positive results for this property in the
context of the directional distance function, which in turn helps us narrow down the most
critical issue for this function in practice—the choice of direction of measurement.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7068/1/MPRA_paper_7068.pdf
Salnykov, Mykhaylo and Zelenyuk, Valentin (2005): On the Commensurability of Directional Distance Functions. Published in: Techinical Report of Statistical Institute of UCL (2005)
en
oai:mpra.ub.uni-muenchen.de:7126
2019-09-26T21:16:12Z
7374617475733D756E707562
7375626A656374733D43:4334
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7126/
Hedge fund portfolio selection with modified expected shortfall
Boudt, Kris
Peterson, Brian
Carl, Peter
C4 - Econometric and Statistical Methods: Special Topics
Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion. We are the first to investigate hedge fund portfolio selection using modified ES as optimality criterion. We show that for the EDHEC hedge fund style indices, the optimal portfolios based on modified ES outperform out-of-sample the EDHEC Fund of Funds index and have better risk characteristics than the equal-weighted and Fund of Funds portfolios.
2008-02-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7126/1/MPRA_paper_7126.pdf
Boudt, Kris and Peterson, Brian and Carl, Peter (2008): Hedge fund portfolio selection with modified expected shortfall.
en
oai:mpra.ub.uni-muenchen.de:7128
2019-09-27T17:36:15Z
7374617475733D756E707562
7375626A656374733D46:4632:463232
7375626A656374733D43:4334:433431
7375626A656374733D4A:4A36:4A3631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7128/
Labor Market Outcomes, Savings Accumulation, and Return Migration
Kirdar, Murat
F22 - International Migration
C41 - Duration Analysis ; Optimal Timing Strategies
J61 - Geographic Labor Mobility ; Immigrant Workers
In this paper, I test the savings accumulation conjecture that is used to rationalize return migration decisions in the context of immigrants in Germany. Using cross-country and time variation in purchasing power parity, I distinguish between the two competing capital accumulation conjectures (human capital vs. savings accumulation) and uncover evidence for the savings accumulation conjecture. In addition, I examine how labor market outcomes influence return decisions. A key finding here is that unlike previous studies which find a positive impact of unemployment on return migration, I find that the direction of the impact of unemployment changes by the spell length.
2008-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7128/1/MPRA_paper_7128.pdf
Kirdar, Murat (2008): Labor Market Outcomes, Savings Accumulation, and Return Migration.
en
oai:mpra.ub.uni-muenchen.de:7176
2019-10-05T22:08:49Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D45:4534:453439
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7176/
The Currency Equivalent Index and the Current Stock of Money
Kelly, Logan J
C43 - Index Numbers and Aggregation
E49 - Other
The currency equivalent index provides an elegant method for measuring the stock of money, but it rests upon assumptions that do not match an important characteristic of the data. Thus, it is unclear what, if anything, the CE measures. This paper attempts to answer this question by deriving the current stock of money (CSM), which is defined to be the discounted present value of the monetary service flows provided by only the current portfolio of monetary assets, and then analyzing the assumptions under which the current stock of money can be measured by the currency equivalent index.
2008-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7176/1/MPRA_paper_7176.pdf
Kelly, Logan J (2008): The Currency Equivalent Index and the Current Stock of Money.
en
oai:mpra.ub.uni-muenchen.de:7270
2019-09-26T08:59:01Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D45:4534:453439
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7270/
The Currency Equivalent Index and the Current Stock of Money
Kelly, Logan J
C43 - Index Numbers and Aggregation
E49 - Other
The currency equivalent index provides an elegant method for measuring the stock of money, but it rests upon assumptions that do not match an important characteristic of the data. Thus, it is unclear what, if anything, the CE measures. This paper attempts to answer this question by deriving the current stock of money (CSM), which is defined to be the discounted present value of the monetary service flows provided by only the current portfolio of monetary assets, and then analyzing the assumptions under which the current stock of money can be measured by the currency equivalent index.
2008-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7270/3/MPRA_paper_7270.pdf
Kelly, Logan J (2008): The Currency Equivalent Index and the Current Stock of Money.
en
oai:mpra.ub.uni-muenchen.de:7448
2019-09-28T04:35:44Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D45:4530:453030
7375626A656374733D44:4438:443830
7375626A656374733D43:4336:433630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7448/
Individual Risk and Lebesgue Extension without Aggregate Uncertainty
Sun, Yeneng
Zhang, Yongchao
C43 - Index Numbers and Aggregation
E00 - General
D80 - General
C60 - General
Many economic models include random shocks imposed on a large number (continuum) of economic agents with individual risk. In this context, an exact law of
large numbers and its converse is presented in Sun (2006) to characterize the cancelation of individual risk via aggregation. However, it is well known that the Lebesgue unit interval is not suitable for modeling a continuum of agents in the particular setting. The purpose of this note is to show that an extension of the Lebesgue unit interval does work well as an agent space with various desirable properties associated with individual risk.
