Business Cycle Analysis and VARMA models

An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have suggested that one reason SVARs may fail to do so is because they are finite-order approximations to infinite-order processes. In this context, we investigate the performance of models that do not suffer from this type of misspecification. We estimate VARMA and state space models using simulated data from a standard economic model and compare true with estimated impulse responses. For our examples, we find that one cannot gain much by using algorithms based on a VARMA representation. However, algorithms that are based on the state space representation do outperform VARs. Unfortunately, these alternative estimates remain heavily biased and very imprecise. The findings of this paper suggest that the reason SVARs perform weakly in these types of simulation studies is not because they are simple finite-order approximations. Given the properties of the generated data, their failure seems almost entirely due to the use of small samples.Structural VARs, VARMA, State Space Models, Identification, Business Cycles

Three Essays in Time Series Econometrics.

This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers that want to analyze the behavior of aggregate measurements of the economy by means of time series data. For instance, macroeconomic time series often display specific nonlinear characteristics. Chapter 1 applies one of the recently proposed techniques to capture nonlinearity to U.S. interest rate data. Another important area of macroeconomic research is the identification of structural shocks that have an economically meaningful interpretation, in contrast to prediction errors. Chapter 2 compares some alternative structural estimators in the context of a recent discussion on the reliability of standard structural estimators. Finally, the third chapter compares different estimators of so-called vector autoregressive moving-average (VARMA) models that are a potential alternative to vector autoregressive models which are used predominantly in applied macroeconomic research. In the following, I will briefly describe each chapter in more detail. Chapter 1 reviews some simple extensions of the threshold cointegration models forwarded by Balke and Fomby (1997). These are models designed for non-stationary series with non- linear dynamics that are tight together by a long-run equilibrium relationship. I apply one of these models to the U.S. interest rate spread and show that there is evidence in favor of a threshold model of this kind. The model suggests that the spread is probably not mean- reverting in a large band around the equilibrium. However, the model is not found to provide better forecasts relative to a linear benchmark vector error-correction model. In chapter 2 Karel Mertens and I compare different structural estimators in the context of a recent discussion on the reliability of long-run identified structural vector autoregressions (SVARs). Several authors have suggested that SVARs fail partly because they are finite- order approximations to infinite-order processes. In the second chapter we estimate VARMA and state space models, which are not misspecified, using simulated data and compare true with estimated impulse responses of hours worked to a technology shock. We find little gain from using VARMA models. However, state space models do outperform SVARs. In particular, subspace methods consistently yield lower mean squared errors, although even these estimates remain too imprecise for reliable inference. Our findings indicate that long- run identified SVARs perform weakly not because of the finite-order approximation. Instead, we find that the simulated processes used in the previous studies are nearly violating the most basic assumptions on which long-run identification schemes are based. Chapter 3 compares different estimation methods for VARMA models. Classical Gaussian maximum likelihood estimation is plagued with various numerical problems and has been considered difficult by many applied researchers. These disadvantages could have led to the dominant use of vector autoregressive (VAR) models in macroeconomic research. Therefore, several other, simpler estimation methods have been proposed in the literature. In chapter 3 these methods are compared by means of a Monte Carlo study. Different evaluation criteria are used to judge the relative performances of the algorithms. The obtained results suggest that the algorithm of Hannan and Kavalieris (1984a) is the only algorithm that reliably outperforms the other algorithms and the benchmark VARs. However, the procedure is technically not very reliable and therefore would have to be improved in order to make it an alternative tool for applied researchers.Econometrics; Time-series analysis;

Cointegrated VARMA models and forecasting US interest rates

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final moving representation which is usually simpler but not as parsimonious than the usual Echelon form. Furthermore, we proof that our specification strategy is consistent also in the case of cointegrated series. In order to show the potential usefulness of the method, we apply it to US interest rates and find that it generates forecasts superior to methods which do not allow for moving-average terms.Cointegration, VARMA models, forecasting

Context-Dependent Memory Effects for Those with ADHD Symptomatology

Research has revealed a context-dependent memory effect in which stimuli tested in the same context that they were encoded in tend to be remembered better than stimuli tested in a different context. The impairments of those with ADHD suggest that the restoration of context may be less beneficial for these individuals. The present study examined context-dependent memory effects among individuals with high and low ADHD symptomatology. It was expected that those with higher ADHD symptomatology would benefit less from the restoration of context compared to those with lower ADHD symptomatology. Participants were presented with a series of words on colored backgrounds and later completed a recognition memory test where words were presented on the same background or a new white background. The results revealed a significant effect of context and a significantly higher number of false alarms for those with high ADHD symptomatology. There was no interaction. While those with higher ADHD symptomatology appeared to benefit less, this was not found to be significant

