Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach

Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe inflation and potentially other economic time series data. The Adaptive ARFIMA model includes a time dependent intercept term which follows a Flexible Fourier Form. The model appears to be capable of succesfully dealing with various forms of breaks and discontinities in the conditional mean of a time series. Simulation evidence justifies estimation by approximate MLE and model specfication through robust inference based on QMLE. The Adaptive ARFIMA model when supplemented with conditional variance models is found to provide a good representation of the G7 monthly CPI inflation series.ARFIMA; FIGARCH, long memory, structural change, inflation, G7.

Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying function, speci?ed by Gallant (1984)'s flexible functional form. A Monte Carlo study ?nds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is present, and performs at least as well in the absence of structural instability. An empirical application to stock market volatility is also included to illustrate the usefulness of the technique.FIGARCH, long memory, structural change, stock market volatility.

Leading Twist Amplitudes for Exclusive Neutrino Interactions in the Deeply Virtual Limit

Neutrino scattering on nucleons in the regime of deeply virtual kinematics is studied both in the charged and the neutral electroweak sectors using a formalism developed by Blumlein, Robaschik, Geyer and Collaborators for the analysis of the Virtual Compton amplitude in the generalized Bjorken region. We discuss the structure of the leading twist amplitudes of the process.Comment: 14 pages, 1 fig revised final version to appear in Phys. Rev.

The Welfare Impact of Reducing Choice in Medicare Part D: A Comparison of Two Regulation Strategies

Medicare’s prescription drug benefit (Part D) has been its largest expansion of benefits since 1965. Since the implementation of Part D, many regulatory proposals have been advanced in order to improve this government-created market. Among the most debated are proposals to limit the number of options, in response to concerns that there are “too many” plans. In this paper we study the welfare impact of two feasible approaches (of similar magnitude) toward limiting the number of Part D plans: reducing the maximum number of plans each firm can offer per region and removing plans that provide doughnut hole coverage. To this end, we propose and estimate a model of market equilibrium, which we later use to evaluate the impact of regulating down the number of Part D plans. Our counterfactuals provide an important assessment of the losses to consumers (and producers) resulting from government limitations on choice. These losses must be weighed against the widely discussed expected gains due to reduced search costs from limiting options. We find that the annual search costs should be at least two thirds of the average monthly premium in order to justify a regulation that allows only two plans per firm. However, this number would be substantially lower if the limitation in the number of plans is coupled with a decrease in product differentiation (e.g., by removing plans that cover the doughnut hole). For validation purposes, we also assess the impact of a recent major merger, and find that our model performs very well out of sample.Medicare Part D, regulation, number of plans, product differentiation, discrete choice

Comment on the choice of time in a two-component formulation of the Wheeler--DeWitt equation

The two-component formalism in quantum cosmology is revisited with a particular emphasis on the identification of time. Its relation with the appearance of imaginary eigenvalues is established. It is explicitly shown how a good choice of the global time prevents this peculiarity.Comment: 8 pages; version accepted for publication in Int. J. Mod. Phys.

Armchair graphene nanoribbons: PT-symmetry breaking and exceptional points without dissipation

We consider a single layer graphene nanoribbon with armchair edges in a longitudinally constant external potential and point out that its transport properties can be described by means of an effective non-Hermitian Hamiltonian. We show that this system has some features typical of dissipative systems, namely the presence of exceptional points and of PT-symmetry breaking, although it is not dissipative.Comment: 5 pages, 2 eps figure