102,094 research outputs found
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
No full textStandard methods, such as sequential procedures based on Johansen’s (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affected, even asymptotically, by unconditional heteroskedasticity (non-stationary volatility) in the data. Known solutions to this problem include wild bootstrap implementations of the PLR test or the use of an information criterion, such as the BIC, to select the co-integration rank. Although asymptotically valid in the presence of heteroskedasticity, these methods can display very low finite sample power under some patterns of non-stationary volatility. In particular, they do not exploit potential efficiency gains that could be realised in the presence of non-stationary volatility by using adaptive inference methods. Under the assumption of a known autoregressive lag length, Boswijk and Zu (2022) develop adaptive PLR test based methods using a non-parameteric estimate of the covariance matrix process. It is well-known, however, that selecting an incorrect lag length can significantly impact on the efficacy of both information criteria and bootstrap PLR tests to determine co-integration rank in finite samples. We show that adaptive information criteria-based approaches can be used to estimate the autoregressive lag order to use in connection with bootstrap adaptive PLR tests, or to jointly determine the co-integration rank and the VAR lag length and that in both cases they are weakly consistent for these parameters in the presence of non-stationary volatility provided standard conditions hold on the penalty term. Monte Carlo simulations are used to demonstrate the potential gains from using adaptive methods and an empirical application to the U.S. term structure is provided.Standard methods, such as sequential procedures based on Johansen’s (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affected, even asymptotically, by unconditional heteroskedasticity (non-stationary volatility) in the data. Known solutions to this problem include wild bootstrap implementations of the PLR test or the use of an information criterion, such as the BIC, to select the co-integration rank. Although asymptotically valid in the presence of heteroskedasticity, these methods can display very low finite sample power under some patterns of non-stationary volatility. In particular, they do not exploit potential efficiency gains that could be realized in the presence of non-stationary volatility by using adaptive inference methods. Under the assumption of a known autoregressive lag length, Boswijk and Zu develop adaptive PLR test based methods using a non-parametric estimate of the covariance matrix process. It is well-known, however, that selecting an incorrect lag length can significantly impact on the efficacy of both information criteria and bootstrap PLR tests to determine co-integration rank in finite samples. We show that adaptive information criteria-based approaches can be used to estimate the autoregressive lag order to use in connection with bootstrap adaptive PLR tests, or to jointly determine the co-integration rank and the VAR lag length and that in both cases they are weakly consistent for these parameters in the presence of non-stationary volatility provided standard conditions hold on the penalty term. Monte Carlo simulations are used to demonstrate the potential gains from using adaptive methods and an empirical application to the U.S. term structure is provided
Bibliographie Hilarion G. Petzold 1958 – 2009 mit Anhang als Einführung
No full textDieses Archiv enthält die Gesamtbibliographie der Werke des Autors nebst einiger Texte „Über H. G. Petzold“ im Schlussteil der Bibliographie sowie einen Anhang mit einer Einführung in die Architektur des Werkes in seinem wissenslogischen Aufbau als Ausarbeitung seines „Tree of Science Modells“ (2007).This archive contains the complete bibliography of the author and some texts about H. G. Petzold, moreover an epilogue with an introduction to the architecture of the works in its epistemological structure and composition and as an elaborations of Petzold’s „Tree of Science Modell (2007).https://www.fpi-publikation.de/polyloge/01-2009-petzold-h-g-gesamtbibliographie-h-g-petzold-1958-2009-updating-november2009/peerReviewedpublishedVersio
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Inference on co-integration parameters in heteroskedastic vector autoregressions
No full textWe consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions driven by shocks which display both conditional and unconditional heteroskedasticity of a quite general and unknown form. We show that the conventional results in Johansen (1996) for the maximum likelihood estimators and associated likelihood ratio tests derived under homoskedasticity do not in general hold under heteroskedasticity. As a result, standard confidence intervals and hypothesis tests on these coefficients are potentially unreliable. Solutions based on Wald tests (using a “sandwich” estimator of the variance matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric model for volatility. We establish the conditions under which these methods are asymptotically valid. A Monte Carlo simulation study demonstrates that significant improvements in finite sample size can be obtained by the bootstrap over the corresponding asymptotic tests in both heteroskedastic and homoskedastic environments. An application to the term structure of interest rates in the US illustrates the difference between standard and bootstrap inferences regarding hypotheses on the co-integrating vectors and adjustment coefficients
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3346: Samuel G. Freedman, author, 2013
No full textPhotograph of author Samuel G. Freedman, at NT Daily Slash meeting in the Mayborn School of Journalism at UNT
Bootstrapping non-stationary stochastic volatility
No full textThis is the author accepted manuscript. The final version is available from Elsevier via the DOI in this recordIn this paper we investigate to what extent the bootstrap can be applied to conditional mean models, such as regression or time series models, when the volatility
of the innovations is random and possibly non-stationary. In fact, the volatility of
many economic and financial time series displays persistent changes and possible
non-stationarity. However, the theory of the bootstrap for such models has focused
on deterministic changes of the unconditional variance and little is known about
the performance and the validity of the bootstrap when the volatility is driven
by a non-stationary stochastic process. This includes near-integrated exogenous
