1,720,961 research outputs found
Are GDP forecasts optimal? Evidence on European countries
No full textWe assess the accuracy of real GDP growth forecasts released by governments and international organizations for European countries in the years 1999–2017. We implement three testing procedures characterized by different assumptions on the forecasters’ loss functions. First, we test forecast rationality within the traditional approach based on a quadratic loss function (Mincer and Zarnowitz, 1969). Second, following Elliott, Timmermann and Komunjer (2005), we test rationality by allowing for a flexible loss function where the shape parameter driving the extent of asymmetry is unknown and estimated from the empirical distribution of forecast errors. Lastly, we implement the tests proposed by Patton and Timmermann (2007a) that hold regardless of the functional form of the loss function. We conclude that governmental forecasts are biased and not rational under a symmetric and quadratic loss function, but they are optimal under more general assumptions on the loss function. We also find that the preferences of forecasters change with the forecasting horizon: when moving from one- to two-year-ahead forecasts, the optimistic bias increases and the parameter of asymmetry in the loss function significantly increases
Inefficiency in survey exchange rates forecasts
Full text linkWe use survey data on five bilateral exchange rates to provide empirical evidence of the fact
that professional forecasters of foreign exchange rates behave irrationally, in the specific sense that
they respond inaccurately to available information in the market when forming their predictions.
In particular, we find systematic biases in the forecasts resulting in the overreaction of analysts
to past information contained in the exchange rate dynamics: forecasters change their prediction
more than would be rational on the basis of past realized changes. In addition, forecasters are
heterogeneous in their irrationality: low performers in previous periods show a more pronounced
overreaction effect. This can be read as an indication of perpetration of past errors and continued
inability to learn from the past. In the second part of the paper, we exploit the novel structure
of our dataset, which consists of survey data extracted from the Bloomberg platform and readily
available to anyone. This feature allows us to consider own and others’ past forecasts as part of the
information set that analysts use in making their predictions. By using past forecasts as proxies for
relevant macroeconomic variables, we find evidence that analysts fail to correctly process not only
the information contained in the spot rate past dynamics, but also the information in this broader
set. We see this as confirmation of the existence of inefficiency and heterogeneity between low and
high performers also when full information is available
A note on gravity models and international investment patterns
No full textWe show that recent methodological advances in econometric theory raise questions
about the results obtained by some influential contributions on the determinants
of international investment patterns, since the seminal paper by Lane and
Milesi-Ferretti (2008) (LMF). In most such contributions, estimated equations are
affected by heteroscedasticity, which may be shown to lead to inconsistent
estimates in log-linearized models. Thus, the empirical findings of these works
may need to be reassessed. By taking the results in LMF as a benchmark, we use a
different methodology, which produces consistent estimates even under heteroscedasticity
and report substantial differences with respect to the traditional
methods. Moreover, we extend the data-set over time (over years from 2001 to
2009) to estimate a panel gravity model, which allows to properly account for
unobserved heterogeneity through country-pair fixed effects and further improves
on the cross-section analysis, by also reconciling empirical evidence with economic
theory. Our panel estimates suggest the relevance of a diversification
motive in driving international equity purchases
Cross-border equity portfolio choices and the diversification motive. A fractional regression approach
No full textUsing a panel fractional regression model to evaluate the determinants of shares of international investment positions, we find some strong empirical support to the claim that a diversification motive is relevant. It turns out that less synchronized economies attract larger portfolio investment shares. The utmost relevance of trade relationships among countries in shaping international investment positions is also confirmed. (C) 2013 Elsevier B.V. All rights reserved
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
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
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe 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
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