Out-of-sample comparison of copula specifications in multivariate density forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted likelihood or censored normal likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Our novel partial likelihood-based scoring rules do not suffer from this problem, as illustrated by means of Monte Carlo simulations and an empirical application to daily S\&P 500 index returns.

Forecasting aggregates using panels of nonlinear time series

Macroeconomic time series such as total unemployment or total industrial production concern data which are aggregated across regions, sectors, or age categories. In this paper we examine if forecasts for these aggregates can be improved by considering panel models for the disaggregate series. As many macroeconomic variables have nonlinear properties, we specifically focus on panels of nonlinear time series. We discuss the representation of such models, parameter estimation and a method to generate forecasts. We illustrate the usefulness of our approach for simulated data and for the US coincident index, making use of state-specific component series.business cycle;panel of time series;nonlinearity;multi-level models;data aggregation

The AdMit Package

This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and it provides an efficient sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids the time-consuming anddifficult task of tuning a sampling algorithm. To illustrate the use of the package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use of the functions provided by the package and document the ability and relevance of the methodology to reproduce the shape of non-elliptical distributions.importance sampling;R software;Bayesian;adaptive mixture;student-t distribution;independence chain Metropolis-Hasting algorithm

Cooperating if one’s Goals are Collective-Based: Social Identification Effects in Social Dilemmas as a Function of Goal-Transformation

Prior studies of the effect of group identification on cooperation in social dilemmas have advanced two competing accounts of this effect, the goal-transformation hypothesis, which holds that identification implies a sense of collective self, which makes personal and collective goals interchangeable, and the goal-amplification hypothesis, which states that identification induces positive expectations about others’ cooperative behavior. These prior studies have, however, neglected to assess the process measures necessary to pit the one account against the other. Following prior research, the present study showed that the effect of identification was moderated by participants’ social value orientation (i.e., individual differences in evaluating the importance of outcomes for self and other) in such a way that identification influenced proselfs’ cooperation more than prosocials’ cooperation. This suggests that the consequence of group identification is that collective goals become personal goals. Extending earlier recent research, mediational analyses showed that the effect of our identification manipulation was mediated by participants’ sense of collective self and not by their expectations. Taken together, these results provide strong support in favor of the goal-transformation hypothesis.Goal-amplification hypothesis;Goal-transformation hypothesis

Trackways in the Stormberg

Main articleVertebrate trackways in the lower groups of the Karoo Supergroup are mainly pre- Beaufort fish trails, although some tetrapod trackways are known (Griffiths, 1963, p. 292; plate I; specimens in the South African Museum). Recently fish trails have been discovered in the Beaufort, for instance at Kilburn and Wagondrift, but the Beaufort, despite its rich amphibian, reptilian and synapsid fauna, is remarkable for the paucity of its vertebrate trackways. Of the Stormberg (of Lesotho) it was early noted "Fossils are comparatively rare, but reptile tracks are fairly abundant"Non

Simulation based Bayesian econometric inference: principles and some recent computational advances

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian inference. Next, the most popular and well-known simulation techniques are discussed, the MetropolisHastings algorithm and Gibbs sampling (being the most popular Markov chain Monte Carlo methods) and importance sampling. After that, we discuss two recently developed sampling methods: adaptive radial based direction sampling [ARDS], which makes use of a transformation to radial coordinates, and neural network sampling, which makes use of a neural network approximation to the posterior distribution of interest. Both methods are especially useful in cases where the posterior distribution is not well-behaved, in the sense of having highly non-elliptical shapes. The simulation techniques are illustrated in several example models, such as a model for the real US GNP and models for binary data of a US recession indicator.

Insect faunas of South Africa from the upper permian and the Permian/Triassic boundary

Main articleThose sites in South Africa where more than one insect fossil specimen has been found have been interpreted as younger than Middle Triassic or as Late Permian. One site which has yielded a number of specimens and is apparently near the Permian/Triassic boundary is a quarry in the town of Bulwer KwaZulu-Natai. There are six sites with more than one insect specimen which are stratigraphically lower than Bulwer, namely Escourt (a new site), Far End, Mooi River (National Road), Mount West, Balgowan and Lidgetton. According to the 1984 1: 1 000 000 Geological Map of South em Africa Bulwer is situated in the Tarkastad Subgroup of the Beaufort Group near its lower boundary; the Tarkastad has been considered as Triassic. The remaining sites, except Balgowan and Lidgetton, fall in the Estcourt Formation of the Beaufort Group, as do all the sites with single Late Permian specimens except for one similarly aged specimen from the more easterly Emakwezeni Formation. The stratigraphically lowest sites are Lidgetton and slightly younger Balgowan; both are mapped as VoIksrust Formation of the Ecca Group. An analysis is made of vertical distribution of taxa, with those of Lidgetton and Balgowan grouped together as a lower unit, of Bulwer as upper unit, and of the Estcourt Formation sites and Emakwezini site as a middle unit. No obvious break between the three units has been noted.Non

African fossil Lissamphibia

Main articleThe Anura (Frogs and Toads) are represented in Africa and associated regions by fossils of every epoch from the Cretaceous to the Holocene. Pipid frogs of African affinity are known from the Early Cretaceous of Israel and Later Cretaceous of South America and Africa; those of Israel and South America have been well-studied, but only one from Africa has been: Eoxenopoides reuningi from Namaqualand. Two well-studied Palaeocene frogs of South America, Shelania pascuali and Xenopus romeri, have affinities with the African pipids. Apart from a Miocene assemblage from North Africa (including pipids, which are now exclusively sub-Saharan) and one species from Namibia, Xenopus stromeri, the fossil African anurans remain largely unstudied. Deposits in which the African anuran fossils occur represent crater lakes, other lacustrine deposits, including lacustrine tuffs, river terraces, deltas, estuarine/lagoon zones, karst landscapes and archaeological sites; data are not available for several of the recorded fossils. No fossils in Africa appear to have been definitely ascribed to the Urodela or Caecilia.Non

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