Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton

This paper proposes two innovative algorithms to estimate a general class of N-state Markov-switching autoregressive moving-average (MS-ARMA) models with a sample of size T. To resolve the problem of NT possible routes induced by the presence of MA parameters, the first algorithm is built on Hamilton’s (1989) method and Gray’s (1996) idea of replacing the lagged error terms with their corresponding conditional expectations. We thus name it as the Hamilton-Gray (HG) algorithm. The second method refines the HG algorithm by recursively updating the conditional expectations of these errors and is named as the extended Hamilton-Gray (EHG) algorithm. The computational cost of both algorithms is very mild, because the implementation of these algorithms is very much similar to that of Hamilton (1989). The simulations show that the finite sample performance of the EHG algorithm is very satisfactory and is much better than that of the HG counterpart. We also apply the EHG algorithm to the issues of dating U.S. business cycles with the same real GNP data employed in Hamilton (1989). The turning points identified with the EHG algorithm resemble closely to those of the NBER’s Business Cycle Dating Committee and confirm the robustness of the findings in Hamilton (1989) about the effectiveness of Markov-switching models in dating U.S. business cycles.Markov-switching, ARMA process

Numerical Modeling Of Dissimilatory Iron Reduction In Sediments At A Field Site

The primary purpose of this study is to identify the \u27universal\u27 rate formulations with scaled-dependent parameters for the biological reduction of hematite. Three possible rate formulations were proposed to describe the bioreduction rate of hematite, and two kinds of simulation were conducted to validate the formulations and parameters with both batch and column experimental data: a reaction-based biogeochemical (batch) modeling with BIOGEOCHEM 1.0 and a reactive biogeochemical transport (column) modeling via HYDROGEOCHEM 4.0. Based on the results of simulations, only the dual Monod kinetic with inhibition rate formulation with respect to the concentrations of lactate, ßFeOOH, and Fe2+ under certain initial concentration of dissimilatory metal-reducing bacterium could fit the experimental data well. Our results also revealed that the equilibrium reaction rate for the surface hydration of hematite may have to be substituted with the kinetic rate formulation

An asymmetrical synchrotron model for knots in the 3C 273 jet

To interpret the emission of knots in the 3C 273 jet from radio to X-rays, we propose a synchrotron model in which, owing to the shock compression effect, the injection spectra from a shock into the upstream and downstream emission regions are asymmetric. Our model could well explain the spectral energy distributions of knots in the 3C 273 jet, and predictions regarding the knots spectra could be tested by future observations.Comment: 9 pages, 1 figure, 1 table, new version accepted for publication in Ap

The loop corrections to the parity-violating electron-proton elastic scattering

We calculate the two-boson-exchange (TBE) corrections to the parity asymmetry of the elastic electron-proton scattering in a model using the formalism of generalized parton distributions (GPDs).Comment: 7 pages, talk given at "Particle Physics, Astrophysics and Quantum Field Theory, 75 years since Solvay" 27th-29th Nov, 2008, Singapor