48,305 research outputs found
Detecting and Explaining Causes From Text For a Time Series Event
Explaining underlying causes or effects about events is a challenging but
valuable task. We define a novel problem of generating explanations of a time
series event by (1) searching cause and effect relationships of the time series
with textual data and (2) constructing a connecting chain between them to
generate an explanation. To detect causal features from text, we propose a
novel method based on the Granger causality of time series between features
extracted from text such as N-grams, topics, sentiments, and their composition.
The generation of the sequence of causal entities requires a commonsense
causative knowledge base with efficient reasoning. To ensure good
interpretability and appropriate lexical usage we combine symbolic and neural
representations, using a neural reasoning algorithm trained on commonsense
causal tuples to predict the next cause step. Our quantitative and human
analysis show empirical evidence that our method successfully extracts
meaningful causality relationships between time series with textual features
and generates appropriate explanation between them.Comment: Accepted at EMNLP 201
Business Survey Data: Do They Help in Forecasting the Macro Economy?
In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation, interest rates, and exchange-rate changes. The starting point is a so-called dynamic factor model (DFM), which is used both as a framework for dimension reduction in forecasting and as a procedure for filtering out unimportant idiosyncratic noise in the underlying survey data. In this way, it is possible to model a rather large number of noise-reduced survey variables in a parsimoniously parameterised vector autoregression (VAR). To assess the forecasting performance of the procedure, comparisons are made with VARs that either use the survey variables directly, are based on macro variables only, or use other popular summary indices of economic activity. As concerns forecasts of GDP growth, the procedure turns out to outperform the competing alternatives in most cases. For the other macro variables, the evidence is more mixed, suggesting in particular that there often is little difference between the DFM-based indicators and the popular summary indices of economic activity.Business survey data; Dynamic factor models; Macroeconomic forecasting
Econometrics meets sentiment : an overview of methodology and applications
The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software
Short-term forecasts of euro area GDP growth
Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital gains to investigate which of the two channels delivers the largest potential for risk sharing. Our evidence suggests that net capital gains are a more potent channel of risk sharing. They behave in a countercyclical way, that is they tend to be positive (negative) when the domestic economy is growing more slowly (rapidly) than the rest of the world. Countries with more countercyclical net capital gains experience improved consumption risk sharing. The empirical analysis furthermore suggests that these risk sharing properties of net capital gains have increased through time, in particular in the 1990s and early-2000s, on the back of a declining equity home bias and financial market deepening. JEL Classification: E52, C33, C53consumption smoothing, Cross-Border Investment, International portfolio diversification, International risk sharing, Valuation effects
Identifying Solar Flare Precursors Using Time Series of SDO/HMI Images and SHARP Parameters
We present several methods towards construction of precursors, which show
great promise towards early predictions, of solar flare events in this paper. A
data pre-processing pipeline is built to extract useful data from multiple
sources, Geostationary Operational Environmental Satellites (GOES) and Solar
Dynamics Observatory (SDO)/Helioseismic and Magnetic Imager (HMI), to prepare
inputs for machine learning algorithms. Two classification models are
presented: classification of flares from quiet times for active regions and
classification of strong versus weak flare events. We adopt deep learning
algorithms to capture both the spatial and temporal information from HMI
magnetogram data. Effective feature extraction and feature selection with raw
magnetogram data using deep learning and statistical algorithms enable us to
train classification models to achieve almost as good performance as using
active region parameters provided in HMI/Space-Weather HMI-Active Region Patch
(SHARP) data files. Case studies show a significant increase in the prediction
score around 20 hours before strong solar flare events
Leading economic indexes for New York State and New Jersey
The authors develop indexes of leading economic indicators for New York State and New Jersey over the 1972-99 period. They find that the leading indexes convey useful information about the future course of economic activity in both states. The authors then construct separate indexes to forecast recessions and expansions in each state. The movements of the recession and expansion indexes are found to display a close relationship with the behavior of the leading indexes. Accordingly, the recession and expansion indexes allow the authors to extend the informational content of the leading indexes by estimating the probability of an upcoming cyclical change in state economic activity within the next nine months.Economic indicators ; New York (State) ; New Jersey ; Index numbers (Economics) ; Economic conditions - United States ; Federal Reserve District, 2nd
Robust and sparse factor modelling.
Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively few nonzero factor loadings. Compared to the traditional factor construction method, we find that this procedure leads to a favorable forecasting performance in the presence of outliers and to better interpretable factors. We investigate the performance of the method in a Monte Carlo experiment and in an empirical application to a large data set from macroeconomics.Dimension reduction; Forecasting; Outliers; Regularization; Sparsity;
Structural Macro-Econometric Modelling in a Policy Environment
The paper looks at the development of macroeconometric models over the past sixty years. In particular those that have been used for analysing policy options. We argue that there have been four generations of these. Each generation has evolved new features that have been partly drawn from the developing academic literature and partly from the perceived weaknesses in the previous generation. Overall the evolution has been governed by a desire to answer a set of basic questions and sometimes by what can be achieved using new computational methods. Our account of each generation considers their design, the way in which parameters were quantified and how they were evaluated.DSGE models;Phillips Curve;Macroeconometric Models;Bayesian Estimation
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