Optimal HP filtering for South Africa

Among the various methods used to identify the business cycle from aggregate data, the Hodrick-Prescott filter has become an industry standard – it ‘identifies’ the business cycle by removing low-frequency information, thereby smoothing the data. Since the filter’s inception in 1980, the value of the smoothing constant for quarterly data has been set at a ‘default’ of 1600, following the suggestion of Hodrick and Prescott (1980). This paper argues that this ‘default value’ is inappropriate due to its ad hoc nature and problematic underlying assumptions. Instead this paper uses the method of optimal filtering, developed by Pedersen (1998, 2001, and 2002), to determine the optimal value of the smoothing constant for South Africa. The optimal smoothing constant is that value which least distorts the frequency information of the time series. The result depends on both the censoring rule for the duration of the business cycles and the structure of the economy. The paper raises a number of important issues concerning the practical use of the HP filter, and provides an easily replicable method in the form of MATLAB code.Hodrick-Prescott filter, Spectral analysis, Ideal filtering, Optimal filtering, Distortionary filtering, Business cycles, MATLAB

Automated Measurement of Adherence to Traumatic Brain Injury (TBI) Guidelines using Neurological ICU Data

Using a combination of physiological and treatment information from neurological ICU data-sets, adherence to traumatic brain injury (TBI) guidelines on hypotension, intracranial pressure (ICP) and cerebral perfusion pressure (CPP) is calculated automatically. The ICU output is evaluated to capture pressure events and actions taken by clinical staff for patient management, and are then re-expressed as simplified process models. The official TBI guidelines from the Brain Trauma Foundation are similarly evaluated, so the two structures can be compared and a quantifiable distance between the two calculated (the measure of adherence). The methods used include: the compilation of physiological and treatment information into event logs and subsequently process models; the expression of the BTF guidelines in process models within the real-time context of the ICU; a calculation of distance between the two processes using two algorithms (“Direct” and “Weighted”) building on work conducted in th e business process domain. Results are presented across two categories each with clinical utility (minute-by-minute and single patient stays) using a real ICU data-set. Results of two sample patients using a weighted algorithm show a non-adherence level of 6.25% for 42 mins and 56.25% for 708 mins and non-adherence of 18.75% for 17 minutes and 56.25% for 483 minutes. Expressed as two combinatorial metrics (duration/non-adherence (A) and duration * non-adherence (B)), which together indicate the clinical importance of the non-adherence, one has a mean of A=4.63 and B=10014.16 and the other a mean of A=0.43 and B=500.0

Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area.

In this paper we set out a test of the New Keynesian Phillips Curve (NKPC) based on Vector Autoregressive (VAR) models. The proposed technique does not rely on the Anderson and Moore (1985) method and can be implemented with any existing econometric software. The idea is to use a VAR involving the inflation rate and the forcing variable(s) as the expectation generating system and find the restrictions that nest the NKPC within the VAR. The model can be estimated and tested through maximum likelihood methods. We show that the presence of feedbacks from the inflation rate to the forcing variable(s) can affect solution properties of the NKPC; when feedbacks are detected the VAR should be regarded as the final form solution of a more general structural model. Possible non-stationary in the variables can be easily taken into account within our framework. Empirical results point that the standard "hybrid" versions of the NKPC are far from being a good first approximation to the dynamics of inflation in the Euro area

Safety management theory and the military expeditionary organization: A critical theoretical reflection

Management of safety within organizations has become a key topic within safety science. Theorizing on this subject covers a diverse pallet of concepts such as “resilience” and “safety management systems”. Recent studies indicate that safety management theory has deficiencies. Our interpretation of these deficiencies is that much confusion originates from the issue that crucial meta-theoretical assumptions are mostly implicit or applied inconsistently. In particular, we argue that these meta-theoretical assumptions are of a systems theoretical nature. Therefore, we provide a framework that will be able to explicate and reflect on systems theoretical assumptions. With this framework, we analyze the ability of two frequently used safety management theories to tackle the problem of managing safety of Dutch military expeditionary organizations. This paper will show that inconsistent and implicit application of systems theoretical assumptions in these safety management theories results in problems to tackle such a practical problem adequately. We conclude with a reflection on the pros and cons of our framework. Also, we suggest particular meta-theoretical aspects that seem to be essential for applying safety management theory to organizations

Modeling of Traceability Information System for Material Flow Control Data.

This paper focuses on data modeling for traceability of material/work flow in information layer of manufacturing control system. The model is able to trace all associated data throughout the product manufacturing from order to final product. Dynamic data processing of Quality and Purchase activities are considered in data modeling as well as Order and Operation base on lots particulars. The modeling consisted of four steps and integrated as one final model. Entity-Relationships Modeling as data modeling methodology is proposed. The model is reengineered with Toad Data Modeler software in physical modeling step. The developed model promises to handle fundamental issues of a traceability system effectively. It supports for customization and real-time control of material in flow in all levels of manufacturing processes. Through enhanced visibility and dynamic store/retrieval of data, all traceability usages and applications is responded. Designed solution is initially applicable as reference data model in identical lot-base traceability system

Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations

We investigate the nature of asymmetries in U.S. business cycle dynamics using a dynamic two-factor model of output, investment, and consumption that incorporates both the common stochastic trend implied by neoclassical growth theory and a common transitory component. This framework allows for identification of both types of asymmetry commonly identified in the literature: 1. Shifts in the growth rate of the trend component and 2. Transitory deviations below trend, or "plucking". The model also lends itself easily to tests of the marginal significance of each type of asymmetry when the other is allowed to be present. Such tests suggest that both types of asymmetries have played a significant role in post-war recessions, although the nature of shifts in the growth rate of trend is different than the received literature suggests. We also allow for a one-time structural break in the long run growth rate of the common stochastic trend (a productivity slowdown) and in the magnitude of the asymmetry parameters. We find evidence of a productivity slowdown and an increase in the relative importance of shifts in the common stochastic trend vs. the "plucking" type of asymmetry. The evidence suggests a gradual structural break which begins in the mid 1960's and is complete by the end of 1973.

Are Output Fluctuations Transitory?

According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view. If fluctuations in output are dominated by temporary deviations from the natural rate of output, then an unexpected change in output today should not substantially change one's forecast of output in, say, ten or twenty years. Our examination of quarterly post-war United States data leads us to be skeptical about this implication. We find that a unexpected change in real GNP of one percent should change one's forecast by over one percent over a long horizon. While it is obviously imprudent to make definitive judgments regarding theories on the basis of one stylized fact alone, we believe that the great persistence of output shocks documented in this paper is an important and often neglected feature of the data that should more widely be used for evaluating theories of economic fluctuations.

Spectral Analysis Of Business Cycles In The Visegrad Group Countries

This paper examines the business cycle properties of Visegrad group countries. The main objective is to identify business cycles in these countries and to study the relationships between them. The author applies a modification of the Fourier analysis to estimate cycle amplitudes and frequencies. This allows for a more precise estimation of cycle characteristics than the traditional approach. The cross-spectral analysis of GDP cyclical components for the Czech Republic, Hungary, Poland and Slovakia makes it possible to assess the degree of business cycle synchronization between the countries

Common stochastic trends, common cycles, and asymmetry in economic fluctuations

This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markov-switching in each component captures two types of asymmetry: Shifts in the growth rate of the common stochastic trend, having permanent effects, and "plucking" deviations from the common stochastic trend, having only transitory effects. Statistical tests suggest both asymmetries were present in post-war recessions, although the shifts in trend are less severe than found in the received literature.Business cycles ; Recessions