volatility processes as well as near-integrated GARCH processes, where the conditional variance has a diffusion limit; a further important example is the case where
volatility exhibits infrequent jumps. This paper fills this gap in the literature by developing conditions for bootstrap validity in time series and regression models with
non-stationary, stochastic volatility. We show that in such cases the distribution of
bootstrap statistics (conditional on the data) is random in the limit. Consequently,
the conventional approaches to proofs of bootstrap consistency, based on the notion of weak convergence in probability of the bootstrap statistic, fail to deliver
the required validity results. Instead, we use the concept of ‘weak convergence in
distribution’ to develop and establish novel conditions for validity of the wild bootstrap, conditional on the volatility process. We apply our results to several testing
problems in the presence of non-stationary stochastic volatility, including testing in a location model, testing for structural change using CUSUM-type functionals,
and testing for a unit root in autoregressive models. Importantly, we work under
sufficient conditions for bootstrap validity that include the absence of statistical
leverage effects, i.e., correlation between the error process and its future conditional
variance. The results of the paper are illustrated using Monte Carlo simulations,
which indicate that a wild bootstrap approach leads to size control even in small
samples.Danish Council for Independent ResearchUniversity of BolognaItalian Ministry of University and Researc
The Right to Strike under the United States Constitution: Theory, Practice, and Possible Implications for Canada
No full textAnswering critics of the Canadian Supreme Court's judgment in B.C. Health, the author argues that the Court laid the foundation for a principled and durable doctrine protecting constitutional labour rights, one that goes directly to the heart of the matter — the inequality of workers’ power in the employment relation. In the author’s view, two paths could lead from B.C. Health to the recognition of Charter protec- tion for a right to strike: one that treats the right as an accessory to col- lective bargaining, and one that upholds the right directly on the basis of the Charter values of equality and participation. The author supports the latter approach, contending that constitutional rights should be defined in relation to fundamental values, in a way that is not contingent on time-bound or fact-sensitive assessments about the role of strikes within a particular collective bargaining regime. Although a Charter right to strike may involve the courts in difficult choices about when to defer to legislative policy decisions, and courts may lack the institutional capac- ity to deal effectively with labour law issues, the author points out that judges can look to ILO standards for expert guidance. Noting that the U.S. experience in this area might be of considerable use to Canadians, the author concludes by providing an overview of American case law concerning a constitutional right to strike.Peer reviewe
G-Rank: Unsupervised Continuous Learn-to-Rank for Edge Devices in a P2P Network
No full textRanking algorithms in traditional search engines are powered by enormous training data sets that are meticulously engineered and curated by a centralized entity. Decentralized peer-to-peer (p2p) networks such as torrenting applications and Web3 protocols deliberately eschew centralized databases and computational architectures when designing services and features. As such, robust search-and-rank algorithms designed for such domains must be engineered specifically for decentralized networks, and must be lightweight enough to operate on consumer-grade personal devices such as a smartphone or laptop computer. We introduce G-Rank, an unsupervised ranking algorithm designed exclusively for decentralized networks. We demonstrate that accurate, relevant ranking results can be achieved in fully decentralized networks without any centralized data aggregation, feature engineering, or model training. Furthermore, we show that such results are obtainable with minimal data preprocessing and computational overhead, and can still return highly relevant results even when a user’s device is disconnected from the network. G-Rank is highly modular in design, is not limited to categorical data, and can be implemented in a variety of domains with minimal modification. The results herein show that unsupervised ranking models designed for decentralized p2p networks are not only viable, but worthy of further research.https://github.com/awrgold/G-RankComputer Scienc
Características y datos de equipamiento residencial destinado a personas con enfermedad de alzhéimer. 20. Boswijk. 2010. [Dataset]
No full textEl proyecto de investigación ALZARQ (PID2020-115790RB-I00) financiado por el Ministerio de Ciencias e Innovación, tiene como uno de sus objetivos principales determinar, cuantitativamente, cuáles son las variables espaciales y ambientales óptimas para que, alguien afectado por la enfermedad de alzhéimer (EA) durante las primeras fases (leve e intermedia), pueda desarrollar sus Actividades Instrumentales de la Vida Diaria (AIVD) el mayor tiempo posible de forma autónoma y/o con la ayuda del entorno. Otro objetivo es establecer pautas proyectuales y constructivas para diseñar entornos asistidos para los que los enfermos, familiares y cuidadores puedan vivir en su hábitat de forma segura, autónoma y accesible. Para establecer los parámetros arquitectónicos de partida se analizan los espacios y ambientes empleados en diferentes experiencias internacionales (residencias, dementia villages, centros de día, etc.), construidos exprofeso para este grupo poblacional con EA.
Este dataset muestra los resultados del análisis realizado al equipamiento residencial: Boswijk, en Vught, Países Bajos; de EGM architects; en 2010. Se presentan varias fichas que muestran información sobre el edificio y los principales espacios domésticos habitados por estos usuarios con objeto de tener una visión amplia de los aspectos más importantes del entorno que inciden en su vida diaria. Así se puede identificar la repetición de determinadas pautas empleadas en su diseño, y a partir de aquí establecer los principales parámetros arquitectónicos que son básicos para la construcción y definición funcional de esos equipamientos residenciales.A. Emplazamiento y ubicación.
B. Planimetría.
C. Esquema funcional.
D. Tablas de datos.
E. Fotografías e imágenes.
F. Dibujos, perspectivas, modelados y esquemas
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