Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data

The paper illustrates and evaluates a Kalman filtering method for forecasting German real GDP at monthly intervals. German real GDP is produced at quarterly intervals but analysts and decision makers often want monthly GDP forecasts. Quarterly GDP could be regressed on monthly indicators, which would pick up monthly feedbacks from the indicators to GDP, but would not pick up implicit monthly feedbacks from GDP onto itself or the indicators. An efficient forecasting model which aims to incorporate all significant correlations in monthly-quarterly data should include all significant monthly feedbacks. We do this with estimated VAR(2) models of quarterly GDP and up to three monthly indicator variables, estimated using a Kalman-filtering-based maximum-likelihood estimation method. Following the method, we estimate monthly and quarterly VAR(2) models of quarterly GDP, monthly industrial production, and monthly, current and expected, business conditions. The business conditions variables are produced by the Ifo Institute from its own surveys. We use early in-sample data to estimate models and later out-of-sample data to produce and evaluate forecasts. The monthly maximum-likelihood-estimated models produce monthly GDP forecasts. The Kalman filter is used to compute the likelihood in estimation and to produce forecasts. Generally, the monthly German GDP forecasts from 3 to 24 months ahead are competitive with quarterly German GDP forecasts for the same time-span ahead, produced using the same method and the same data in purely quarterly form. However, the present mixed-frequency method produces monthly GDP forecasts for the first two months of a quarter ahead which are more accurate than one-quarter-ahead GDP forecasts based on the purely-quarterly data. Moreover, quarterly models based on purely-quarterly data generally cannot be transformed into monthly models which produce equally accurate intra-quarterly monthly forecasts.mixed-frequency data, VAR models, maximum-likelihood estimation, Kalman filter

Pedigree-based Bayesian modelling of radiocarbon dates

Within the last decade, archaeogenetic analysis has revolutionized archaeological research and enabled novel insights into mobility, relatedness and health of past societies. Now, it is possible to develop these results further and integrate archaeogenetic insights into biological relatedness with radiocarbon dates as means of chronologically sequenced information. In our article, we demonstrate the potential of combining relative chronological information with absolute radiocarbon dates by Bayesian interpretation in order to improve age determinations. Using artificial pedigrees with four sets of simulated radiocarbon dates we show that the combination of relationship information with radiocarbon dates improves the age determination in many cases at least between 20 to 50%. Calibrated age ranges are more constrained than simply calibrating radiocarbon ages independently from each other. Thereby, the precision of modelled ages depends on the precision of the single radiocarbon dates, the number of modelled generations, the shape of the calibration curve and the availability of samples that can be precisely fixed in time due to specific patterns in the calibration curve (“anchor points”). Ambiguous calibrated radiocarbon dates, which are caused by inversions of the calibration curve, can be partly or almost entirely resolved through Bayesian modelling based upon information from pedigrees. Finally, we discuss selected case studies of biological pedigrees achieved for Early Bronze Age Southern Germany by recent archaeogenetic analysis, whereby the sites and pedigrees differ with regard to the quality of information, which can be used for a Bayesian model of the radiocarbon dates. In accordance with the abstract models, radiocarbon dates can again be better constrained and are therefore more applicable for archaeological interpretation and chronological placement of the dated individuals

Ancient human genomes suggest three ancestral populations for present-day Europeans

We sequenced the genomes of a 7,000-year-old farmer from Germany and eight 8,000-year-old hunter-gatherers from Luxembourg and Sweden. We analysed these and other ancient genomes¹-₄ with 2,345 contemporary humans to show that most present-day Europeans derive from at least three highly differentiated populations:west European hunter-gatherers, who contributed ancestry to all Europeans but not to Near Easterners; ancient north Eurasians related to Upper Palaeolithic Siberians³, who contributed to both Europeans and Near Easterners; and early European farmers, who were mainly of Near Eastern origin but also harboured west European hunter-gatherer related ancestry.We model these populations’ deep relationships and show that early European farmers had 44% ancestry from a ‘basal Eurasian’ population that split before the diversification of other non-African lineage

Order statistics and heavy-tail distributions for planetary perturbations on Oort cloud comets

