Hedonic Predicted House Price Indices Using Time-Varying Hedonic Models with Spatial Autocorrelation

Hedonic housing price indices are computed from estimated hedonic pricing models. The commonly used time dummy hedonic model and the rolling window hedonic model fail to account for changing consumer preferences over hedonic characteristics and typically these models do not account for the presence of spatial correlation in prices reflecting the role of locational characteristics. This paper develops a class of models with time-varying hedonic coefficients and spatially correlated errors, provides an assessment of the predictive performance of these compared to the commonly used hedonic models, and constructs and compares corresponding price index series. Alternative weighting systems, plutocratic versus democratic, are considered for the class of hedonic imputed price indices. Accounting for seasonality in house sales data, monthly chained indices and annual chained indices based on averages of year-on-year monthly indexes are presented. The empirical results are based on property sales data for Brisbane, Australia over the period 1985 to 2005. On the basis of root mean square prediction error criterion the time-varying parameter with spatial errors is found to be the best performing model and the rolling-window model to be the worst performing model.

The role of volume in order book dynamics: a multivariate Hawkes process analysis

We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyze interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities, such as the order size, into the analysis, showing also that simple models assuming the independence between volume and time are not suitable to describe the data

Potential demand for hedging by Australian wheat producers

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an `average' wheat farmer was found to be zero under reasonable assumptions about transaction costs and based on previously published measures of risk aversion. The estimated optimal hedging ratios were found by simulation to be quite sensitive to assumptions about the degree of risk aversion. If farmers are significantly more risk averse than is currently believed, then there is likely to be an active interest in the new futures market.Crop Production/Industries, Marketing, Risk and Uncertainty,

Measuring Spillovers from Alternative Forms of Foreign Investment

Much of the endogenous growth literature has dwelled on evaluating the spillover effects of trade on growth, but much less efforts have been directed towards tracing and quantifying the spillover effects of foreign investments. This paper, in incorporating the effects of various types of foreign investments, namely foreign direct investment (FDI), foreign portfolio investment (FPI) and other foreign investment (OFI) fills this gap in the literature. Adopting the stochastic frontier approach, this paper constructs an OECD frontier based on a panel dataset of 20 OECD countries over the 1981-2000 period. Spillover effects of FDI, FPI, OFI and trade are gauged by their respective contributions towards reducing technical inefficiencies, which are represented by the distance of each country from the constructed frontier. Results from the multiple models examined in the paper indicate that inflows of foreign investment and trade have been instrumental in reducing inefficiencies across OECD countries, whereas outflows of foreign investment exacerbate inefficiencies. The study also confirms some previous findings that the spillover effects of FDI inflows are larger than that of trade but does not find evidence in favour of the view that the spillover effects of trade are overestimated when FDI flows are excluded from the analysis. Moreover, the impact of FDI inflows is larger than those of FPI and OFI inflows. The importance of absorptive capacities of host economies in capturing spillover gains from FDI inflows is also examined. Amongst the various measures of absorptive capacity considered, only human capital was found to be importantforeign direct, portfolio and other investment; spillovers; stochastic production frontier; OECD;

A stochastic model of randomly accelerated walkers for human mobility

The recent availability of large databases allows to study macroscopic properties of many complex systems. However, inferring a model from a fit of empirical data without any knowledge of the dynamics might lead to erroneous interpretations [6]. We illustrate this in the case of human mobility [1-3] and foraging human patterns [4] where empirical long-tailed distributions of jump sizes have been associated to scale-free super-diffusive random walks called L\'evy flights [5]. Here, we introduce a new class of accelerated random walks where the velocity changes due to acceleration kicks at random times, which combined with a peaked distribution of travel times [7], displays a jump length distribution that could easily be misinterpreted as a truncated power law, but that is not governed by large fluctuations. This stochastic model allows us to explain empirical observations about the movements of 780,000 private vehicles in Italy, and more generally, to get a deeper quantitative understanding of human mobility.Comment: 10 pages, 6 figures + Supplementary informatio

Economic Consequences of War: Evidence from Sri Lanka

We propose a theoretical and econometric framework to evaluate the impact of war on economic growth of a developing country with an open economy. The theoretical framework encompasses both the neoclassical and endogenous growth models. The econometric model is derived from the theoretical framework and an Autoregressive Distributed Lag framework is used for the estimation. We test this framework using Sri Lankan data. The war had significant and negative effects both in the short and long-run (annual average of 9% of GDP). High returns from investment in physical capital did not translate in sizable positive externalities. No significant effects of openness on growth in the long-run are found; however, effects are significant in the short- run. Inconsistent politically driven policies towards openness are the likely reason. As the ethnic conflict has finally come to an end, a policy framework with appropriate institutional reforms is needed for rapid growth and development.

MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test based on multivariate least squares estimation of a modified VAR (MWALD). In large samples all test statistics perform well in terms of size and power. For smaller samples, the LR and WALD tests perform better than the MWALD test. Overall, the LR test outperforms the other two in terms of size and power in small samples.Causality tests, Cointegration, Likelihood ratio, Wald statistic, Monte Carlo Experiments, Research Methods/ Statistical Methods,

La Gipsoteca del Dipartimento Culture e Società dell'Università degli Studi di Palermo. Storia e catalogo

Il volume presenta, per la prima volta, la storia e il catalogo della Gipsoteca del Dipartimento Culture e Società dell’Università degli Studi di Palermo. Si tratta di un’importante raccolta di calchi in gesso di sculture antiche, voluta da Antonino Salinas (1841-1914) ai tempi del suo magistero accademico e ora completamente riordinata, grazie a un nuovo allestimento curato dallo stesso autore di questo libro.The volume presents, for the first time, the history and catalog of the Gipsoteca of the Culture and Society Department of the University of Palermo. This is an important collection of plaster casts of ancient sculptures, commissioned by Antonino Salinas (1841-1914) at the time of his academic teaching and now completely rearranged, thanks to a new layout curated by the same author of this book

Entropic measures of individual mobility patterns

Understanding human mobility from a microscopic point of view may represent a fundamental breakthrough for the development of a statistical physics for cognitive systems and it can shed light on the applicability of macroscopic statistical laws for social systems. Even if the complexity of individual behaviors prevents a true microscopic approach, the introduction of mesoscopic models allows the study of the dynamical properties for the non-stationary states of the considered system. We propose to compute various entropy measures of the individual mobility patterns obtained from GPS data that record the movements of private vehicles in the Florence district, in order to point out new features of human mobility related to the use of time and space and to define the dynamical properties of a stochastic model that could generate similar patterns. Moreover, we can relate the predictability properties of human mobility to the distribution of time passed between two successive trips. Our analysis suggests the existence of a hierarchical structure in the mobility patterns which divides the performed activities into three different categories, according to the time cost, with different information contents. We show that a Markov process defined by using the individual mobility network is not able to reproduce this hierarchy, which seems the consequence of different strategies in the activity choice. Our results could contribute to the development of governance policies for a sustainable mobility in modern cities