Efficient posterior simulation in cointegration models with priors on the cointegration space

A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identi…ed choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior. Furthermore, we develop a collapsed Gibbs sampling algorithm to carry out e¢ cient posterior simulation in cointegration models. The computational advantages of our algorithm are most pronounced with our model, since the form of our prior precludes simple posterior simulation using conventional methods (e.g. a Gibbs sampler involves non-standard posterior conditionals). However, the theory we draw upon implies our algorithm will be more e¢ cient even than the posterior simulation methods which are used with identi…ed versions of cointegration models

Bayesian inference in the time varying cointegration model

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop time varying parameter models which permit coin- tegration. Time-varying parameter VARs (TVP-VARs) typically use state space representations to model the evolution of parameters. In this paper, we show that it is not sensible to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a speci…cation which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving a permanent/transitory variance decomposition for inflation

Bayesian inference in a cointegrating panel data model

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic components are allowed to vary over cross-sectional units. In addition to a noninformative prior, we introduce an informative prior which allows for information about the likely location of the cointegration space and about the degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed which allows for efficient posterior inference. Our methods are illustrated using real and artificial data

On the evolution of monetary policy

This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against in‡ation) or whether apparent changes are simply due to changes in the volatility of exogenous shocks. A subsidiary question is whether any such changes have been gradual or abrupt. In this paper, we shed light on these issues using a mixture innovation model which extends the class of time varying Vector Autoregressive models with stochastic volatility which have been used in the past. The advantage of our extension is that it allows us to estimate whether, where, when and how parameter change is occurring (as opposed to assuming a particular form of parameter change). Our empirical results strongly indicate that the transmission mechanism, the volatility of exogenous shocks and the correlations between exogenous shocks are all changing (albeit at different times and to di¤erent extents) Furthermore, evolution of parameters is gradual

Non perturbative determination of the running coupling constant in quenched SU(2)

Through a finite size renormalization group technique we calculate the running coupling constant for quenched SU(2) with a few percent error over a range of energy varying by a factor thirty. The definition is based on ratio of correlations of Polyakov loops with twisted boundary conditions. The extrapolation to the continuum limit is governed by corrections due to lattice artifacts which are proportional to the square of the lattice spacing and appears rather smooth.Comment: 18 pages of ps fil

Influence of COVID-19 confinement in students’ performance in higher education

Documento procedente de EdArXiv Preprints , se deposita en Biblos-e Archivo versión 2 de 7 Mayo de 2020This study explores the effects of COVID-19 confinement in the students’ performance in higher education. Using a field experiment of 458 students from three different subjects in Universidad Autónoma de Madrid (Spain), we study the differences in assessments by dividing students into two groups. The first group (control) corresponds to academic years 2017/2018 and 2018/2019. The second group (experimental) corresponds to students from 2019/2020, which is the group of students that interrupted their face-to-face activities because of the confinement. The results show that there is a significant positive effect of the COVID-19 confinement on students’ performance. This effect is also significative in activities that did not change their format when performed after the confinement. We find that this effect is significative both in subjects that increased the number of assessment activities and subjects that did not change the workload of students. Additionally, an analysis of students’ learning strategies before confinement shows that students did not study on a continuous basis. Based on these results, we conclude that COVID-19 confinement changed students’ learning strategies to a more continuous habit, improving their efficiency. For these reasons, better scores in students’ assessment are expected due to COVID-19 confinement that can be explained by an improvement in their learning performanceThis work has been financed by the project Erasmus+ 2017-1-ES01-KA203-038266 Project of the European Union: “Advanced Design of e-Learning Applications Personalizing Teaching to Improve Virtual Education

Supernova Bounds on Majoron-emitting decays of light neutrinos

Neutrino masses arising from the spontaneous violation of ungauged lepton-number are accompanied by a physical Goldstone boson, generically called Majoron. In the high-density supernova medium the effects of Majoron-emitting neutrino decays are important even if they are suppressed in vacuo by small neutrino masses and/or small off-diagonal couplings. We reconsider the influence of these decays on the neutrino signal of supernovae in the light of recent Super-Kamiokande data on solar and atmospheric neutrinos. We find that majoron-neutrino coupling constants in the range 3\times 10^{-7}\lsim g\lsim 2\times 10^{-5} or g \gsim 3 \times 10^{-4} are excluded by the observation of SN1987A. Then we discuss the potential of Superkamiokande and the Sudbury Neutrino Observatory to detect majoron neutrino interactions in the case of a future galactic supernova. We find that these experiments could probe majoron neutrino interactions with improved sensitivity.Comment: 28 pages, 5 figure

Geomagnetic storm dependence on the solar flare class

Content. Solar flares are often used as precursors of geomagnetic storms. In particular, Howard and Tappin (2005) recently published in A&A a dependence between X-ray class of solar flares and Ap and Dst indexes of geomagnetic storms which contradicts to early published results. Aims. We compare published results on flare-storm dependences and discuss possible sources of the discrepancy. Methods. We analyze following sources of difference: (1) different intervals of observations, (2) different statistics and (3) different methods of event identification and comparison. Results. Our analysis shows that magnitude of geomagnetic storms is likely to be independent on X-ray class of solar flares.Comment: 3 pages, 1 tabl

Spin-dynamics simulations of the triangular antiferromagnetic XY model

Using Monte Carlo and spin-dynamics methods, we have investigated the dynamic behavior of the classical, antiferromagnetic XY model on a triangular lattice with linear sizes $L \leq 300$. The temporal evolutions of spin configurations were obtained by solving numerically the coupled equations of motion for each spin using fourth-order Suzuki-Trotter decompositions of exponential operators. From space- and time-displaced spin-spin correlation functions and their space-time Fourier transforms we obtained the dynamic structure factor $S({\bf q},w)$ for momentum ${\bf q}$ and frequency $\omega$. Below $T_{KT}$(Kosterlitz-Thouless transition), both the in-plane ($S^{xx}$) and the out-of-plane ($S^{zz}$) components of $S({\bf q},\omega)$ exhibit very strong and sharp spin-wave peaks. Well above $T_{KT}$, $S^{xx}$ and $S^{zz}$ apparently display a central peak, and spin-wave signatures are still seen in $S^{zz}$. In addition, we also observed an almost dispersionless domain-wall peak at high $\omega$ below $T_{c}$(Ising transition), where long-range order appears in the staggered chirality. Above $T_{c}$, the domain-wall peak disappears for all $q$. The lineshape of these peaks is captured reasonably well by a Lorentzian form. Using a dynamic finite-size scaling theory, we determined the dynamic critical exponent $z$ = 1.002(3). We found that our results demonstrate the consistency of the dynamic finite-size scaling theory for the characteristic frequeny $\omega_{m}$ and the dynamic structure factor $S({\bf q},\omega)$ itself.Comment: 8 pages, RevTex, 10 figures, submitted to PR

Potential for Precision Measurement of Solar Neutrino Luminosity by HERON

Results are presented for a simulation carried out to test the precision with which a detector design (HERON) based on a superfluid helium target material should be able to measure the solar pp and Be7 fluxes. It is found that precisions of +/- 1.68% and +/- 2.97% for pp and Be7 fluxes, respectively, should be achievable in a 5-year data sample. The physics motivation to aim for these precisions is outlined as are the detector design, the methods used in the simulation and sensitivity to solar orbit eccentricity.Comment: 15 pages, 11 figure