2008-02-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7448/1/MPRA_paper_7448.pdf
Sun, Yeneng and Zhang, Yongchao (2008): Individual Risk and Lebesgue Extension without Aggregate Uncertainty.
en
oai:mpra.ub.uni-muenchen.de:7646
2019-09-27T20:39:23Z
7374617475733D756E707562
7375626A656374733D43:4334:433431
7375626A656374733D4A:4A34:4A3431
7375626A656374733D43:4331:433134
7375626A656374733D4A:4A36:4A3634
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7646/
Unemployment durations after temporary work: Evidence for Great Britain and Germany
Dekker, Ronald
C41 - Duration Analysis ; Optimal Timing Strategies
J41 - Labor Contracts
C14 - Semiparametric and Nonparametric Methods: General
J64 - Unemployment: Models, Duration, Incidence, and Job Search
Unemployment durations are determined by a number of factors. According to mainstream economics theory, unemployment durations are shorter in a more flexible labour market. In this paper, we hypothesize that workers who had a temporary contract before the spell of unemployment will experience shorter spells of unemployment than workers who had a permanent contract before. We adopt a flexible hazard rate model with a nonparametric baseline to analyse data on unemployment spells in Germany and Great Britain for the period 1991-2001. The two datasets allow for an international comparison of the institutional differences between the two countries. We find no evidence of shorter unemployment spells for previous temporary workers neither in Great-Britain nor in Germany. Results suggest that a labour market policy of promoting temporary work will not necessarily lead to lower unemployment since these policies increase the probability of becoming unemployed without being able to fulfil the promise of shorter unemployment spells.
2008-03-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7646/1/MPRA_paper_7646.pdf
Dekker, Ronald (2008): Unemployment durations after temporary work: Evidence for Great Britain and Germany.
en
oai:mpra.ub.uni-muenchen.de:7798
2019-10-26T05:59:15Z
oai:mpra.ub.uni-muenchen.de:7812
2017-08-19T09:28:16Z
oai:mpra.ub.uni-muenchen.de:7861
2019-10-07T16:50:28Z
7374617475733D707562
7375626A656374733D42:4234:423430
7375626A656374733D43:4334:433430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7861/
Disparities regarding life quality in Central and Eastern European Countries
Danacica, Daniela-Emanuela
Babucea, Ana-Gabriela
Caruntu, Constantin
B40 - General
C40 - General
The analysis of social indicators and the analysis of life quality are very important in order to know, in time, the changes of the main social and economic phenomena that characterize a society. To monitor the social system is a priority of modern societies because it helps to identify in time the changes of unemployment main aspects, health of population, person’s level of security, educational level, life satisfaction, and even the subjective part of life quality.
The increase of life quality has to be a purpose of social and economic politics. Taking into consideration the progress and especially the life standard attained by the developed countries of the world, each country that presents deficiencies in social politics has to identify the best measures as an answer to the existing social needs.
This research aims to study the disparities regarding life quality in the following Central and Eastern European Countries: Albania, Bosnia and Herzegovina, Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Austria, Latvia, Lithuania, FYR Macedonia, Poland, Romania, Moldavia, Slovakia, Slovenia, Serbia and Montenegro, Turkey, Ukraine, Russia, Belarus.
The paper is structured as it follows: (1) introduction, (2) description of variables, (3) analysis of life quality in the Central and Eastern European Countries and (4) conclusion.
The methodological approach is based on cluster analysis and the variables were selected taking into account theoretical, conceptual and practical reasons, trying to be relevant for the investigated problems and in straight connection with the analysis objectives.
We try also to balance the number of the socio-economic demographic variables with the variables of the living level. From the analysis, in both cases, (with four or two groups), the revealed image is the same. There is a class of countries with a high level of life quality, characterized by a high socio-economic standard, and consequently good life conditions, and a class made of low socio-economic standard countries with low GDP, due to the inefficiency of economical politics or to the hell of civil wars and with big problems regarding corruption, civil and political liberties, life satisfaction, infant mortality and unemployment.
