On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah (1989), and shows that structural equations for which there are known permanent shocks must have no error correction terms present in them, thereby freeing up the latter to be used as instruments in estimating their parameters. The proposed approach is illustrated by a re-examination of the identification scheme used in a monetary model by Wickens and Motta (2001), and in a well known paper by Gali (1992) which deals with the construction of an IS-LM model with supply-side effects. We show that the latter imposes more short-run restrictions than are needed because of a failure to fully utilize the cointegration information

On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah (1989), and shows that structural equations for which there are known permanent shocks must have no error correction terms present in them, thereby freeing up the latter to be used as instruments in estimating their parameters. The proposed approach is illustrated by a re-examination of the identification scheme used in a monetary model by Wickens and Motta (2001), and in a well known paper by Gali (1992) which deals with the construction of an IS-LM model with supply-side effects. We show that the latter imposes more short-run restrictions than are needed because of a failure to fully utilize the cointegration information.permanent shocks, structural identification, error correction models, IS-LM models

Econometric Analysis of Structural Systems with Permanent and Transitory Shocks

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah (1989), and shows that structural equations with known permanent shocks can not contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto (2001), Shapiro and Watson (1988), King, Plosser, Stock, Watson (1991), Gali (1992, 1999) and Fisher (2006).Permanent shocks; structural identification; error correction models; IS-LM models

Detecting Common Dynamics in Transitory Components

This paper considers VAR/VECM models for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction in the short-run dynamics. These common transitory components arise when linear combination of the first differenced variables in a cointegrated VAR are white noise. This paper offers a reinterpretation of the traditional approach to testing for common feature dynamics, namely checking for a singular covariance matrix for the transitory components. Instead, the matrix of short-run coefficients becomes the focus of the testing procedure thus allowing a wide range of tests for reduced rank in parameter matrices to be potentially relevant tests of common transitory components. The performance of the different methods is illustrated in a Monte Carlo analysis which is then used to reexamine an existing empirical study. Finally, this approach is applied to analyze whether one would observe common dynamics in standard DSGE models.Transitory components, common features, reduced rank, cointegration.

Phase Behavior of Short Range Square Well Model

Various Monte Carlo techniques are used to determine the complete phase diagrams of the square well model for the attractive ranges $\lambda = 1.15$ and $\lambda = 1.25$. The results for the latter case are in agreement with earlier Monte Carlo simulations for the fluid-fluid coexistence curve and yield new results for the liquidus-solidus lines. Our results for $\lambda = 1.15$ are new. We find that the fluid-fluid critical point is metastable for both cases, with the case $\lambda = 1.25$ being just below the threshold value for metastability. We compare our results with prior studies and with experimental results for the gamma-II crystallin.Comment: 8 figures, 1 tabl

A Finite-Size Scaling Study of a Model of Globular Proteins

Grand canonical Monte Carlo simulations are used to explore the metastable fluid-fluid coexistence curve of the modified Lennard-Jones model of globular proteins of ten Wolde and Frenkel (Science, v277, 1975 (1997)). Using both mixed-field finite-size scaling and histogram reweighting methods, the joint distribution of density and energy fluctuations is analyzed at coexistence to accurately determine the critical-point parameters. The subcritical coexistence region is explored using the recently developed hyper-parallel tempering Monte Carlo simulation method along with histogram reweighting to obtain the density distributions. The phase diagram for the metastable fluid-fluid coexistence curve is calculated in close proximity to the critical point, a region previously unattained by simulation.Comment: 17 pages, 10 figures, 2 Table

Spectral analysis and new visible and ultraviolet lines of Ar V

A capillary discharge tube was used to record the Ar spectrum in the region of 330-4400 angstrom. We analyzed a set of 109 lines of Ar V, with 10 of them being classified for the first time. Part of these newly identified lines (six in total) corresponds to electric dipole transitions in the visible and ultraviolet regions of the spectrum. We calculated weighted transition rates (gA) for all experimentally observed lines and the corresponding lifetimes using a relativistic Hartree-Fock method with configuration interaction. The equations were modified to consider core polarization (CP) effects. A study on the Si isoelectronic sequence found that considering CP effects is essential for the correct description of the Ar V structure2422COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL DE NÍVEL SUPERIOR - CAPESConsejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), ArgentinaConsejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET); Coordenaccao de Aperfeicoamento de Pessoal de Nivel Superior (CAPES), Brazil; Comision de Investigaciones Cientificas de la Provincia de Buenos Aires (CIC

New spectroscopic data for atomic tungsten XIV

The thirteen times ionized tungsten is isoelectronic with PmI. Wavelengths and transition probabilities for the 5s-5p and 5p-5d transitions of WXIV, identifying the ground state as 4f13 5s2 2F7/2 were calculated. Both, a relativistic Hartree Fock approach, including core-polarization effects, and a purely relativistic multiconfiguration Dirac-Fock method were used for the calculations. Particularly, 5s-5p transitions were compared with experimental results obtained with VUV electron beam ion trap (EBIT) spectroscopy583CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO - CNPQCOORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL DE NÍVEL SUPERIOR - CAPESnão temnão tem17th International conference on the physics of highly charged ionsThis research was supported by the Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina, by the Coordenaçăo de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) and by the Conselho Nacional de Pesquisa (CNPq), Brazil. The Comisión de Investigaciones Científcas de la Provincia de Buenos Aires (CIC), where J. G. Reyna Almandos and M. Raineri are researchers, is also gratefully acknowledge

On pricing of interest rate derivatives

At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing scheme is discussed.Comment: 9 pages, 13 figure