6,395 research outputs found

    The dynamics of iterated transportation simulations

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    Iterating between a router and a traffic micro-simulation is an increasibly accepted method for doing traffic assignment. This paper, after pointing out that the analytical theory of simulation-based assignment to-date is insufficient for some practical cases, presents results of simulation studies from a real world study. Specifically, we look into the issues of uniqueness, variability, and robustness and validation. Regarding uniqueness, despite some cautionary notes from a theoretical point of view, we find no indication of ``meta-stable'' states for the iterations. Variability however is considerable. By variability we mean the variation of the simulation of a given plan set by just changing the random seed. We show then results from three different micro-simulations under the same iteration scenario in order to test for the robustness of the results under different implementations. We find the results encouraging, also when comparing to reality and with a traditional assignment result. Keywords: dynamic traffic assignment (DTA); traffic micro-simulation; TRANSIMS; large-scale simulations; urban planningComment: 24 pages, 7 figure

    Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators

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    We propose a simple but effective estimation procedure to extract the level and the volatility dynamics of a latent macroeconomic factor from a panel of observable indicators. Our approach is based on a multivariate conditionally heteroskedastic exact factor model that can take into account the heteroskedasticity feature shown by most macroeconomic variables and relies on an iterated Kalman filter procedure. In simulations we show the unbiasedness of the proposed estimator and its superiority to different approaches introduced in the literature. Simulation results are confirmed in applications to real inflation data with the goal of forecasting long-term bond risk premia. Moreover, we find that the extracted level and conditional variance of the latent factor for inflation are strongly related to NBER business cycles.Macroeconomic variables; Exact factor model; Kalman filter; Heteroskedasticity; Forecasting bond risk premia; Inflation measures; Business cycles
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