This research offers a better understanding of macroeconomics politics effects that are promoted at the level of this region as well as their improvement.
2006-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7861/1/MPRA_paper_7861.pdf
Danacica, Daniela-Emanuela and Babucea, Ana-Gabriela and Caruntu, Constantin (2006): Disparities regarding life quality in Central and Eastern European Countries. Published in: CD Proceedings International Workshop Models in Economics (2007)
en
oai:mpra.ub.uni-muenchen.de:7895
2024-03-16T20:30:28Z
oai:mpra.ub.uni-muenchen.de:8034
2019-10-01T02:32:15Z
7374617475733D696E7072657373
7375626A656374733D43:4334:433434
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8034/
Credit scoring with boosted decision trees
Bastos, Joao
C44 - Operations Research ; Statistical Decision Theory
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
The enormous growth experienced by the credit industry has led researchers to develop sophisticated credit scoring models that help lenders decide whether to grant or reject credit to applicants. This paper proposes a credit scoring model based on boosted decision trees, a powerful learning technique that aggregates several decision trees to form a classifier given by a weighted majority vote of classifications predicted by individual decision trees. The performance of boosted decision trees is evaluated using two publicly available credit card application datasets. The prediction accuracy of boosted decision trees is benchmarked against two alternative data mining techniques: the multilayer perceptron and support vector machines. The results show that boosted decision trees are a competitive technique for implementing credit scoring models.
2007-04-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8034/1/MPRA_paper_8034.pdf
Bastos, Joao (2007): Credit scoring with boosted decision trees. Forthcoming in:
en
oai:mpra.ub.uni-muenchen.de:8090
2019-09-30T09:18:14Z
7374617475733D707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8090/
Von Neuman- Morgenstern utilities and cardinal preferences
Chichilnisky, Graciela
C43 - Index Numbers and Aggregation
C02 - Mathematical Methods
We study the aggregation of preferences when intensities are taken into account: the aggregation of cardinal preferences, and also of von Neumann-Morgenstern utilities for choices under uncertainty. We show that with a finite number of choices there exist no continuous anonymous aggregation rules that respect unanimity, for such preferences or utilities. With infinitely many (discrete sets of) choices, such rules for exist and they are constructed here. However, their existence is not robust: each is a limit of rules that do not respect unanimity. Both results are for a finite number of individuals.
The results are obtained by studying the global topological structure of spaces of cardinal preferences and of von Neumann-Morgenstern utilities. With a finite number of choices, these spaces are proven to be noncontractible. With infinitely many choices, on the other hand, they are proven to be contractible.
1985
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8090/1/MPRA_paper_8090.pdf
Chichilnisky, Graciela (1985): Von Neuman- Morgenstern utilities and cardinal preferences. Published in: Mathematical Operations Research , Vol. 10, (November 1985): pp. 288-296.
en
oai:mpra.ub.uni-muenchen.de:8128
2019-10-26T05:18:05Z
oai:mpra.ub.uni-muenchen.de:8131
2023-04-30T07:51:12Z
oai:mpra.ub.uni-muenchen.de:8156
2019-09-27T21:07:58Z
7374617475733D696E7072657373
7375626A656374733D43:4334:433434
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8156/
Credit scoring with boosted decision trees
Bastos, Joao
C44 - Operations Research ; Statistical Decision Theory
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
The enormous growth experienced by the credit industry has led researchers to develop sophisticated credit scoring models that help lenders decide whether to grant or reject credit to applicants. This paper proposes a credit scoring model based on boosted decision trees, a powerful learning technique that aggregates several decision trees to form a classifier given by a weighted majority vote of classifications predicted by individual decision trees. The performance of boosted decision trees is evaluated using two publicly available credit card application datasets. The prediction accuracy of boosted decision trees is benchmarked against two alternative data mining techniques: the multilayer perceptron and support vector machines. The results show that boosted decision trees are a competitive technique for implementing credit scoring models.
2008-04-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8156/1/MPRA_paper_8156.pdf
Bastos, Joao (2008): Credit scoring with boosted decision trees. Forthcoming in:
en
oai:mpra.ub.uni-muenchen.de:8564
2019-10-04T16:09:02Z
7374617475733D756E707562
7375626A656374733D47:4731:473139
7375626A656374733D43:4334:433439
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8564/
Is the gamma risk of options insurable?
Egli, Daniel
Blum, Peter
Dacorogna, Michel M
Müller, Ulrich A
G19 - Other
C49 - Other
In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.