A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models

Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered di±cult by many applied researchers. These disadvantages could have led to the dominant use of vector autoregressive models in macroeconomic research. Therefore, several other, simpler estimation methods have been proposed in the literature. In this paper these methods are compared by means of a Monte Carlo study. Different evaluation criteria are used to judge the relative performances of the algorithms.VARMA Models, Estimation Algorithms, Forecasting

Forecasting VARs, model selection, and shrinkage

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a typical macroeconomic quarterly data set for the US. We find that these specification choices are crucial for most methods. Conditional on certain choices, the variation across different approaches is relatively small. There are only a few methods which are not competitive under any scenario. For single series, we find that increasing the system size can be helpful - depending on the employed shrinkage method

Die Nabucco-Pipeline

Die vorliegende Masterarbeit beschäftigt sich mit den Energiebeziehungen der Europäischen Union und Russland, unter besonderer Berücksichtigung der Nabucco-Pipeline, welche als ein europäisches Prestigeprojekt angesehen werden kann. Die Besonderheit der Pipeline ist, dass sie den europäischen Energiemarkt mit den Gasreserven des kaspischen Raumes verbinden soll und dabei außerhalb der Gebiete der Russischen Föderation und somit auch außerhalb der russischen Einflussnahme, laufen würde. Bei einer möglichen Fertigstellung würde die Pipeline eine Länge von mehr als 3.900 km aufweisen und durch fünf Länder führen. Allein mehr als 2.500 km sind durch die Türkei geplant, was zum Vorteil hätte, dass später auch weitere potenzielle Lieferländer, wie Iran und Ägypten angebunden werden könnten. Im Laufe dieser Arbeit wird nicht nur auf die potentiellen Lieferländer näher eingegangen, sondern ebenfalls ein kritischer Blick auf die beiden russischen Pipelineprojekte Nord-Stream und South-Stream geworfen, die viele Experten als Konkurrenzprojekte ansehen. Nord-Stream liefert bereits erstes Gas nach Europa und ebenfalls South-Stream hat sehr gute Chancen in die Realität umgesetzt zu werden. Für Russland bedeuten beide Pipelines eine weitere Diversifizierung ihrer Energielieferungen nach Europa, unter Umgehung von Transitstaaten wie der Ukraine und Weißrussland. Die Arbeit verdeutlicht, dass das prestigereiche Nabucco-Projekt zum jetzigen Zeitpunkt als gescheitert bezeichnet werden kann. Nach mehr als 9 Jahren ist es nicht gelungen mit einem Großteil der Anrainerstaaten des Kaspischen Meeres Lieferverträge über ausreichende Gasmengen zu vereinbaren. Ferner gibt es immer noch keinen offiziellen Baustart und auch die finanzielle Komponente ist nicht ausreichend abgesichert, trotz massiver Unterstützung seitens der Europäischen Union. Um ein umfassendes Bild zu erhalten, wird darüber hinaus auch über die Entwicklung der Beziehungen zwischen der Europäischen Union und der Russischen Föderation informiert und die wichtigsten Meilensteine aufgeführt. Dabei zeigt die Arbeit auf, dass das Verhältnis zwischen beiden Seiten, von Beginn an aus Phasen der Annäherung und Entfremdung besteht. Dabei können weder die Europäische Union, noch Russland ohne den jeweils anderen Partner bestehen. Russland benötigt, auch wenn es derzeit Richtung Asien und Kaspischen Raum strebt, weiterhin den europäischen Absatzmarkt um Geld für Investitionen in die marode Infrastruktur zu ermöglichen. Dahingegen steigt bei der EU in den kommenden Jahren der Energieverbrauch massiv an. Selbst bei einem weiteren Ausbau der Erneuerbaren Energien und weiteren Projekten, wie der Nabucco-Pipeline, kann sie kann definitiv nicht ohne russisches Gas und Öl auskommen. Daher ist es unabdingbar, dass für eine zukünftige Kooperation auf dem Gebiet der Energiepolitik, die Russische Föderation angehalten ist die EU als gleichberechtigten Partner wahrzunehmen und gleichzeitig muss die EU sich von dem Vorurteil frei machen, dass Russland zu übermächtig sei.The thesis deals with the energy relations between the European Union and Russia, with a special focus on the Nabucco-Pipeline. The uniqueness of this pipeline is that it tries to connect the European energy markets with gas reserves of the Caspian Sea by circumvention of the Russian territory and Russian influence. To get a better impression about the Pipeline you can deal with following numbers: A length of more than 3.900 km and crossing five countries. More than 2.500 km of that pipeline are currently planned through Turkey. One advantage of this route through the Turkish territory is that in the future it would be possible to link with other gas supplying countries like Iran or Egypt. This thesis clarifies that the European Nabucco project failed miserably. The result after more than 9 years of Nabucco: Not enough contracts with the gas supplying countries around the Caspian Sea. Furthermore no progress by the construction of the pipeline and by getting into detail with the financial situation you will recognize that also this issue seems not to be clarified so far. In addition to that, Russia started two major pipeline projects called North-Stream and South Stream. Both pipelines are designed to bring even more Russian gas to Europe under circumvention of countries like Ukraine and Belarus. The North-Stream pipeline already started the gas delivery from Russia and South-Stream has good prospects to be built. Besides the Nabucco Pipeline, the thesis also has the aim to show a comprehensive picture about the development of the energy relations between the European Union and the Russian Federation, including the most important milestones. One main result is that there are phases of convergence and phases of alienation. But one fact is that neither the Russian Federation nor the European Union can exist without the other one. Even if Russia is currently focusing in the direction of Asia and the Caspian Sea, it will need the European supply markets also in the future. Russia needs money to rebuild their old infrastructure and especially the pipeline-system. On the other hand the European Union expects more energy demand in the future and even if it tries to extend their efforts in the area of renewable energy and other major energy projects, like the Nabucco, it is not possible to exist without Russian gas and oil. For the future it is inevitable that Russia accepts Europe as an equivalent partner and Europe needs to break the bias that Russia is a superior power

