The derivatives of complex characteristic roots in the econometric modelling textbook of Kuh et al.

Characteristic roots, or eigenvalues, are a useful tool in the study of linear dynamic economic models. The relation between the roots and the model coefficients are expressed in the derivatives of the former with respect to the latter. In general, the roots are complex numbers. This note discusses the derivatives of both the modulus and the cycle time of the complex roots. An important reference on this subject is Kuh et al. (1985) [hereafter: KNH]. Below it is shown that KNH discusses these derivatives unsatisfactory. In the next two sections the model and the derivatives of the roots are given. Section 4 presents the formulas for the derivatives of the modulus and the cycle time of complex roots. The substance of the paper is section 5, with a critical comment on the discussion of these derivatives in KNH. The last section gives a short conclusion. �

Continuous-time modelling in econometrics and engineering - juli 2002

This paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature. In the engineering literature this same analogon is defined, using other names and other notation. Here warnings can be found against the estimation of fast models. The engineering literature is ignored in the econometric literature.

Modelling the reporting discrepancies in bilateral data

This paper is about the discrepancies in reported bilateral statistical data ("mirror data"). For example the trade from country A to country B is not reported the same in the two countries. The discrepancies are used to estimate the accuracy of the reporters. The estimated accuracies are to be used to compute optimal combinations of mirror data. Two models of the discrepancies are presented: (a) unbiased reporting with inaccurate reporters having a large variance, and (b) biased reporting with inaccurate reporters having a large bias (either positive or negative). Estimation methods are least squares regression and maximum likelihood. A numerical illustration is given, using data of the international trade in services. It is shown how to judge the two models empirically. For an updated�version, see CPB Discussion Paper 216 .�

Arithmetic and geometric mean rates of return in discrete time

This memorandum presents some basic equalities and inequalities about rates of return in discrete time, without auto-correlation. The arithmetic and geometric means are discussed. Estimation of the expected payout and the median payout is discussed, including maximum likelihood estimation.

Hourglass models of world-wide problems such as climate change

A simple model of “hourglass†problems is presented. For such problems, the benefit of a national policy measure is propagated to all countries through one single world-wide variable. The prime example is the effect of the reduction of CO 2 emission on the world climate. Five optimal solutions are given, for various situations and points of view, followed by a comparison with the outcome of permit trading.

The Elmar model: output and capacity in imperfectly competitive electricity markets

With the ongoing liberalization and integration of European energy markets and the increasing worries about security of supply, the need for thorough economic analysis of electricity markets is growing. Elmar is a model for the European electricity market, taking into account imperfect competition through conjectural variations, as well as imperfect international competition due to import capacity restrictions. The model distinguishes between competition on the output market and competition in capacity investments. We find that the least competitive of these determines wholesale prices.

The quality of bilateral services trade data: contribution to GTAP7 database

This paper has two aims. First, it describes CPB's contribution on bilateral services trade data to version 7 of the GTAP database. Among others, it uses reliability indices to determine the quality of the data reported by exporting and importing countries. Second, this paper discusses briefly some alternative methods to make a choice between two available reporting data for the same bilateral flow. The results can be downloaded from the accompanying spreadsheet.

Gas exploration and production at the Dutch continental shelf: an assessment of the 'Depreciation at Will'.

This report analyses the effects of Depreciation at Will (DAW) on offshore gas production, government budget and employment in the gas industry. The DAW enables firms to accelerate deprecation of investments in platforms and other offshore equipment. The interest advantage due to the postponed payments of taxes raises the profitability of investment projects and, hence, could raise the level of investments. The key question in the debate on the DAW is whether the higher tax base compensates for the interest losses due to postponed tax receipts. The econometric analysis has shown that the DAW increased only the number of development drillings during the period this measure was implemented (1996-2002). A moving long-run average of the oil price has appeared to be a significantly explaining variable behind the level of exploration drillings as well as development drillings. Using the current value of that oil price, 25 dollar per barrel, we find a large number of profitable exploration projects. In the current circumstances, introduction of the DAW will not raise the level of investments in the near future, as several non-financial factors appear to be bottlenecks, such as the duration of licensing procedures. The econometric analysis is also published in A. ten Cate en M. Mulder, 2007, "Impact of the oil price and fiscal facilities on offshore mining at the Dutch Continental Shelf", Energy Policy , vol 35, pp 5601-5613.