2005-08-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8564/1/MPRA_paper_8564.pdf
Egli, Daniel and Blum, Peter and Dacorogna, Michel M and Müller, Ulrich A (2005): Is the gamma risk of options insurable?
en
oai:mpra.ub.uni-muenchen.de:8610
2019-09-27T10:25:50Z
7374617475733D756E707562
7375626A656374733D43:4334:433435
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8610/
Genetic Algorithm Optimisation for Finance and Investments
Pereira, Robert
C45 - Neural Networks and Related Topics
G0 - General
This paper provides an introduction to the use of genetic algorithms for financial optimisation. The aim is to give the reader a basic understanding of the computational aspects of these algorithms and how they can be applied to decision making in finance and investment. Genetic algorithms are especially suitable for complex problems characterised by large solution spaces, multiple optima, nondifferentiability of the objective function, and other irregular features. The mechanics of constructing and using a genetic algorithm for optimisation are illustrated through a simple example.
2000-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8610/1/MPRA_paper_8610.pdf
Pereira, Robert (2000): Genetic Algorithm Optimisation for Finance and Investments.
en
oai:mpra.ub.uni-muenchen.de:8874
2019-09-26T10:51:35Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433631
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8874/
Construction of composite indices in presence of outliers
Mishra, SK
C43 - Index Numbers and Aggregation
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C01 - Econometrics
Effects of outliers on mean, standard deviation and Pearson’s correlation coefficient are well known. The Principal Components analysis uses Pearson’s product moment correlation coefficients to construct composite indices from indicator variables and hence may be very sensitive to effects of outliers in data. Median, mean deviation and Bradley’s coefficient of absolute correlation are less susceptible to effects of outliers. This paper proposes a method to obtain composite indices by maximization of the sum of absolute Bradley’s correlation coefficients between the indicator variable and the derived composite index.
2008-05-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8874/1/MPRA_paper_8874.pdf
Mishra, SK (2008): Construction of composite indices in presence of outliers.
en
oai:mpra.ub.uni-muenchen.de:8923
2019-09-30T17:17:32Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433631
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8923/
Construction of composite indices in presence of outliers
Mishra, SK
C43 - Index Numbers and Aggregation
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C01 - Econometrics
Effects of outliers on mean, standard deviation and Pearson’s correlation coefficient are well known. The Principal Components analysis uses Pearson’s product moment correlation coefficients to construct composite indices from indicator variables and hence may be very sensitive to effects of outliers in data. Median, mean deviation and Bradley’s coefficient of absolute correlation are less susceptible to effects of outliers. This paper proposes a method to obtain composite indices by maximization of the sum of absolute Bradley’s correlation coefficients between the indicator variable and the derived composite index.
2008-05-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8923/1/MPRA_paper_8923.pdf
Mishra, SK (2008): Construction of composite indices in presence of outliers.
en
oai:mpra.ub.uni-muenchen.de:8989
2019-09-29T08:11:05Z
7374617475733D707562
7375626A656374733D4F:4F31:4F3138
7375626A656374733D43:4334:433433
7375626A656374733D52:5231:523131
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8989/
Taxonomical analysis of regional development by outranking relations on multiple principal components
Mishra, SK
O18 - Urban, Rural, Regional, and Transportation Analysis ; Housing ; Infrastructure
C43 - Index Numbers and Aggregation
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
C01 - Econometrics
This paper proposes a method of ranking the elements of a set of objects by multi-criteria analysis on multiple principal components derived from a multiple variable dataset pertaining to the objects. Concordance-discordance method of outranking and derivation of preference relations has been suggested as a technique of multi-criteria decision-making. The method has been illustrated by conducting the taxonomical analysis of regions according to their level of development.
1984-02-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8989/1/MPRA_paper_8989.pdf
Mishra, SK (1984): Taxonomical analysis of regional development by outranking relations on multiple principal components. Published in: Hill Geographer , Vol. 3, No. 1 (June 1984): pp. 20-28.
en
oai:mpra.ub.uni-muenchen.de:9055
2019-09-27T05:26:00Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4334:433435
7375626A656374733D47:4730
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9055/
Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules
Pereira, Robert
C53 - Forecasting and Prediction Methods ; Simulation Methods
C45 - Neural Networks and Related Topics
G0 - General
This paper evaluates the performance of several popular technical trading rules applied to the Australian share market. The optimal trading rule parameter values over the in-sample period of 4/1/82 to 31/12/89 are found using a genetic algorithm. These optimal rules are then evaluated in terms of their forecasting ability and economic profitability during the out-of-sample period from 2/1/90 to the 31/12/97. The results indicate that the optimal rules outperform the benchmark given by a risk-adjusted buy and hold strategy. The rules display some evidence of
forecasting ability and profitability over the entire test period. But an examination of the results for the sub-periods indicates that the excess returns decline over time
and are negative during the last couple of years. Also, once an adjustment for non–synchronous trading bias is made, the rules display very little, if any, evidence of
profitability.