Verzögerungen bei der Unternehmensverkaufsentscheidung - verhaltenswissenschaftliche Analyse der Ursachen und Lösungsansätze

Diese Arbeit beschäftigt sich mit den Ursachen für Verzögerungen im Entscheidungsprozess am Beispiel von Unternehmensverkaufsentscheidungen. Dabei bedient sie sich den Erkenntnissen der Psychologie und Sozialpsychologie und folgt damit der Forschungsrichtung der Behavioral Finance. Als wesentliche Determinante für die verzögerte Verkaufsentscheidung verifiziert diese Arbeit kognitive Einflussgrößen, die auf die persönlichen Bedürfnisse des Managers nach Harmonie, Kontrolle, Erfolg und Komplexitätsreduzierung zurückzuführen sind. Sie bilden die Ursachen für kognitive Wahrnehmungs- und Entscheidungsverzerrungen und damit für kognitive Könnens- und Wollendefizite. Verzögerte Unternehmensverkaufsentscheidungen sind somit die Folge der Entscheidungswirksamkeit psychischer Anomalien, wie beispielsweise Commitment, Overconfidence und Kontrollillusion sowie einer kognitiven Überforderung des Managers bei der Verwendung von Urteilsheuristiken. Die Lösungsansätze in dieser Arbeit zielen darauf ab, die Entscheidungswirksamkeit kognitiver Wahrnehmungs- und Entscheidungsverzerrungen zu verringern. Der Schwerpunkt der Lösungsansätze liegt dabei auf der Einbeziehung eines externen Beraters und der Erweiterung des Risikomanagementsystems

Being Toward Birth: Natality and Nature in Merleau-Ponty

Thesis advisor: Jeffery BloechlThis dissertation articulates Merleau-Ponty's philosophy of nature in relation to the existential condition of "natality," as defined by Arendt. Where Heidegger emphasizes mortality in his post-metaphysical ontology, these investigations follow Merleau-Ponty and Arendt who emphasize that humans are not only mortals but "natals," beings who begin. The project has a twofold aim: 1. to present an exegesis of Merleau-Ponty's oeuvre with a special emphasis on the Nature Courses and 2. to sketch out a natal ontology in its own right. This ontology depends on Merleau-Ponty's methodological advancement beyond genetic phenomenology to generative and "poetic" phenomenology, a practice that incorporates historicity and expressivity. He offers a critique of science, particularly of evolutionary biology, that is shown to be relevant in a contemporary context. His natal ontology co-emerges with an ethical standpoint; he shows that a natural prereflective relation to a plurality of others, rather than only a single other, fundamentally conditions human existence. In a natal ontology, knowledge depends on being born with others, through a co-naissance of one's worldly situation.Thesis (PhD) — Boston College, 2009.Submitted to: Boston College. Graduate School of Arts and Sciences.Discipline: Philosophy