Beneficial effects of conversion from cyclosporine to azathioprine on fibrinolysis in renal transplant recipients

Cyclosporin A (CsA) has been implicated as one of the factors contributing to the high cardiovascular morbidity and mortality after renal transplantation. This may be mediated by either a high prevalence of conventional risk factors for atherosclerosis, such as hypertension, hypercholesterolemia, and diabetes mellitus, or by impairment of the fibrinolytic activity evoked by CsA, possibly through interference with prostanoid metabolism. We therefore assessed the impact of conversion of CsA to azathioprine immunosuppressive treatment on parameters of fibrinolytic activity and plasma concentration of the prostanoids prostaglandin E2 and thromboxane B2 in 18 stable renal transplant recipients. During CsA, mean arterial pressure and serum creatinine were significantly higher than during azathioprine (116+/-15 mm Hg versus 106+/-13 mm Hg, P=0.0003; and 147+/-34 micromol/L versus 127+/-35 micromol/L, P=0.002; mean+/-SD). On conversion, the plasma tissue plasminogen activator activity increased from 1.2 (1.1 to 1.7; median, 95% CI) to 1.8 (1.6 to 2.0) IU/mL (P=0.011), without a significant change of the plasminogen activator antigen concentration. This was associated with a substantial decrease in plasminogen activator inhibitor-1 activity from 10.4 (8.5 to 16.7) to 6.4 (5.6 to 9.2) IU/mL (P=0.009). Furthermore, plasma levels of prostaglandin E2 and thromboxane B2 markedly decreased (from 9.7 [7.4 to 12.9] to 4.6 [4.3 to 8.1] pg/mL, P=0.0006; and from 106.1 [91.7 to 214.2] to 70.2 [50.3 to 85.6] pg/mL, P=0.002, respectively). During CsA, but not azathioprine, plasma tissue plasminogen activator antigen and plasminogen activator inhibitor-1 levels correlated significantly with prostaglandin E2 (r=0.53, P=0.02; and r=0.60, P=0.008, respectively), and thromboxane B2 (r=0.75, P=0.0001; and r=0.77, P=0.0001, respectively) levels. In conclusion, CsA induced substantial impairment of fibrinolytic activity, which recovered after conversion to azathioprine. The impaired fibrinolysis observed during CsA treatment may be caused by modulation of eicosanoid production or metabolism in vascular endothelial cells and possibly contributes to the high incidence of cardiovascular disease after kidney transplantation

Left ventricular deformation and myocardial fibrosis in pediatric patients with Duchenne muscular dystrophy

Background: Left ventricular (LV) strain and rotation are emerging functional markers for early detection of LV dysfunction and have been associated with the burden of myocardial fibrosis in several disease states. This study examined the association between LV deformation (i.e., LV strain and rotation) and extent and location of LV myocardial fibrosis in pediatric patients with Duchenne muscular dystrophy (DMD). Methods and results: 34 pediatric patients with DMD underwent cardiovascular magnetic resonance (CMR) with late gadolinium enhancement (LGE) to assess LV myocardial fibrosis. Offline CMR feature-tracking analysis was used to assess global and segmental longitudinal and circumferential LV strain, and LV rotation. Patients with fibrosis (n = 18, 52.9%) were older than those without fibrosis (14 ± 3 years (yrs) vs 11 ± 2 yrs., p = 0.01). There was no significant difference in LV ejection fraction (LVEF) between subjects with and without fibrosis (54 ± 6% vs 56 ± 4%, p = 0.18). However, lower endocardial global circumferential strain (GCS), but not LV rotation, was associated with presence of fibrosis (adjusted Odds Ratio 1.25 [95% CI 1.01–1.56], p = 0.04). Both GCS and global longitudinal strain correlated with the extent of fibrosis (r =.52, p = 0.03 and r =.75, p &lt; 0.01, respectively). Importantly, segmental strain did not seem to correspond to location of fibrosis. Conclusion: A lower global, but not segmental, strain is associated with presence and extent of LV myocardial fibrosis in pediatric DMD patients. Therefore, strain parameters might detect structural myocardial alterations, however currently more research is needed to evaluate its value (e.g., prognostic) in clinical practice.</p