THE PERFORMANCE OF SETAR MODELS : A REGIME CONDITIONAL EVALUATION OF POINT, INTERVAL AND DENSITY FORECASTS

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes.SETAR models ; forecasting accuracy ; point forecasts ; MSFEs ; interval forecasts ; density forecasts ; Euro effective exchange rate

Education or just Creativity: what matters most for economic performance?

There is a large consensus among social researchers on the positive role played by human capital on economic performances. The standard way to measure the human capital endowment is to consider the educational attainments by the resident population, usually the share of people with a university degree. Recently, Florida (2002) suggested a different measure of human capital - the “creative class†- based on the actual occupations of individuals in specific jobs like science, engineering, arts, culture, entertainment. However, the empirical analyses carried out so far overlooked a serious measurement problem concerning the clear identification of the education and creativity components of human capital. The main purpose of this paper is to try to disentangle this issue by proposing a disaggregation of human capital into three non-overlapping categories of creative graduates, bohemians and non creative graduates. By using a spatial econometric framework to account for spatial dependence, we assess the concurrent effect of the human capital indicators on total factor productivity for 257 regions of EU27. Our main results indicate that the highly educated creative group is the most relevant one in explaining production efficiency, while the other two categories - non creative graduates and bohemians - exhibit negligible effects. Moreover, a relevant influence is exerted by technological capital and by the level of tolerance providing robust evidence that an innovative, open, inclusive and culturally diverse environment is becoming more and more crucial for productivity enhancements.

The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts

The aim of this paper is to analyse the out-of-sample performance of SETAR models using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts. The benchmark used for the comparison is a linear AR model for point forecast evaluation and a GARCH model for interval and density forecasts. In each case the models are evaluated unconditionally, over the whole forecast period, and conditionally, on the regimes of the SETAR models. The results show that, in general, the performance of the SETAR models improves significantly for the forecasts governed by the regime(s) with fewer observations. However, overall the GARCH model is better able to capture the distributional features of the series and to predict higher ordered moments.SETAR models, point forecasts, interval forecasts, density forecasts, Euro effective exchange rate

Productivity growth in the Old and New Europe: the role of agglomeration externalities

The recent history of Europe is characterized by a dual picture showing the Old and New countries in sharp contrast with respect to their industrial specialisation and economic performance. We aim at analyzing the intertwined performance of regions and industries in New and Old European economies by investigating the effects of local agglomeration externalities (mainly specialisation and diversity externalities) on total factor productivity dynamics. We also analyse the potential influence of regional intangible assets such as human and technological capital. The econometric analysis makes use of spatial econometric techniques to take into account the possibility of cross-border externalities.

Monitoraggio di alcuni eventi di precipitazione intensa verificatisi in Sardegna mediante stima da immagini METEOSAT nell’infrarosso

La presente relazione riassume l’attività svolta dai ricercatori del SAR e del CRS4 nell’ambito di una collaborazione scientifica volta allo studio e all’applicazione di metodologie, per il monitoraggio e la previsione di eventi di precipitazione intensa e la conseguente diramazione di allerta tempestivi. In particolare vengono qui riassunti i risultati ottenuti applicando alcune tecniche di stima delle precipitazioni al suolo mediante immagini Meteosat nel canale dell’infrarosso a tre eventi di precipitazione particolarmente intensa verificatisi in Sardegna negli ultimi due anni. Il contenuto di questa relazione è stato oggetto di una presentazione mediante poster al meeting annuale dell’European Geophysical Society che si è tenuto a Nizza nel marzo del 2001

Misura di variabili meteoclimatiche su scala di grigliato modellistico-numerico mediante radar CASSINI. Definizione di una procedura di assimilazione della velocità verticale nei modelli meteorologici idrostatici e sviluppo della diagnostica della instabilità simmetrica su grigliato numerico

Lo studio presentato in queste note si inquadra nell'ambito del progetto finanziato dall'ASI per la messa a punto e la sperimentazione di un radar (CASSINI) per la stima da satellite di parametri meteorologici, ed ha come obiettivo, a lunga scadenza, l'approfondimento delle procedure per valutare l'impatto potenziale, sul forecast dei fenomeni di precipitazione intensa, dovuto alla assimilazione di misure telerilevate nella condizione iniziale di un modello meteorologico ad area limitata. Tenendo presente quest'obiettivo generale, è stato effettuato lo studio di fattibilità di un processo di assimilazione della velocità verticale nei modelli meteorologici idrostatici, e realizzato un codice numerico per la diagnostica della instabilità condizionale simmetrica umida che si pensa sia uno degli elementi che concorrono agli eventi di precipitazione intensa a bande. Dopo aver applicato tale strumento alle analisi meteorologiche dei mesi di Gennaio e Febbraio dell'anno 1991, si è studiato mediante un modello di circolazione atmosferica ad area limitata (BOLAM) un caso di precipitazione intensa localizzato nella zona del canale di Sardegna alla risoluzione spaziale di ∼ 30 km

They arrive with new information. Tourism flows and production efficiency in the European regions

It is well known that firms productivity is influenced by information spillovers generated either by other firms located nearby or by direct contacts with final demand or by foreign demand in the case of traded products. In this paper we investigate a new channel of efficiency - enhancing information spillovers: tourism flows. The idea is that tourists, in general, have preferences for high quality goods and differentiated products which are revealed when they buy local products in the tourism destinations, thus transmitting relevant information to the local firms. The latter, in turn, exploit this new information generating a positive impact on the efficiency level of the local economy. More specifically we examine the effects of tourist flows on regional total factor productivity, within a spatial dynamic model, controlling also for other intangible factors (such as human, social and technological capital) and for the degree of accessibility. We apply the analysis to 199 European regions belonging to the EU15 member countries, plus Switzerland and Norway. The econometric results show the positive impact of tourism flows on regional efficiency levels together with the positive role played by intangible assets, infrastructures and spatial spillovers

Prototipo di bollettino mensile di bilancio idrologico in atmosfera nella regione mediterranea: simulazione numerica con un modello meteorologico nei due trimestri prototipali

La presente relazione riassume l'attività svolta nell'ambito della prima fase della convenzione CRS4-DSTNPC \prototipo del bollettino mensile di bilancio idrologico in atmosfera". In particolare è descritta l'analisi delle metodologie utilizzabili rispetto agli obbiettivi del progetto, i criteri addottati per la selezione dei due periodi prototipali e le integrazioni numeriche ottenute mediante il Modello di circolazione atmosferica ad Area Limitata (LAM) nei due periodi trimestrali scelti. Vengono discussi, inoltre, il bilancio idrologico atmosferico ottenuto utilizzando le analisi meteorologiche e le medie mensili di precipitazione sulla Sardegna relativamente al periodo dal 1986 al 1988 e presentata una descrizione del codice LAM (BOLAM) utilizzato per eseguire i run previsti dalla convenzione

The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes

Assessment and formulation of data assimilation techniques for a 3D Richards equation-based hydrological model

The main objectives of de DAUFIN project are: to develop a unifying modeling framework applicable at the catchment scale and based on rigorous conservation equations for the study of hydrological processes in the stream channel, land surface, soil, and groundwater components of a river basin; to implement data assimilation methodologies within this modeling framework and for other control models to enable the optimal use of remote sensing, ground-based, and simulation data; to test and apply the models and the data assimilation methods at various catchment scales, including hillslopes and subcatchment of the Ourthe water shed in Belgium and the entire Meuse river basin, one of the major basins in Europe with a drainage area of 33000 km² that comprises the Ourthe