1,721,197 research outputs found
Backward and forward closed solutions of multivariate models
Full text linkEconomic models that incorporate expectations require non causal time series theory. We provide a general method useful to solve in closed form any forward linear rational expectations multivariate model. An anticipative VARMA model is likely to explain a behavioral relation were a tentative future guides the today action. The work develops general conditions to get the unique stationary closed solution, backward or forward, so extends over the well known accepted results on causal invertible multivariate models and shows that to incorporate non causal models one should rely on Complex Analysis.Anticipative Times Series, anticipative VARMA, anticipative model, backward looking, forward looking, linear processes, linear filter, non casual model.
Testing for Threshold Regulation in Presence of Measurement Error
No full textRegulation is an important feature of dynamic phenomena, and is commonly tested within the threshold autoregressive setting, with the null hypothesis being a global nonstationary process. Nonetheless, this setting is debatable, because data are often corrupted by measurement errors. Thus, it is more appropriate to consider a threshold autoregressive moving-average model as the general hypothesis. We implement this new setting with the integrated moving-average model of order one as the null hypothesis. We derive a Lagrange multiplier test that has an asymptotically similar null distribution, and provide the first rigorous proof of tightness in the context of testing for threshold nonlinearity against difference stationarity, which is of independent interest. Simulation studies show that the proposed approach enjoys less bias and higher power in detecting threshold regulation than existing tests, especially when there are measurement errors. We apply the new approach to time series of real exchange rates of a panel of European countries
A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
No full textStatistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167
No full textIn order to develop statistical tests for the Lyapunov exponents of deter-\ud
ministic dynamical systems, we develop bootstrap tests based on empirical\ud
likelihood for percentiles and expectiles of strictly stationary processes. The\ud
percentiles and expectiles are estimated in terms of asymmetric least deviations\ud
and asymmetric least squares methods. Asymptotic distributional properties of\ud
the estimators are established
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
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