7,689 research outputs found
Errors-in-Variables and the Wavelet Multiresolution Approximation: a Monte Carlo Study
No full textIn this chapter we perform a Monte Carlo simulation study of the errors-in-variables model examined in Ramsey, Gallegati, Gallegati, and Semmler (2010) by using a wavelet multiresolution approximation approach. Differently from previous studies applying wavelets to errors-in-variables problem, we use a sequence of multiresolution approximations of the variable measured with error ranging from finer to coarser scales. Our results indicate that multiscale approximations to the variable observed with error based on the coarser scales provide an unbiased asymptotically efficient estimator that also possess good finite sample properties
Long waves in prices: new evidence from wavelet analysis
No full textGallegati M, Gallegati M, Ramsey JB, Semmler W. Long waves in prices: new evidence from wavelet analysis. CLIOMETRICA. 2017;11(1):127-151.In this paper we apply wavelet analysis to study the dynamics of long-term movements in wholesale prices for the USA, the UK and France over the period 1791-2012. The application of wavelet analysis to long-term historical price series allows us to detect long waves in prices whose periodization is remarkably similar to those provided in the literature for the pre-World War II period. Moreover, we find evidence on the existence of long waves in prices also after World War II, a period in which long waves are generally difficult to detect because of the positive trend displayed by prices. The comparison between the long wave components extracted through wavelets and the Christiano-Fitzgerald band-pass filter suggests that wavelets provide a reliable and straightforward technique for analyzing long waves dynamics in time series exhibiting quite complex patterns such as historical data
Bond vs stock market's Q: Testing for stability across frequencies and over time
No full textIn this paper we revisit the evidence recently provided by Philippon (2009) about the
relationship among bond market's Q, stock market's Q and aggregate investments for the US.
Specifically, we analyze the stability of the relationship between aggregate investment and the
two measures of Q across frequencies and over time. We find that the relationship between
aggregate investment and stock market's Q, in contrast to that with bond market's Q, is both
frequency-dependent and time-varying. Both the successfulness of bond market's Q and the
poor performance of the usual Tobin's Q can be explained by taking into account stability
across frequencies of the first and instability over time of the latter
Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis
No full textThis paper uses the structural change model and wavelet exploratory analysis to re-examine Tobin's q theory of investment. There are two main results. First, wavelet exploratory analysis provides a useful complementary approach to standard confirmatory statistical analysis. Specifically, using energy and time scale decomposition analyses, we find that the long-run is the dominant scale of variation for both aggregate investment and “measured” Tobin's q, and that for most of the sample there is a stable in-phase relationship between the smooth components of investment rate and q, with q slightly leading investments. Moreover, the analysis of the shift of the phase relationship of the long-term components reveals a “pure” smooth break occurring in the late 1970s, and a “spurious” smooth break in the early 1990s when the two smooth components resume their normal in-phase relationship. Second, when we combine the results from wavelet exploratory analysis and the multiple structural breaks test approach, we find that, contrary to the conventional literature, Tobin's q is an important determinant of aggregate investment, and its estimated coefficient can provide a plausible value for the implied adjustment cost of investment. Most importantly, we discover that the relationship depends on time scale; long time scales are more important than short
The Rationale for the Incarnation and the Place of Substitutionary Atonement in the Thought of William Temple and Michael Ramsey: A Comparative Study
No full textWilliam Temple (1881-1944) and Michael Ramsey (1904-1988) are two of the leading Anglican intellectuals of the twentieth century. Their significance does not just lie in the quality of their intellect. Each served as Archbishop of Canterbury during their career; that essentially representative role heightens the sense of the significance of their work to an understanding of Anglican thought during the period. Yet surprisingly little has been written on Temple and Ramsey’s theology, and there have been no attempts to give a detailed, systematic account of their thought.
Such a comprehensive study lies beyond the scope of this thesis. Yet the research does seek to contribute to an understanding of Temple and Ramsey’s thought. The thesis has its origins in an incidental remark made by Professor David Brown, who commented that Anglican theologians of the twentieth century had tended to downplay the role of substitutionary atonement in their theological schema. This raised a fundamental question: what impact might such a downplaying have at the wider level of systematic theology? How might it mould their account of the Incarnation, and how might that, in turn, shape their wider thought?