1999
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9055/1/MPRA_paper_9055.pdf
Pereira, Robert (1999): Forecasting Ability But No Profitability: An Empirical Evaluation of Genetic Algorithm-optimised Technical Trading Rules.
en
oai:mpra.ub.uni-muenchen.de:9175
2019-09-28T04:35:06Z
7374617475733D756E707562
7375626A656374733D44:4436:443633
7375626A656374733D43:4334:433436
7375626A656374733D41:4131:413132
7375626A656374733D41:4131:413134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9175/
Sociological and Economic Inequality and the Second Law
Kafri, Oded
D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
C46 - Specific Distributions ; Specific Statistics
A12 - Relation of Economics to Other Disciplines
A14 - Sociology of Economics
There are two fair ways to distribute particles in boxes. The first one is the Casino’s way, namely an equal chance to any box. The second one is the thermodynamic way, namely an equal chance to any different configuration of particles and boxes. The second way, calculated here, yields an uneven distribution of the particles in the boxes. It is shown that this distribution fits well to sociological phenomena, such as to the distribution of votes in polls and the distribution of wealth. This distribution yields the Benford law (the distribution of digits in numerical data), as a private case.
2008-05-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9175/1/MPRA_paper_9175.pdf
Kafri, Oded (2008): Sociological and Economic Inequality and the Second Law.
en
oai:mpra.ub.uni-muenchen.de:9232
2019-09-29T04:43:02Z
7374617475733D756E707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9232/
On construction of robust composite indices by linear aggregation
Mishra, SK
C13 - Estimation: General
C43 - Index Numbers and Aggregation
C63 - Computational Techniques ; Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
In this paper we construct thirteen different types of composite indices by linear combination of indicator variables (with and without outliers/data corruption). Weights of different indicator variables are obtained by maximization of the sum of squared (and, alternatively, absolute) correlation coefficients of the composite indices with the constituent indicator variables. Seven different types of correlation are used: Karl Pearson, Spearman, Signum, Bradley, Shevlyakov, Campbell and modified Campbell. Composite indices have also been constructed by maximization of the minimal correlation. We find that performance of indices based on robust measures of correlation such as modified Campbell and Spearman, as well as that of the maxi-min based method, is excellent. Using these methods we obtain composite indices that are autochthonously sensitive and allochthonously robust. This paper also justifies a use of simple mean-based composite indices, often used in construction of human development index.
2008-06-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9232/1/MPRA_paper_9232.pdf
Mishra, SK (2008): On construction of robust composite indices by linear aggregation.
en
oai:mpra.ub.uni-muenchen.de:9289
2019-10-05T07:35:36Z
oai:mpra.ub.uni-muenchen.de:9362
2019-10-25T06:09:13Z
oai:mpra.ub.uni-muenchen.de:9371
2019-10-23T05:01:04Z
oai:mpra.ub.uni-muenchen.de:9446
2019-09-26T13:34:34Z
7374617475733D756E707562
7375626A656374733D43:4334:433431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9446/
Duration Models: Specification, Identification, and Multiple Durations
Van den Berg, Gerard J.
C41 - Duration Analysis ; Optimal Timing Strategies
Since the early 1980s, the econometric analysis of duration variables has
become widespread. This chapter provides an overview of duration analysis,
with an emphasis on the specification and identification of duration models,
and with special attention to models for multiple durations. Most of the chapter deals with so-called reduced-form duration models,
notably the popular Mixed Proportional Hazard (MPH) model and its
multivariate extensions. The MPH model is often used to describe the relation between the empirical exit rate and
``background variables'' in a concise way.
However, since the applications usually interpret the results in terms of
some economic-theoretical model, we examine to what extent the deep
structural parameters of some important theoretical models can be related to
reduced-form parameters. We subsequently examine the specification and
identification of the MPH model in great detail, we provide intuition on what
drives identification, and we infer to what extent biases may occur because
of misspecifications. This examination
is carried out separately for the case of single-spell data and the case of
multi-spell data. We also compare different functional forms for the
unobserved heterogeneity distribution.
