1,720,968 research outputs found
Macroeconomic forecasting during the Great Recession: the return of non-linearity?
No full textForthcomin
Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
No full textThe aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and Strazicich (2001), as well as the Schmidt and Phillips-type LM tests proposed in Westerlund and Edgerton (2007). This exercise allow us to cover a wide set of single-equation cointegration estimators. Monte Carlo experiments reveal a trade-off between size and power distortions across tests and models. KPSS-type tests display large size distortions under multiple breaks scenarios, while Schmidt and Phillips-type tests appear well-sized across all simulations. However, when regressors are endogenous, the former group of tests displays quite high power against the alternative hypothesis, while the latter shows severe low power.L'objectif de ce papier est d'étudier, à l'aide de simulations de Monte Carlo, la performance des tests de cointégration basés sur les résidus en présence de rupture déterministes multiples. Nous considérons les tests du multiplicateur de Lagrange de type KPSS proposés par Carrion-i-Silvestre et Sansò (2006) et par Bartley, Lee et Strazicich (2001), ainsi que les tests du multiplicateur de Lagrange de type Schmidt-Phillips proposés par Westerlund et Edgerton (2007). Cet exercice nous permet de couvrir un vaste nombre d'estimateurs d'équations simples de cointégration. Nos simulations de Monte Carlo révèlent l'existence d'un trade-off entre la taille et la puissance des tests. Les tests de type KPSS montrent des distorsions élevées de la taille en présence de multiples ruptures, alors que les tests de type Schmidt-Phillips apparaissent moins affectés par ce type de distorsions. Toutefois, quand les régresseurs sont endogènes, le premier groupe de tests montre une puissance élevée contre l'hypothèse alternative, alors que le deuxième groupe montre une puissance assez réduite
Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
No full textThe aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and Strazicich (2001), as well as the Schmidt and Phillips-type LM tests proposed in Westerlund and Edgerton (2007). This exercise allow us to cover a wide set of single-equation cointegration estimators. Monte Carlo experiments reveal a trade-off between size and power distortions across tests and models. KPSS-type tests display large size distortions under multiple breaks scenarios, while Schmidt and Phillips-type tests appear well-sized across all simulations. However, when regressors are endogenous, the former group of tests displays quite high power against the alternative hypothesis, while the latter shows severe low power.L'objectif de ce papier est d'étudier, à l'aide de simulations de Monte Carlo, la performance des tests de cointégration basés sur les résidus en présence de rupture déterministes multiples. Nous considérons les tests du multiplicateur de Lagrange de type KPSS proposés par Carrion-i-Silvestre et Sansò (2006) et par Bartley, Lee et Strazicich (2001), ainsi que les tests du multiplicateur de Lagrange de type Schmidt-Phillips proposés par Westerlund et Edgerton (2007). Cet exercice nous permet de couvrir un vaste nombre d'estimateurs d'équations simples de cointégration. Nos simulations de Monte Carlo révèlent l'existence d'un trade-off entre la taille et la puissance des tests. Les tests de type KPSS montrent des distorsions élevées de la taille en présence de multiples ruptures, alors que les tests de type Schmidt-Phillips apparaissent moins affectés par ce type de distorsions. Toutefois, quand les régresseurs sont endogènes, le premier groupe de tests montre une puissance élevée contre l'hypothèse alternative, alors que le deuxième groupe montre une puissance assez réduite
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
On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States
No full textWe evaluate the policy implications of measuring the welfare cost of inflation accounting for instabilities in the long-run money demand for the U.S. over the period 1900-2013. We extend the analysis and reassess the results reported in Lucas (2000) and Ireland (2009), also considering the recent theoretical contributions of Lucas and Nicolini (2015) and Berentsen et al. (2015). Breaks in the long-run money demand give rise to regime-dependent welfare cost estimates. We find that the welfare cost is about 0.1% of annual income over 1976-2013, as compared to 0.8% over 1945-1975. Overall, these values are substantially lower than those reported in the literature
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
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
Full text linkThe aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and Strazicich (2001), as well as the Schmidt and Phillips-type LM tests proposed in Westerlund and Edgerton (2007). This exercise allow us to cover a wide set of single-equation cointegration estimators. Monte Carlo experiments reveal a trade-off between size and power distortions across tests and models. KPSS-type tests display large size distortions under multiple breaks scenarios, while Schmidt and Phillips-type tests appear well-sized across all simulations. However, when regressors are endogenous, the former group of tests displays quite high power against the alternative hypothesis, while the latter shows severe low power.L'objectif de ce papier est d'étudier, à l'aide de simulations de Monte Carlo, la performance des tests de cointégration basés sur les résidus en présence de rupture déterministes multiples. Nous considérons les tests du multiplicateur de Lagrange de type KPSS proposés par Carrion-i-Silvestre et Sansò (2006) et par Bartley, Lee et Strazicich (2001), ainsi que les tests du multiplicateur de Lagrange de type Schmidt-Phillips proposés par Westerlund et Edgerton (2007). Cet exercice nous permet de couvrir un vaste nombre d'estimateurs d'équations simples de cointégration. Nos simulations de Monte Carlo révèlent l'existence d'un trade-off entre la taille et la puissance des tests. Les tests de type KPSS montrent des distorsions élevées de la taille en présence de multiples ruptures, alors que les tests de type Schmidt-Phillips apparaissent moins affectés par ce type de distorsions. Toutefois, quand les régresseurs sont endogènes, le premier groupe de tests montre une puissance élevée contre l'hypothèse alternative, alors que le deuxième groupe montre une puissance assez réduite
Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
No full textThe aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and Strazicich (2001), as well as the Schmidt and Phillips-type LM tests proposed in Westerlund and Edgerton (2007). This exercise allow us to cover a wide set of single-equation cointegration estimators. Monte Carlo experiments reveal a trade-off between size and power distortions across tests and models. KPSS-type tests display large size distortions under multiple breaks scenarios, while Schmidt and Phillips-type tests appear well-sized across all simulations. However, when regressors are endogenous, the former group of tests displays quite high power against the alternative hypothesis, while the latter shows severe low power.L'objectif de ce papier est d'étudier, à l'aide de simulations de Monte Carlo, la performance des tests de cointégration basés sur les résidus en présence de rupture déterministes multiples. Nous considérons les tests du multiplicateur de Lagrange de type KPSS proposés par Carrion-i-Silvestre et Sansò (2006) et par Bartley, Lee et Strazicich (2001), ainsi que les tests du multiplicateur de Lagrange de type Schmidt-Phillips proposés par Westerlund et Edgerton (2007). Cet exercice nous permet de couvrir un vaste nombre d'estimateurs d'équations simples de cointégration. Nos simulations de Monte Carlo révèlent l'existence d'un trade-off entre la taille et la puissance des tests. Les tests de type KPSS montrent des distorsions élevées de la taille en présence de multiples ruptures, alors que les tests de type Schmidt-Phillips apparaissent moins affectés par ce type de distorsions. Toutefois, quand les régresseurs sont endogènes, le premier groupe de tests montre une puissance élevée contre l'hypothèse alternative, alors que le deuxième groupe montre une puissance assez réduite
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