1,720,984 research outputs found
Replication Data for: "Empirical Bayes Methods for Dynamic Factor Models"
No full textKoopman, Siem Jan, and Mesters, Geert, (2017) “Empirical Bayes Methods for Dynamic Factor Models.” Review of Economics and Statistics 99:3, 486-498
Replication Data for: "Empirical Bayes Methods for Dynamic Factor Models"
No full textKoopman, Siem Jan, and Mesters, Geert, (2017) “Empirical Bayes Methods for Dynamic Factor Models.” Review of Economics and Statistics 99:3, 486-498
Replication data for: "On the Demographic Adjustment of Unemployment"
No full textBarnichon, Regis, and Mesters, Geert, (2018) “On the Demographic Adjustment of Unemployment.” Review of Economics and Statistics 100:2, 219-231
Replication data for: "On the Demographic Adjustment of Unemployment"
No full textBarnichon, Regis, and Mesters, Geert, (2018) “On the Demographic Adjustment of Unemployment.” Review of Economics and Statistics 100:2, 219-231
Essays in Macroeconometrics
No full textThe thesis consists of three chapters on macroeconometric analysis with heterogeneity. Chapter 1 introduces an efficient data-driven clustering methodology for grouping heterogeneous responses within the local projection-IV framework. The proposed group local projection (GLP) estimator consistently recovers the latent group structure and the group-specific impulse responses. Chapter 2 introduces a quasi-Bayesian framework that combines general classes of loss functions and priors for joint inference on the latent group structures, including group-level parameters and group assignments. Simulation results demonstrate significant improvements in bias and coverage for group-level parameters compared to existing methods, particularly when group assignments cannot be precisely estimated. Chapter 3 models the joint dynamics of macro aggregates and functional variables within the Structural VAR framework. The proposed functional VAR (FVAR) is easy to implement and fully compatible with conventional SVAR tools. Simulation evidence shows that it performs satisfactorily in finite samples.La tesi consta de tres capítols sobre anàlisi macroeconomètrica amb heterogeneïtat. El capítol 1 presenta una metodologia eficient de clustering basada en dades per agrupar respostes heterogènies dins del marc de projecció local-IV. L’estimador de projecció local de grup (GLP) proposat recupera constantment l’estructura del grup latent i les respostes d’impuls específics del grup. El capítol 2 introdueix un marc quasi bayesià que combina classes generals de funcions de pèrdua i priors per a la inferència conjunta sobre les estructures de grup latents, incloent paràmetres a nivell de grup i assignacions de grup. Els resultats de la simulació demostren millores significatives en el biaix i la cobertura dels paràmetres a nivell de grup en comparació amb els mètodes existents, especialment quan les assignacions de grup no es poden estimar amb precisió. El capítol 3 modela la dinàmica conjunta dels macroagregats i les variables funcionals dins del marc VAR estructural. El VAR funcional proposat (FVAR) és fàcil d’implementar i totalment compatible amb les eines SVAR convencionals. L’evidència de simulació mostra que funciona satisfactòriament en mostres finites.Programa de Doctorat en Economia, Finances i Empres
Essays in Macroeconometrics
No full textThis thesis consists of three chapters on topics in Macroeconometrics. Chapter 1 presents a method for online evaluation of the optimality of the current stance of monetary policy given the most up to date data available. The framework combines estimates of the causal effects of monetary policy tools on inflation and the unemployment gap with forecasts for these target variables. The forecasts are generated with a nowcasting model, incorporating new data as it becomes available, while using entropy tilting to anchor the long end of the forecast at long run survey expectations. In a retrospective analysis of the Fed’s monetary policy decisions in the lead up to the Great Recession we find that we can reject the optimality of the policy stance as early as the beginning of February 2008. This early detection stems from the timely nowcasting of the deteriorating unemployment outlook. Chapter 2 presents a framework for testing the optimality of monetary policy decisions made by a central bank in a monetary union. Applying the framework to test the European Central Bank’s monetary policy decisions we find several instances of optimization failures in its use of the Forward Guidance and Quantitative Easing instruments. We cannot reject optimality in its use of the Target Rate instrument. We find signs of heterogeneity in the optimal prescriptions for the individual member countries with respect to the union level prescription. Chapter 3 considers modeling the quantiles of time series as time varying by extending the standard Bayesian Quantile Regression model to include latent components that vary over time. Empirically we show the potential usefulness of the latent components for forecasting: including latent components can perform equally or better than standard quantile regression for GDP growth forecasts for a sample of 24 OECD countries. Importantly, we find that in cases where the standard quantile regression has poor performance, the quantile models with latent components still perform adequately.Esta tesis consta de tres capítulos sobre temas de Macroeconometría. El Capítulo 1 presenta un método para la evaluación en línea de la optimización de la postura actual de la política monetaria dados los datos más actualizados disponibles. El marco combina estimaciones de los efectos causales de las herramientas de política monetaria sobre la inflación y la brecha de desempleo con pronósticos para estas variables objetivo. Los pronósticos se generan con un modelo de predicción inmediata, que incorpora nuevos datos a medida que están disponibles, al tiempo que utiliza la inclinación de la entropía para anclar el extremo largo del pronóstico en las expectativas de la encuesta a largo plazo. En un análisis retrospectivo de las decisiones de política monetaria de la Reserva Federal en el período previo a la Gran Recesión, encontramos que podemos rechazar la optimización de la postura de la política a principios de febrero de 2008. Esta detección temprana proviene del pronóstico inmediato del deterioro perspectivas de desempleo. El Capítulo 2 presenta un marco para probar la optimización de las decisiones de política monetaria tomadas por un banco central en una unión monetaria. Al aplicar el marco para probar las decisiones de política monetaria del Banco Central Europeo, encontramos varios casos de fallas de optimización en su uso de los instrumentos Forward Guidance y Quantitative Easing. No podemos rechazar la optimización en el uso del instrumento de tasa objetivo. Encontramos signos de heterogeneidad en las prescripciones óptimas para los países miembros individuales con respecto a la prescripción a nivel de la unión. El Capítulo 3 considera el modelado de los cuantiles de series de tiempo como variables en el tiempo mediante la extensión del modelo estándar de regresión de cuantiles bayesianos para incluir componentes latentes que varían con el tiempo. Mostramos empíricamente la utilidad potencial de los componentes latentes para la previsión: la inclusión de componentes latentes puede tener un rendimiento igual o mejor que la regresión por cuantiles estándar para las previsiones de crecimiento del PIB para una muestra de 24 países de la OCDE. Es importante destacar que encontramos que en los casos en que la regresión de cuantiles estándar tiene un desempeño deficiente, los modelos de cuantiles con componentes latentes aún funcionan adecuadamente.Programa de doctorat en Economia, Finances i Empres
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
The Phillips multiplier
No full textThe Phillips multiplier is a statistic to non-parametrically characterize the central bank inflation-unemployment trade-off. Inference on the Phillips multiplier is based on a simple instrumental variable regression of cumulative inflation on cumulative unemployment using monetary shocks as instruments. We compute the Phillips multiplier for the US and the UK and document that the trade-off went from being large in the pre-1990 sample period to being small (but significant) post-1990. In contrast to earlier evidence of a flattening of the slope of Phillips curve, the decline in the trade-off is mostly due to the anchoring of inflation expectations.</p
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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