This thesis does not set out to test Brown’s claim for a downplaying of substitutionary atonement, but it does – incidentally – show that Temple and Ramsey are examples of the trend. Rather, the focus is on Temple and Ramsey’s rationale for the Incarnation, and the place of substitutionary atonement within it. As such, it addresses a significant gap in understanding of their thought. Its central claim is that Temple and Ramsey understood the Incarnation not, primarily as a response to sin, but as a sacrificial means of deepening the union between God and humanity. At the core of their rationale for the Incarnation, it is argued, is the eternal divine purposive desire for fellowship, and not the exigent necessity of substitutionary atonement.
There are two ancillary areas of study. First, the question of the compatibility of their respective accounts of the Incarnation. Arguing for a high level of coherence within and between their accounts, the thesis suggests that such compatibility underlines the significance of their Christology for an understanding of wider Anglican thought during the period. Secondly, the thesis tentatively highlights ways in which each man’s rationale for the Incarnation impacts on their wider thought, not least their ecclesiology
Phillips averaging procedure as a "crude" version of the Haar filter
No full textThe aim of this study is to investigate the exact nature of Phillips’ (1958) findings. We show that the application of the simplest type of wavelet basis function developed by Haar in 1910 allows to replicate the output of Phillips’ data transformation procedure, i.e. the six mean coordinates. Specifically, the resemblance between the coarsest scale level coefficients from the Haar wavelet filter and the six crosses suggests the long-term nature of Phillips’ (wage-unemployment) relationship. The application of the Haar wavelet filter allows us to examine the effects of two main features of Phillips’ ‘unorthodox’ averaging procedure: the arbitrarily choice of variable-width intervals and the choice of sorting observations in ascending order of unemployment rate values. Our results show that the arbitrary selection of intervals affects only the smoothness (regularity) of the nonlinear pattern of the wage- unemployment relationship, but not its shape which is determined by sorting and grouping unemployment rate values in ascending order. Indeed, when observations are ordered according to a chronological sequence a simple linear relationship is evident. These findings are robust to different samples, 1861-1913 and 1861-1958
Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
No full textDoes productivity growth increase or reduce unemployment? Theoretical and empirical analyses have generally provided mixed results. In this paper we analyze the empirical relationship between productivity and unemployment over different time frames using wavelet analysis. The scale-by-scale results from panel data and nonparametric regressions methods indicate that productivity-unemployment relationship is scale-dependent, that is changes over different time horizons. Specifically, productivity growth creates unemployment in the short and medium terms, but employment in the long run
Time Scale Analysis of Interest Rate Spreads and Output Using Wavelets
No full textThis paper adds to the literature on the information content of different spreads for real activity by explicitly taking into account the time scale relationship between a variety of monetary and financial indicators (real interest rate, term and credit spreads) and output growth. By means of wavelet-based exploratory data analysis we obtain richer results relative to the aggregate analysis by identifying the dominant scales of variation in the data and the scales and location at which structural breaks have occurred. Moreover, using the “double residuals” regression analysis on a scale-by-scale basis, we find that changes in the spread in several markets have different information content for output at different time frames. This is consistent with the idea that allowing for different time scales of variation in the data can provide a fruitful understanding of the complex dynamics of economic relationships between variables with non-stationary or transient components, certainly richer than those obtained using standard time domain methods
Engraved portrait of Sir James Turner (b. c.1615, d. in or after 1689)
No full textEngraved portrait of Sir James Turner, army officer and author (b. c.1615, d. in or after 1689) by Robert White (1645-1703
"Wavelet-based" Early Warning Signals of Financial Stress: an Application to IMF's AE-FSI
No full textThe objective of this paper is to propose a new methodology for the construction of early warning composite indicators that is able to exploit all available information conveyed by individual indicators taking advantage of the multiresolution decomposition properties of wavelet analysis. In this paper we construct a “wavelet-based” early 35 warning indicator of financial stress for the IMF financial stress index for advanced economies developed in Cardarelli et al.(2009).Specifically, for each country of the sample we construct a “wavelet-based” early warning indicator of financial stress by aggregating several “scale-based” sub-indices whose components are selected on the basis of their statistical performance at each frequency band. The empirical evidence suggests that: (1) the “general fit” of the early warning indicators in relation to the financial stress index is rather good, with an average lead of about 2 months; and (2) the “wavelet-based” composite indicator largely outperforms any individual financial variable taken in isolation in predicting financial stress at every horizon, with the gain increasing as the time horizon increases
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