6,395 research outputs found
The dynamics of iterated transportation simulations
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
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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