Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be characterized by low dimensional noisy chaos.

Behavioral Heterogeneity in Stock Prices

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An evolutionary selection mechanism based on relative past profits governs the dynamics of the fractions and switching of agents between different beliefs or forecasting strategies. A strategy attracts more agents if it performed relatively well in the recent past compared to other strategies. We estimate the model to annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes, and a bootstrap F-test rejects linearity in favor of our nonlinear two-type heterogeneous agent model. One regime can be characterized as a fundamentalists regime, because agents believe in mean reversion of stock prices toward the benchmark fundamental value. The second regime can be characterized as a chartist, trend following regime because agents expect the deviations from the fundamental to trend. The fractions of agents using the fundamentalists and trend following forecasting rules show substantial time variation and switching between predictors. The model offers an explanation for the recent stock prices run-up. Before the 90s the trend following regime was active only occasionally. However, in the late 90s the trend following regime persisted and created an extraordinary deviation of stock prices from the fundamentals. Recently, the activation of the mean reversion regime has contributed to drive stock prices back closer to their fundamental valuation.

Getting grip on complex water issues? : a case study: Rotterdam Mainport, Appropriate Assessment Wadden Sea

In Dutch water systems many human interventions are carried out. These interventions are designed to achieve management goals, like increase protection against flooding, improve environmental quality and/or stimulate the national economy. Decision-makers involved in these kinds of plans have to deal with ecological effects, physical effects, economic costs and benefits and technical feasibility. Furthermore, they operate within a complex web of interactions between policy, regulations, and social and political processes. This PhD-project aims at assisting decision-makers in constructing assessments of the impact of future human interventions in water systems

Knowledge and perceptions in participatory policy processes: lessons from the delta-region in the Netherlands

Water resources management issues tend to affect a variety of uses and users. Therefore, they often exhibit complex and unstructured problems. The complex, unstructured nature of these problems originates from uncertain knowledge and from the existence of divergent perceptions among various actors. Consequently, dealing with these problems is not just a knowledge problem; it is a problem of ambiguity too. This paper focuses on a complex, unstructured water resources management issue, the sustainable development—for ecology, economy and society—of the Delta-region of the Netherlands. In several areas in this region the ecological quality decreased due to hydraulic constructions for storm water safety, the Delta Works. To improve the ecological quality, the Dutch government regards the re-establishment of estuarine dynamics in the area as the most important solution. However, re-establishment of estuarine dynamics will affect other uses and other users. Among the affected users are farmers in the surrounding areas, who use freshwater from a lake for agricultural purposes. This problem has been addressed in a participatory decision-making process, which is used as a case study in this paper. We investigate how the dynamics in actors’ perceptions and the knowledge base contribute to the development of agreed upon and valid knowledge about the problem–solution combination, using our conceptual framework for problem structuring. We found that different knowledge sources—expert and practical knowledge—should be integrated to create a context-specific knowledge base, which is scientifically valid and socially robust. Furthermore, we conclude that for the convergence of actors’ perceptions, it is essential that actors learn about the content of the process (cognitive learning) and about the network in which they are involved (strategic learning). Our findings form a plea for practitioners in water resources management to adopt a problem structuring approach in order to deal explicitly with uncertainty and ambiguity

Economic Forecasting with an Agent-Based Model

We develop the first agent-based model (ABM) that can compete with benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national and sector accounts, input-output tables, government statistics, census and business demography data. The model incorporates all economic activities as classified by the European System of Accounts as heterogeneous agents. The detailed structure of the ABM allows for a breakdown into sector level forecasts. Potential applications of the model include stress-testing and predicting the effects of changes in monetary, fiscal, or other macroeconomic policies

Safety aspects of infliximab in inflammatory bowel disease patients - A retrospective cohort study in 100 patients of a German University Hospital

Background: Infliximab, a chimeric anti-tumour necrosis factor monoclonal antibody with potent anti-inflammatory effects, represents an effective treatment option in patients with severe inflammatory bowel disease (IBD). Serious side-effects of such an immunomodulating therapy are speculated and therefore we reviewed our clinical experience in a retrospective safety study looking upon a single cohort of 100 IBD patients from a large German University Hospital. Methods: 100 patients with severe Crohn's disease (n = 92), ulcerative colitis (n = 7) or indeterminate colitis (n = 1) treated with infliximab (5 mg/kg) from January 2000 to December 2003 were retrospectively analysed for acute and subacute adverse events by chart review. Results: Overall, infliximab therapy was generally well tolerated. No fatal complications, malignancies, autoimmune diseases, neurologic or cardiovascular complications were observed in the cohort during the study period. Overall, adverse events were observed in 10 patients: 2 patients showed an acute infusion reaction, 1 patient a serum sickness-like reaction, in 4 patients a bacterial or viral infection occurred, in 1 patient pancytopenia and 2 patients developed surgical complications. Only 6 patients with adverse events required admission to hospital. A case of tuberculosis after infliximab was not found. The lack of adverse side-effects was associated with young median age and infrequent comorbidities of the cohort. Conclusion: Regarding its strong immunomodulating capacity, infliximab appears to be an efficient and relatively safe therapeutic option for patients with severe IBD. However, the use of infliximab requires careful screening and close patient monitoring to identify patients at risk and the infrequent, but sometimes serious complications of infliximab. Copyright (C) 2004 S. Karger AG, Basel