Next, we examine models for multiple durations. In the applied econometric
literature on the estimation of multiple-duration models, the range of
different models is actually not very large. Typically, the models allow for
dependence between the duration variables by way of their unobserved
determinants, with each single duration following its own MPH model. In
addition to this, the model may allow for an interesting ``causal'' effect of
one duration on the other, as motivated by an underlying economic theory.
For all these models we examine the conditions for identification. Some of
these are intimately linked to particular estimation strategies. The
multiple-duration model where the marginal duration distributions each
satisfy an MPH specification, and the durations can only be dependent by way
of their unobserved determinants, is called the Multivariate Mixed
Proportional Hazard (MMPH) model. For this model, we address the issue of the
dimensionality of the heterogeneity distribution and we compare the
flexibility of different parametric heterogeneity distributions.
On a number of occasions, we incorporate recent insights from the
biostatistical literature on duration analysis, and we contrast points of
view in this literature to those in the econometric literature. Finally,
throughout the chapter, we discuss the importance of the possible collection
of additional data.
2000
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9446/1/MPRA_paper_9446.pdf
Van den Berg, Gerard J. (2000): Duration Models: Specification, Identification, and Multiple Durations.
en
oai:mpra.ub.uni-muenchen.de:9770
2019-10-02T04:41:42Z
7374617475733D756E707562
7375626A656374733D43:4334:433430
7375626A656374733D47:4731:473130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9770/
The ups and downs of the renormalization group applied to financial time series
Challet, Damien
Peirano, Pier Paolo
C40 - General
G10 - General
Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently devised a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Levy distributions; we also show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions. The Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately.
2008-07-26
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9770/1/MPRA_paper_9770.pdf
Challet, Damien and Peirano, Pier Paolo (2008): The ups and downs of the renormalization group applied to financial time series.
en
oai:mpra.ub.uni-muenchen.de:9802
2019-09-27T04:28:39Z
7374617475733D756E707562
7375626A656374733D43:4334:433433
7375626A656374733D45:4533:453331
7375626A656374733D44:4439:443931
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9802/
Measuring the Dynamic Cost of Living Index from Consumption Data
Aoki, Shuhei
Kitahara, Minoru
C43 - Index Numbers and Aggregation
E31 - Price Level ; Inflation ; Deflation
D91 - Intertemporal Household Choice ; Life Cycle Models and Saving
In the U.S., the objective of consumer price index (CPI) measurement is to measure the cost of living. However, the current CPI or, in other words, cost of living index (COLI) measures the cost of living in a static optimization problem. This paper proposes a new method to construct a dynamic cost of living index (DCOLI). Our method offers several advantages compared to other dynamic cost of living indices proposed in the literature. First, our measure is based on total wealth. Previous indices limited attention to financial wealth. Second, we consider an Epstein-Zin preference structure. Most previous literature has used log preferences. We derive formulas that relate our DCOLI to the COLI and derive conditions under which the two coincide. We also produce empirical measures of our DCOLI. We find that under standard assumptions on preferences, the volatility of our DCOLI is about the same as that of the COLI. In certain periods, e.g., 1977–1983, our measure differs sharply from the COLI.
2008-08-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9802/1/MPRA_paper_9802.pdf
Aoki, Shuhei and Kitahara, Minoru (2008): Measuring the Dynamic Cost of Living Index from Consumption Data.
en
oai:mpra.ub.uni-muenchen.de:9832
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https://mpra.ub.uni-muenchen.de/9832/
Unit Root Tests with Wavelets
Gencay, Ramazan
Fan, Yanqin
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
C5 - Econometric Modeling
C2 - Single Equation Models ; Single Variables
C1 - Econometric and Statistical Methods and Methodology: General
C4 - Econometric and Statistical Methods: Special Topics
This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process.
By decomposing the variance (energy) of the underlying process into the variance of its low frequency components and that of its high frequency components via the discrete wavelet transformation (DWT), we design unit root tests against near unit root alternatives. Since DWT
is an energy preserving transformation and able to disbalance energy across high and low frequency
components of a series, it is possible to isolate the most persistent component of a series in a small number of scaling coefficients. We demonstrate the size and power properties of our tests through Monte Carlo simulations.
2007-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9832/1/MPRA_paper_9832.pdf
Gencay, Ramazan and Fan, Yanqin (2007): Unit Root Tests with Wavelets.
en
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