1,720,983 research outputs found
A robust Bayesian approach for unit root testing
No full textIn this paper we deal with the identification of an autoregressive model for an observed time series, and the detection of a unit root in its characteristic polynomial. This is a big issue concerned with distinguishing stationary time series from time series for which differencing is required to induce stationarity. We consider a Bayesian approach, and particular attention is devoted to the problem of the sensitivity of the standard Bayesian analysis with respect to the choice of the prior distribution for the autoregressive coefficients
A Bayesian model averaging approach for cost-effectiveness analyses
No full textWe consider the problem of assessing new and existing technologies for their cost-effectiveness in the case where data on both costs and effects are available from a clinical trial, and we address it by means of the cost-effectiveness acceptability curve. The main difficulty in these analyses is that cost data usually exhibit highly skew and heavy-tailed distributions so that it can be extremely difficult to produce realistic probabilistic models for the underlying population distribution, and in particular to model accurately the tail of the distribution, which is highly influential in estimating the population mean. Here, in order to integrate the uncertainty about the model into the analysis of cost data and into cost-effectiveness analyses, we consider an approach based on Bayesian model averaging: instead of choosing a single parametric model, we specify a set of plausible models for costs and estimate the mean cost with a weighted mean of its posterior expectations under each model, with weights given by the posterior model probabilities. The results are compared with those obtained with a semi-parametric approach that does not require any assumption about the distribution of costs. Copyright © 2008 John Wiley & Sons, Ltd.
Do spatial interactions fuel the climate-conflict vicious cycle? The case of the African continent
No full textWe propose an analysis of the multiple linkages between violent conflicts, weather-related variables and socio-economic conditions based on an original geo-referenced database covering the entire African continent with a grid resolution of 1° × 1° for the period 1990–2016. We implement a dynamic spatial panel Durbin model that allows us: (1) confirming well-known mechanisms in violent conflicts analysis; (2) assessing the relevance of persistency of violence over time; (3) adding new insights related to the role of spatial relations associated to contagion. In particular, the spatial specification allows us quantifying the contagious effect across space, that persists in a radius of more than 300 km. Weather-related variables seem to play a prominent role in shaping contagion with different strength depending on the temporal horizon adopted. The main implications we derive are twofold: (1) adaptation policies designed for reducing vulnerability of local communities to climate change must be integrated with direct actions for peacekeeping in order to break the persistency of violence over time that is responsible for failures of the adaptation actions themselves; (2) synergies from simultaneous actions developed for different local communities must drive geographical coordination of integrated policies in order to capture the positive elements of cooperation associated to geographical spillovers while breaking violence contagion across neighbours
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Fattori di rischio macroeconomici e rendimenti delle strategie di portafoglio: ipotesi teoriche ed evidenza empirica
Full text linkFrom Fama-French (1993) and Carhart (1997) studies, which identify size, value, and momentum factors in addition to market risk as significant drivers of stock returns, the micro-finance research addressed the measurement of macroeconomic factors’ impacts on returns of portfolio strategies based on these multi-factor models. These analyses could be crucial in explaining the low or negative correlation often found in literature between the returns of such strategies (Cooper-Priestley 2009; Avramov et al. 2012; Asness et al. 2013; Wisniewski-Jackson 2020; Dahlquist-Hasseltoft 2020).
The contribution of this paper is twofold: i) to explain the theoretical foundation of expected impacts of the main macroeconomic factors on the returns of value and momentum strategies regarding equity and bond asset classes; ii) to verify whether these relationships are supported (in terms of sign and statistical significance) by the most recent empirical literature. The analysis shows that: i) univocal hypotheses on the expected links cannot be formulated; the causes of persistent returns of the two strategies, in fact, can be explained by adopting different theoretical perspectives, behavioural vs risk-premium models, which assume different linkages with macroeconomic factors; ii) the empirical findings are mixed; they could be also explained by differences, among studies, in country
samples (Continental Europe, Emerging Markets, UK, Developed Asia, and
USA), time periods, and testing methodology used. Nonetheless, the provided literature review is useful in delineating a comprehensive framework of the expected and empirically observed links
- …
