A Multivariate Band-Pass Filter

We develop a multivariate filter which is an optimal (in the mean squared error sense) approximation to the ideal filter that isolates a specified range of fluctuations in a time series, e.g., business cycle fluctuations in macroeconomic time series. This requires knowledge of the true second-order moments of the data. Otherwise these can be estimated and we show empirically that the method still leads to relevant improvements of the extracted signal, especially in the endpoints of the sample. Our filter is an extension of the univariate filter developed by Christiano and Fitzgerald (2003). Specifically, we allow an arbitrary number of covariates to be employed in the estimation of the signal. We illustrate the application of the filter by constructing a business cycle indicator for the U.S. economy. The filter can additionally be used in any similar signal extraction problem demanding accurate real-time estimates.

A Multivariate Band-Pass Filter

We develop a multivariate filter which is an optimal (in the mean squared error sense) approximation to the ideal filter that isolates a specified range of fluctuations in a time series, e.g., business cycle fluctuations in macroeconomic time series. This requires knowledge of the true second-order moments of the data. Otherwise these can be estimated and we show empirically that the method still leads to relevant improvements of the extracted signal, especially in the endpoints of the sample. Our filter is an extension of the univariate filter developed by Christiano and Fitzgerald (2003). Specifically, we allow an arbitrary number of covariates to be employed in the estimation of the signal. We illustrate the application of the filter by constructing a business cycle indicator for the U.S. economy. The filter can additionally be used in any similar signal extraction problem demanding accurate real-time estimates.

Environmental Regulation and Technological Innovation with Spillovers

We present a two-period dynamic model of standard setting under asymmetric information to model the attempts by the Califormia Air Resources Board (CARB) in getting car manufacturers to comply with its phase-in of stringent emissions standards. After CARB chooses an initial emissions standard that ?rms are required to comply with, automakers respond by choosing R&D investment and production levels which provide CARB an imperfect signal whether they are more or less capable of complying with the standard. CARB resets the environmental standard and the ?rms once again choose research and production levels. Firms are Cournot duopolists in the product market and can choose to do research noncooperatively or cooperatively in the presence of spillovers. We show that ?rms will behave strategically and underinvest in research both under competitive and cooperative R&D, though the level of underinvestment — the ratchet effect — is greater under cooperative R&D when spillovers are large. We uncover a fundamental con?ict between the incentives of ?rms to do cooperative research and social welfare: that ?rms will want to engage in cooperative (resp. noncooperative) R&D only when spillovers are low (resp. high) while social welfare is greater under noncooperative (resp. cooperative) research.Car emissions; dynamic technology-forcing regulation; selfregulation; pre-commitment; cooperative R&D; ratchet effect.

Aromatic Plants in Eurasian Blue Tit Nests: The ‘Nest

The ‘Nest Protection Hypothesis’ suggests that some birds add aromatic plants to their nests to repel or kill ectoparasites. This behavior has been described for several species, including the Eurasian Blue Tit (Cyanistes caeruleus). We studied the reproductive performance, based on 26 nests (in nest boxes), of this species in mixed forested areas of Quercus spp. and Pinus pinea in the Parque Florestal de Monsanto, the largest park of Lisbon, Portugal. The frequency of aromatic plants in nests was compared with frequency of these plants in the study area. The three most frequent aromatic plants (Dittrichia viscosa, Lavandula dentata, Calamintha baetica) in nests were used more than expected from their availability in the study area. We could not reject the null hypothesis that nest survival rate is independent of the presence of aromatic plants in the nest

Intergovernmental grant rules, the "golden rule" of public finance and local expenditures

The Stability and Growth Pact and the process of fiscal consolidation in several European countries have enhanced the role of fiscal rules at sub-national level. This paper analyzes the combined effect of a rule to allocate capital and current block grants to local governments and the “golden rule” of public finance (surplus of current balance). We argue that the two fiscal rules introduce significant rigidities and distortions in local governments’ expenditures structure since these mimic the structure of revenues. This effect is particularly relevant in municipalities that are more dependent of intergovernmental grants, mainly rural. On the other hand, urban municipalities with greater tax revenues (current revenues) are constrained in their ability to make capital investments because they receive per capita capital grants below what economies of scale would suggest. An empirical analysis of Portuguese local governments shows that it is no longer the median voter, but fiscal rules, that command the broad pattern of expenditure (current versus capital) at a local level. This paper is a contribution to the literature on the perverse effects of fiscal rules.Intergovernmental block grants; Fiscal Rules; Local Government Expenditure; “Golden Rule”

The Transition Amplitude for 2T Physics

We present the transition amplitude for a particle moving in a space with two times and D space dimensions having a Sp(2,R) local symmetry and an SO(D,2) rigid symmetry. It was obtained from the BRST-BFV quantization with a unique gauge choice. We show that by constraining the initial and final points of this amplitude to lie on some hypersurface of the D+2 space the resulting amplitude reproduces well known systems in lower dimensions. This provides an alternative physical interpretation for two times physics which is derived in a single framework.Comment: 4 pages, typos corrected, references adde