Score-driven non-linear multivariate dynamic location models

In this paper, we introduce a new model by extending the dynamic conditional score(DCS) model of the multivariate t-distribution and name it as the quasi-vectorautoregressive (QVAR) model. QVAR is a score-driven nonlinear multivariatedynamic location model, in which the conditional score vector of the log-likelihood (LL)updates the dependent variables. For QVAR, we present the details of theeconometric formulation, the computation of the impulse response function, and themaximum likelihood (ML) estimation and related conditions of consistency andasymptotic normality. As an illustration, we use quarterly data for period 1987:Q1 to2013:Q2 from the following variables: quarterly percentage change in crude oil realprice, quarterly United States (US) inflation rate, and quarterly US real gross domesticproduct (GDP) growth. We find that the statistical performance of QVAR is superior tothat of VAR and VARMA. Interestingly, stochastic annual cyclical effects withdecreasing amplitude are found for QVAR, whereas those cyclical effects are notfound for VAR or VARMA.The authors are thankful to Matthew Copley. Blazsek and Licht acknowledge funding from Universidad Francisco Marroquín. Escribano acknowledges financial support from Ministerio de Economía, Industria y Competitividad (Spain) (grants ECO2016-00105-001 and MDM 2014- 0431), and Comunidad de Madrid (grant MadEco-CM S2015/HUM-3444)

Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models

We suggest a new mechanism to detect stochastic seasonality of multivariate macroeconomic variables, by using an extension of the score-driven first-order multivariate t-distribution model. We name the new model as the quasi-vector autoregressive (QVAR) model. QVAR is a nonlinear extension of Gaussian VARMA (VAR moving average). The location of dependent variables for QVAR is updated by the score function, thus QVAR is robust to extreme observations. For QVAR, we present the econometric formulation, computation of the impulse response function (IRF), maximum likelihood (ML) estimation, and conditions of the asymptotic properties of ML that include invertibility. We use quarterly macroeconomic data for the period of 1987:Q1 to 2013:Q2 inclusive, which include extreme observations from three I(0) variables: percentage change in crude oil real price, United States (US) inflation rate, and US real gross domestic product (GDP) growth. The sample size of these data is relatively small, which occurs frequently in macroeconomic analyses. The statistical performance of QVAR is superior to that of VARMA and VAR. Annual seasonality effects are identified for QVAR, whereas those effects are not identified for VARMA and VAR. Our results suggest that QVAR may be used as a practical tool for seasonality detection in small macroeconomic datasets.The work was presented in “Recent Advances in Econometrics: International Conference in Honor of Luc Bauwens" (Brussels, 19-20 October 2017), GESG Research Seminar (Guatemala City, 9 November 2017), “Workshop in Time Series Econometrics" (Zaragoza, 12-13 April 2018), and “International Conference on Statistical Methods for Big Data" (Madrid, 7-8 July 2018). The authors are thankful to Luc Bauwens, Matthew Copley, Antoni Espasa, Eric Ghysels, Joachim Grammig, Andrew Harvey, S∅ren Johansen, Bent Nielsen, Eric Renault, Genaro Sucarrat and Ruey Tsay. Blazsek and Licht acknowledge funding from Universidad Francisco Marroquín. Escribano acknowledges funding from Ministerio de Economía, Industria y Competitividad (ECO2016-00105-001 and MDM 2014-0431) and Comunidad de Madrid (MadEco-CM S2015/HUM-3444)

LOCATION OF A MIXALCO PRODUCTION FACILITY WITH RESPECT TO ECONOMIC VIABILITY

Monte-Carlo simulation modeling is used to perform a feasibility study of alternative locations for a MixAlco production facility. Net present value distributions will be ranked within feasible risk aversion boundaries. If MixAlco is a profitable investment, it would have a major impact on the fuel oxygenate and gasoline markets.Resource /Energy Economics and Policy,

A Unifying Framework for Public Facility Location Problems

This paper, a condensed report of the present state of the work in the Public Facility Task (formerly the Normative Location Modeling Task) at IIASA has three main aims: first, to build a general framework for location problems; second, to use this framework to unify existing location models; and, third, to use the framework to develop new, more general, and more meaningful location models. Suggestions are also given on how to introduce multiple services and multiple time periods in location problems. The multiactivity dynamic location models that this perspective generates is the subject of future research in the Public Facility Location Task. The first part of the paper gives a nontechnical description of the proposed general framework for analyzing location problems. The second part describes mathematical models for static, single-service, facility location problems and their possible extensions and Improvements

Seasonal quasi-vector autoregressive models for macroeconomic data

We introduce the Seasonal-QVAR (quasi-vector autoregressive) model for world crude oil production and global real economic activity that identifies the hidden seasonality not found in linear VAR and VARMA models. World crude oil production has an annual seasonality component, and global real economic activity as measured by ocean freight rates has a six-month seasonality component.Seasonal-QVAR is a dynamic conditional score (DCS) model for the multivariate t distribution.Seasonal-VARMA and Seasonal-VAR are special cases of Seasonal-QVAR, this latter being superior to the two former models and also superior to the basic structural model with local level and stochastic seasonality componentsWe are thankful to Luc Bauwens, Matthew Copley, Eric Ghysels, Joachim Grammig, Andrew Harvey, Eric Renault, Genaro Sucarrat and GESG seminar participants at Universidad Francisco Marroquín (December 7, 2017) for all help, comments and suggestions. Szabolcs Blazsek and Adrian Licht acknowledge funding from Universidad Francisco Marroquín. Alvaro Escribano acknowledges funding from Ministerio de Economía, Industria y Competitividad (ECO2016-00105-001 and MDM 2014-0431), and Comunidad de Madrid (MadEco-CM S2015/HUM-3444)

Spatial approaches to information search

Searching for information is a ubiquitous activity, performed in a variety of contexts and supported by rapidly evolving technologies. As a process, information search often has a spatial aspect: spatial metaphors help users refer to abstract contents, and geo-referenced information grounds entities in physical space. While information search is a major research topic in computer science, GIScience and cognitive psychology, this intrinsic spatiality has not received enough attention. This article reviews research opportunities at the crossroad of three research strands, which are (1) computational, (2) geospatial, and (3) cognitive. The articles in this special issue focus on interface design for spatio-temporal information, on the search for qualitative spatial configurations, and on a big-data analysis of the spatial relation “near”

Scales in space

Economists have devoted more attention to the scale of time than to the scale of space. What has been done in the field of space is often general and abstract, not connected to an explicit observation set in time and space. Moreover, time scales and spatial scales are not tied, making the choice for a macro, meso or microeconomic theory a rather arbitrary process. We devote attention to the explanation of the phenomenon of emerging spatial structures. We will discuss the standard economic theories that describe the underlying processes and argue that by being more explicit about spatial scales explanatory power is added to current theoretical work

Justice and efficiency: Managing the value conflict

DINÂMIA, Dezembro de 2007.Presently, in Portugal, there is an incomplete network of “Julgados de Paz” (small claims courts). The government is committed to extending the network throughout the country. The goal of extending the network is constrained by budgetary considerations. Out of those constraints a conflict between the right to justice and efficiency emerges. In this paper an approach is advanced to help manage this value conflict between justice and efficiency in setting up criteria for the extension of the network of “Julgados de Paz”.À présent, au Portugal, le réseau des “Julgados de Paz” (Juges de Proximité) reste incomplet. Le gouvernement veut étendre le réseau à l’ensemble du territoire national. Cet objectif est limité par des contraintes budgétaires. De là découle une tension entre le droit à la justice et la poursuite de l’efficience. Dans cet exposé nous proposons une approche qui pourrait aider à répondre au besoin de gérer le conflit entre justice et efficience dans l’élaboration de critères pour l’extension du réseau de “Julgados de Paz” au territoire du Portugal.FC

Supply chain network design for the diffusion of a new product

Supply Chain Network Design (SCND) deals with the determination of the physical configuration and infrastructures of the supply chain. Specifically, facility location is one of the most critical decisions: transportation, inventory and information sharing decisions can be readily re-optimized in response to changes in the context, while facility location is often fixed and difficult to change even in the medium term. On top of this, when designing a supply network to support a new product diffusion (NPD), the problem becomes both dynamic and stochastic. While literature concentrated on approaching SCND for NPD separately coping with dynamic and stochastic issues, we propose an integrated optimisation model, which allows warehouse positioning decisions in concert with the demand dynamics during the diffusion stage of an innovative product/service. A stochastic dynamic model, which integrates a Stochastic Bass Model (SBM) in order to better describe and capture demand dynamics, is presented. A myopic policy is elaborated in order to solve and validate on the data of a real case of SCND with 1,400 potential market points and 28 alternatives for logistics platforms