1,896 research outputs found
Idl Signal Processing Library 1.0
We make available a library of documented IDL .pro files as well as a
shareable object library that allows IDL to call routines from LAPACK. The
routines are for use in the spectral analysis of time series data. The primary
focus of these routines are David Thomson's multitaper methods but a whole
range of functions will be made available in future revisions of the
submission. At present routines are provided to carry out the following
operations: calculate prolate spheroidal sequences and eigenvalues, project
time-series into frequency bands, calculate spectral estimates with or without
moving windows, and calculate the cross-coherence between two time series as a
function of frequency as well as the coherence between frequencies for a single
time series.Comment: 13 IDL .pro files, 1 .html file, 1 .ps file, 1 license file. Download
the source for the IDL files (save as .tar.gz) Read idl_lib.ps for
instructions on use. Originally submitted to the neuro-sys archive which was
never publicly announced (was 9801001
Evaluation of moments of ratios of quadratic forms in normal variables and related statistics
The bias of forecasts from a first-order autoregression (Revised version)
Economics;Forecasting Techniques
Macroeconometric Modelling with a Global Perspective
This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables to their foreign counterparts and then consistently combined to form a Global VAR (GVAR). It is shown that VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where over-identifying long-run theoretical relations can be tested and imposed if acceptable. Similarly, short-run over-identifying theoretical restrictions can be tested and imposed if accepted. The assumption of the weak exogeneity of the foreign variables for the long-run parameters can be tested, where foreign variables can be interpreted as proxies for global factors. Rather than using deviations from ad hoc statistical trends, the equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated
The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Evaluation of moments of ratios of quadratic forms in normal variables and related statistics
The evaluation of cumulants and moments of quadratic forms in normal variables (CUM):Technical description
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