Building composite leading indexes in a dynamic factor model framework: a new proposal

One of the most problematic aspects in the work of policy makers and practitioners is having efficient forecasting tools combining two seemingly incompatible features: ease of use and completeness of the information set underlying the forecasts. Econometric literature provides different answers to these needs: Dynamic Factor Models (DFMs) optimally exploit the information coming from large datasets; composite leading indexes represent an immediate and flexible tool to anticipate the future evolution of a phenomenon. Curiously, the recent DFM literature has either ignored the construction of leading indexes or has made unsatisfactory choices as regards the criteria for aggregating the index components and the identification of factors that feed the index. This paper fills the gap and proposes a multi-step procedure for building composite leading indexes within a DFM framework. Once selected the target economic variable and estimated a DFM based on a large target-oriented dataset, we identify the common factor shocks through sign restrictions on the impact multipliers and simulate the structural form of the model. The Forecast Error Variance Decompositions obtained over a k steps-ahead simulation horizon define k sets of weights for aggregating factors (in a different way depending on the leading horizon) in order to get composite leading indexes. This procedure is used for a very preliminar empirical exercise aimed at forecasting crude nominal oil prices. The results seem to be encouraging and support the validity of the proposal: we generate a wide range of horizon-specific leading indexes with appreciable forecasting performances.

The subject and the indexicality of the photograph

Taking as a case study the documentary Unknown White Male (UK, 2005) — a film whose theme and reception problematizes stable notions of what constitutes subjectivity — a corrective is offered to the dominant mode applying Peircean semiotics to the moving image. Cinema and media studies have tended to apply Peirce's triadic division of the sign in a limited, formalist way following the explications of his method offered by Wollen and others. However Wollen ignores Peirce's placement of photograph as indexical within the context of the iconic as well as the distinction Peirce draws between ‘instantaneous’ and ‘composite’ photographs. Moreover, Peirce's more general understanding of the importance of semiotic analysis to the overall mental well-being of the human subject, hitherto largely ignored by media scholars, is also addressed

Incomplete Markets, Heterogeneity and Macroeconomic Dynamics

This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transparent. The role of cross-sectional holdings of capital in determining equilibrium dynamics can be directly assessed. Analysis discloses that an individual's optimal saving decisions are almost linear in their own capital stock giving rise to permanent income consumption behavior. This provides an explanation for the approximate aggregation properties of this model documented by Krusell and Smith (1998): the distribution of capital does not affect aggregate dynamics. While the variance-covariance properties of endogenous variables are almost entirely determined by first order dynamics, the second order dynamics, which capture properties of the wealth distribution, are nonetheless important for an individual's mean consumption and saving decisions and therefore the mean equilibrium capital stock. Policy evaluation exercises therefore need to take account of these higher order terms.

The use of abstraction concepts for representing and structuring documents

Due to the amount of documents available in modern offices, it is necessary to provide a multitude of methods for the structuring of knowledge, i.e., abstraction concepts. In order to achieve their uniform representation, such concepts should be considered in an integrated fashion to allow concise descriptions free of redundancy. In this paper, we present our approach towards an integration of methods of knowledge structuring. For this purpose, our view of abstraction concepts is briefly introduced using examples of the document world and compared with some existing systems. The main focus of this paper is to show the applicability of an integration of these abstraction concepts as well as their built-in reasoning facilities in supporting document processing and management

Twisted Cohomotopy implies level quantization of the full 6d Wess-Zumino term of the M5-brane

The full 6d Hopf-Wess-Zumino term in the action functional for the M5-brane is anomalous as traditionally defined. What has been missing is a condition implying the higher analogue of level quantization familiar from the 2d Wess-Zumino term. We prove that the anomaly cancellation condition is implied by the hypothesis that the C-field is charge-quantized in twisted Cohomotopy theory. The proof follows by a twisted/parametrized generalization of the Hopf invariant, after identifying the full 6d Hopf-Wess-Zumino term with a twisted homotopy Whitehead integral formula, which we establish.Comment: 22 pages; v2 fixes a missing theta7-summand in intermediate formulas and has two remarks added, for clarification; v3 fixes typos and makes the slicing over the homotopy fiber space of chi_8 more explici