Idl Signal Processing Library 1.0

We make available a library of documented IDL .pro files as well as a shareable object library that allows IDL to call routines from LAPACK. The routines are for use in the spectral analysis of time series data. The primary focus of these routines are David Thomson's multitaper methods but a whole range of functions will be made available in future revisions of the submission. At present routines are provided to carry out the following operations: calculate prolate spheroidal sequences and eigenvalues, project time-series into frequency bands, calculate spectral estimates with or without moving windows, and calculate the cross-coherence between two time series as a function of frequency as well as the coherence between frequencies for a single time series.Comment: 13 IDL .pro files, 1 .html file, 1 .ps file, 1 license file. Download the source for the IDL files (save as .tar.gz) Read idl_lib.ps for instructions on use. Originally submitted to the neuro-sys archive which was never publicly announced (was 9801001

The bias of forecasts from a first-order autoregression (Revised version)

Economics;Forecasting Techniques

Macroeconometric Modelling with a Global Perspective

This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables to their foreign counterparts and then consistently combined to form a Global VAR (GVAR). It is shown that VARX* models can be derived as the solution to a dynamic stochastic general equilibrium (DSGE) model where over-identifying long-run theoretical relations can be tested and imposed if acceptable. Similarly, short-run over-identifying theoretical restrictions can be tested and imposed if accepted. The assumption of the weak exogeneity of the foreign variables for the long-run parameters can be tested, where foreign variables can be interpreted as proxies for global factors. Rather than using deviations from ad hoc statistical trends, the equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated