2,891 research outputs found
The contribution of structural break models to forecasting macroeconomic series
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving 60 macroeconomic quarterly and monthly time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance.
However, there are also many cases where simple, rolling window based forecasts perform well
A survey of generalized inverses and their use in stochastic modelling
In many stochastic models, in particular Markov chains in discrete or continuous time and Markov
renewal processes, a Markov chain is present either directly or indirectly through some form of
embedding. The analysis of many problems of interest associated with these models, eg. stationary
distributions, moments of first passage time distributions and moments of occupation time random
variables, often concerns the solution of a system of linear equations involving I – P, where P is the
transition matrix of a finite, irreducible, discrete time Markov chain.
Generalized inverses play an important role in the solution of such singular sets of equations. In this
paper we survey the application of generalized inverses to the aforementioned problems. The
presentation will include results concerning the analysis of perturbed systems and the characterization of
types of generalized inverses associated with Markovian kernels
Wireless Network Stability in the SINR Model
We study the stability of wireless networks under stochastic arrival
processes of packets, and design efficient, distributed algorithms that achieve
stability in the SINR (Signal to Interference and Noise Ratio) interference
model.
Specifically, we make the following contributions. We give a distributed
algorithm that achieves -efficiency on all networks
(where is the number of links in the network), for all length monotone,
sub-linear power assignments. For the power control version of the problem, we
give a distributed algorithm with -efficiency (where is the length diversity of the link set).Comment: 10 pages, appeared in SIROCCO'1
Tuning the average path length of complex networks and its influence to the emergent dynamics of the majority-rule model
We show how appropriate rewiring with the aid of Metropolis Monte Carlo
computational experiments can be exploited to create network topologies
possessing prescribed values of the average path length (APL) while keeping the
same connectivity degree and clustering coefficient distributions. Using the
proposed rewiring rules we illustrate how the emergent dynamics of the
celebrated majority-rule model are shaped by the distinct impact of the APL
attesting the need for developing efficient algorithms for tuning such network
characteristics.Comment: 10 figure
Can Sectoral Shifts Generate Persistent Unemployment in Real Business Cycle Models?
This paper extends the standard Real Business Cycle model to incorporate sectoral shifts in unemployment. Using relative sectoral technology and sectoral tastes shocks, combined with labor adjustment costs across sectors, we assess the possibility of generating persistent aggregate unemployment. Calibrated to Canadian data, the models suggest that the introduction of sectoral labor mobility with adjustment costs improves the ability of the standard real business cycle model to match the observed persistence in unemployment. Empirically, we estimated a Vector Auto-Regressive model and successfully matched the models' overshooting of labor. The results suggest that government policies aimed to alleviate the unemployment burden should pay closer attention to sectoral phenomena, specifically to sectoral labor mobility.Real Business Cycle (RBC), Sectoral Shocks, Unemployment Persistence, Vector Auto-Regressive (VAR), Blanchard-Quah (B-Q) Identification
Missing data in multiplex networks: a preliminary study
A basic problem in the analysis of social networks is missing data. When a
network model does not accurately capture all the actors or relationships in
the social system under study, measures computed on the network and ultimately
the final outcomes of the analysis can be severely distorted. For this reason,
researchers in social network analysis have characterised the impact of
different types of missing data on existing network measures. Recently a lot of
attention has been devoted to the study of multiple-network systems, e.g.,
multiplex networks. In these systems missing data has an even more significant
impact on the outcomes of the analyses. However, to the best of our knowledge,
no study has focused on this problem yet. This work is a first step in the
direction of understanding the impact of missing data in multiple networks. We
first discuss the main reasons for missingness in these systems, then we
explore the relation between various types of missing information and their
effect on network properties. We provide initial experimental evidence based on
both real and synthetic data.Comment: 7 page
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