This paper tackles important aspects of comets dynamics from a statistical point of view. Existing methodology uses numerical integration for computing planetary perturbations for simulating such dynamics. This operation is highly computational. It is reasonable to wonder whenever statistical simulation of the perturbations can be much more easy to handle. The first step for answering such a question is to provide a statistical study of these perturbations in order to catch their main features. The statistical tools used are order statistics and heavy tail distributions. The study carried out indicated a general pattern exhibited by the perturbations around the orbits of the important planet. These characteristics were validated through statistical testing and a theoretical study based on Opik theory.Comment: 9 pages, 12 figures, submitted for publication in Astronomy and Astrophysic

Ancient DNA sheds light on the genetic origins of early Iron Age Philistines

The ancient Mediterranean port city of Ashkelon, identified as “}Philistine{”} during the Iron Age, underwent a marked cultural change between the Late Bronze and the early Iron Age. It has been long debated whether this change was driven by a substantial movement of people, possibly linked to a larger migration of the so-called {“}Sea Peoples.{” Here, we report genome-wide data of 10 Bronze and Iron Age individuals from Ashkelon. We find that the early Iron Age population was genetically distinct due to a European-related admixture. This genetic signal is no longer detectible in the later Iron Age population. Our results support that a migration event occurred during the Bronze to Iron Age transition in Ashkelon but did not leave a long-lasting genetic signature

Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation

We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the stochastic solution of the Cauchy problem for a partial differential equation with fractional derivatives both in space and in time. The one-parameter Mittag-Leffler function is the natural survival probability leading to time-fractional diffusion equations. Transformation methods for Mittag-Leffler random variables were found later than the well-known transformation method by Chambers, Mallows, and Stuck for Levy alpha-stable random variables and so far have not received as much attention; nor have they been used together with the latter in spite of their mathematical relationship due to the geometric stability of the Mittag-Leffler distribution. Combining the two methods, we obtain an accurate approximation of space- and time-fractional diffusion processes almost as easy and fast to compute as for standard diffusion processes.Comment: 7 pages, 5 figures, 1 table. Presented at the Conference on Computing in Economics and Finance in Montreal, 14-16 June 2007; at the conference "Modelling anomalous diffusion and relaxation" in Jerusalem, 23-28 March 2008; et

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models *

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/101814/1/1468-2354.t01-1-00016.pd

Fiscal developments and financial stress : a threshold VAR analysis

We use a threshold VAR analysis to study the linkages between changes in the debt ratio, economic activity and financial stress within different financial regimes. We use quarterly data for the US, the UK, Germany and Italy, for the period 1980:4– 2014:1, encompassing macro, fiscal and financial variables, and use nonlinear impulse responses allowing for endogenous regime-switches in response to structural shocks. The results show that output reacts mostly positively to an increase in the debt ratio in both financial stress regimes; however, the differences in estimated multipliers across regimes are relatively small. Furthermore, a financial stress shock has a negative effect on output and worsens the fiscal situation. The large time-variation and the estimated nonlinear impulse responses suggest that the size of the fiscal multipliers was higher than average in the 2008–2009 crisis.info:eu-repo/semantics/publishedVersio

Massive migration from the steppe is a source for Indo-European languages in Europe

We generated genome-wide data from 69 Europeans who lived between 8,000-3,000 years ago by enriching ancient DNA libraries for a target set of almost four hundred thousand polymorphisms. Enrichment of these positions decreases the sequencing required for genome-wide ancient DNA analysis by a median of around 250-fold, allowing us to study an order of magnitude more individuals than previous studies and to obtain new insights about the past. We show that the populations of western and far eastern Europe followed opposite trajectories between 8,000-5,000 years ago. At the beginning of the Neolithic period in Europe, ~8,000-7,000 years ago, closely related groups of early farmers appeared in Germany, Hungary, and Spain, different from indigenous hunter-gatherers, whereas Russia was inhabited by a distinctive population of hunter-gatherers with high affinity to a ~24,000 year old Siberian6 . By ~6,000-5,000 years ago, a resurgence of hunter-gatherer ancestry had occurred throughout much of Europe, but in Russia, the Yamnaya steppe herders of this time were descended not only from the preceding eastern European hunter-gatherers, but from a population of Near Eastern ancestry. Western and Eastern Europe came into contact ~4,500 years ago, as the Late Neolithic Corded Ware people from Germany traced ~3/4 of their ancestry to the Yamnaya, documenting a massive migration into the heartland of Europe from its eastern periphery. This steppe ancestry persisted in all sampled central Europeans until at least ~3,000 years ago, and is ubiquitous in present-day Europeans. These results provide support for the theory of a steppe origin of at least some of the Indo-European languages of Europe