1,721,098 research outputs found
A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
No full textIn this paper we propose a simple method for estimating and testing the linear quadratic adjustment cost (LQAC) model in the presence of I(1) processes. We specify the LQAC model as an 'exact' rational expectations model and we assume that the DGP for the observable variables belongs to the class of cointegrated error correction (ECM) models. By deriving the restrictions implied by the LQAC model on the parameters of the ECM, we propose an alternative econometric technique for the LQAC model. In contrast to existing procedures, we explicitly account for situations where the cointegration rank of the ECM is greater than the number of control variables (i.e. one). The method is applied to the demand for labor in Denmark. © 2002 Elsevier Science B.V. All rights reserved
Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks
Full text linkHigh-frequency (HF) monetary surprises around central bank meetings are extensively employed to jointly identify monetary policy shocks and the so-called ‘information shock’. In this paper we show that HF surprises in the Euro Area after 2008 reflect the impact of three shocks, not two. Besides an unconventional monetary shock and the information shock, we consider a third shock, labeled ‘spread shock’, resulting from the ECB management of fragmentation risk in the sovereign bond market. The spread shock can be framed within a stylized model of multiple equilibria where a central bank in a monetary union attempts to offset self-fulling expectations of default in sovereign debts. We point-identify simultaneously the dynamic causal effects produced by the three monetary policy shocks by using a proxy-SVAR estimated on daily data. The external instruments are obtained from HF monetary surprises combining sign and narrative restrictions, and additional point restrictions are exploited for the identification in a second stage. Empirical results based on Italian (Spanish) spreads, reveal that the spread shock represents an important ingredient of the transmission mechanism of monetary policy in the Euro Area after the Global Financial Crisis. Identification-robust confidence intervals show that the impact of the spread shock on monthly variables like industrial production and measures of systemic risk and financial distress is non-negligible and aligns with the idea that the ECB stabilizes fragmentation risk
Location of eigenvalues of three-dimensional non-self-adjoint Dirac operators
No full textWe prove the absence of eigenvalues of the three-dimensional Dirac operator with non-Hermitian potentials in unbounded regions of the complex plane under smallness conditions on the potentials in Lebesgue spaces. Our sufficient conditions are quantitative and easily checkable
Weak dispersive estimates for fractional Aharonov-Bohm-Schrodinger groups
Full text linkWe prove local smoothing, local energy decay and weighted Strichartz inequalities for fractional Schrodinger equations with a Aharonov-Bohm magnetic field in 2D. Explicit representations of the flows in terms of spherical expansions of the Hamiltonians are involved in the study. An improvement of the free estimate is proved, when the total flux of the magnetic field through the unit sphere is not an integer
A cointegrated VECM demand system for meat in Italy
No full textThis article applies cointegration techniques to estimate a monthly demand system for meat in Italy. In contrast to existing studies where Engle and Granger's two step procedure and Triangular Vector Error Correction Model (TVECM) representations are usually exploited, it applies a cointegrated Vector Error Correction Model (VECM) where also prices and expenditure enter endogenously the system and the cointegration rank is not assumed to be known a priori but subject to inference. It highlights some of the advantages of using the VECM compared to the TVECM, including the possibility of testing the cointegration rank of the system and the (weak and strong) exogeneity of prices and expenditure within a well-specified statistical model. This may lead to remarkable improvements in the efficiency of parameters system estimates
Gaussian decay of harmonic oscillators and related models
Full text linkWe prove that the decay of the eigenfunctions of harmonic oscillators, uniform electric or magnetic fields is not stable under 0-order complex perturbations, even if bounded, of these Hamiltonians, in the sense that we can produce solutions to the evolutionary Schrödinger flows associated to the Hamiltonians, with a stronger Gaussian decay at two distinct times. We then characterize, in a quantitative way, the sharpest possible Gaussian decay of solutions as a function of the oscillation frequency or the strength of the field, depending on the Hamiltonian which is considered. This is connected to the Hardy's Uncertainty Principle for free Schrödinger evolutions
An identification and testing strategy for proxy-SVARs with weak proxies
Full text linkWhen proxies (external instruments) used to identify target structural shocks are weak, inference in proxy-SVARs (SVAR-IVs) is nonstandard and the construction of asymptotically valid confi-dence sets for the impulse responses of interest requires weak-instrument robust methods. In the presence of multiple target shocks, test inversion techniques require extra restrictions on the proxy-SVAR parameters other than those implied by the proxies that may be difficult to interpret and test. We show that frequentist asymptotic inference in these situations can be conducted through Minimum Distance estimation and standard asymptotic methods if the proxy-SVAR can be identified by using 'strong' instruments for the non-target shocks; i.e., the shocks which are not of primary interest in the analysis. The suggested identification strategy hinges on a novel pre-test for the null of instrument relevance, based on bootstrap resampling, which is not subject to pre-testing issues. Specifically, the validity of post-test asymptotic inferences remains unaffected by the test outcomes due to an asymptotic independence result between the bootstrap and non -bootstrap statistics. The test is robust to conditionally heteroskedastic and/or zero-censored proxies, is computationally straightforward and applicable regardless of the number of shocks being instrumented. Some illustrative examples show the empirical usefulness of the suggested identification and testing strategy
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
Review on the Stability of the Peregrine and Related Breathers
Full text linkIn this note, we review stability properties in energy spaces of three important nonlinear Schrödinger breathers: Peregrine, Kuznetsov-Ma, and Akhmediev. More precisely, we show that these breathers are unstable according to a standard definition of stability. Suitable Lyapunov functionals are described, as well as their underlying spectral properties. As an immediate consequence of the first variation of these functionals, we also present the corresponding nonlinear ODEs fulfilled by these nonlinear Schrödinger breathers. The notion of global stability for each breather mentioned above is finally discussed. Some open questions are also briefly mentioned
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