Using Mean Reversion as a Measure of Persistence

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made clear and the relationship between this new measure and the widely used “sum of the autoregressive coefficients”, as alternative measures of persistence, is investigated. Using the law of large numbers and the central limit theorem, properties for the estimator of the new measure of persistence are established, which allow tests of hypotheses to be performed, under very general conditions. Finally, some Monte Carlo experiments are conducted in order to compare the finite sample properties of the estimator for the “unconditional probability of a given process not crossing its mean in period t” and the OLS estimator for the “sum of the autoregressive coefficients”.

Using mean reversion as a measure of persistence

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made clear and the relationship between this new measure and the widely used “sum of the autoregressive coefficients”, as alternative measures of persistence, is investigated. Using the law of large numbers and the central limit theorem, properties for the estimator of the new measure of persistence are established, which allow tests of hypotheses to be performed, under very general conditions. Finally, some Monte Carlo experiments are conducted in order to compare the finite sample properties of the estimator for the “unconditional probability of a given process not crossing its mean in period t” and the OLS estimator for the “sum of the autoregressive coefficients”. JEL Classification: E31, C22, E52Inflation persistence, Mean reversion, non-parametric estimator

Choosing between time and state dependence: micro evidence on firms' price-reviewing strategies

Thanks to recent findings based on survey data, it is now well known that firms differ from each other with respect to their price-reviewing strategies. While some firms review their prices at fixed intervals of time, others prefer to perform price revisions in response to changes in economic conditions. In order to explain this fact, some theories have been suggested in the literature. However, empirical evidence on the relative importance of the factors determining firms’ different strategies is virtually nonexistent. This paper contributes to filling this gap by investigating the factors that explain why firms follow time-, state- or time- and state-dependent price-reviewing rules. We find that firms’ strategies vary with firm characteristics that have a bearing on the importance of information costs, the variability of the optimal price and the sensitivity of profits to non-optimal prices. Menu costs, however, do not seem to play a significant role. JEL Classification: C41, D40, E31information costs, menu costs, multinomial probit, Price stickiness, survey data

Measuring the Importance of the Uniform Nonsynchronization Hypothesis

In this paper we critically reappraise some measures of the importance of time-dependent price setting rules and propose an alternative way to gauge the significance of this type of price setting behaviour. The merits of the proposed measure are highlighted in an application using micro-data. Our results suggest that a large proportion of price trajectories may be compatible with simple time-dependent price setting mechanisms but the strength of this evidence very much depends on the way that is used to evaluate the importance of this type of behaviour.

A note on measuring the importance of the uniform nonsynchronization hypothesis

In this note we reappraise the measure of the importance of time-dependent price setting rules suggested by Klenow and Kryvtsov (2005, "State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation?," Bank of Canada Working Paper 05-4). Furthermore, we propose an alternative way to gauge the significance of this type of price setting behavior, which can be interpreted as an upper bound for the proportion of price trajectories which are compatible with the uniform nonsynchronization hypothesis. The merits of the proposed measure are highlighted in an application using micro-data. Our results suggest that a large proportion of price trajectories may be compatible with simple time-dependent price setting mechanisms, but the strength of this evidence very much depends on the way that is used to evaluate the importance of this type of behavior.perfect synchronization.

Planning and dynamic spectrum management in heterogeneous mobile networks with QoE optimization

The radio and network planning and optimisation are continuous processes that do not end after the network has been launched. To achieve the best trade-offs, especially between quality and costs, operators make use of several coverage and capacity enhancement methods. The research from this thesis proposes methods such as the implementation of cell zooming and Relay Stations (RSs) with dynamic sleep modes and Carrier Aggregation (CA) for coverage and capacity enhancements. Initially, a survey is presented on ubiquitous mesh networks implementation scenarios and an updated characterization of requirements for services and applications is proposed. The performance targets for the key parameters, delay, delay variation, information loss and throughput have been addressed for all types of services. Furthermore, with the increased competition, mobile operator’s success does not only depend on how good the offered Quality of Service (QoS) is, but also if it meets the end user’s expectations, i.e., Quality of Experience (QoE). In this context, a model for the mapping between QoS parameters and QoE has been proposed for multimedia traffic. The planning and optimization of fixed Worldwide Interoperability for Microwave Access (WiMAX) networks with RSs in conjunction with cell zooming has been addressed. The challenging case of a propagation measurement-based scenario in the hilly region of Covilhã has been considered. A cost/revenue function has been developed by taking into account the cost of building and maintaining the infrastructure with the use of RSs. This part of the work also investigates the energy efficiency and economic implications of the use of power saving modes for RSs in conjunction with cell zooming. Assuming that the RSs can be switched-off or zoomed out to zero in periods when the traffic exchange is low, such as nights and weekends, it has been shown that energy consumption may be reduced whereas cellular coverage and capacity, as well as economic performance may be improved. An integrated Common Radio Resource Management (iCRRM) entity is proposed that implements inter-band CA by performing scheduling between two Long Term Evolution – Advanced (LTE-A) Component Carriers (CCs). Considering the bandwidths available in Portugal, the 800 MHz and 2.6 GHz CCs have been considered whilst mobile video traffic is addressed. Through extensive simulations it has been found that the proposed multi-band schedulers overcome the capacity of LTE systems without CA. Result shown a clear improvement of the QoS, QoE and economic trade-off with CA

Measuring the importance of the uniform nonsynchronization hypothesis

In this paper we critically reappraise some measures of the importance of time-dependent price setting rules and propose an alternative way to gauge the significance of this type of price setting behaviour. The merits of the proposed measure are highlighted in an application using micro-data. Our results suggest that a large proportion of price trajectories may be compatible with simple time-dependent price setting mechanisms but the strength of this evidence very much depends on the way that is used to evaluate the importance of this type of behaviour. JEL Classification: D40, E31, L11perfect synchronization, Time-dependent price setting models, uniform staggering

On the Fisher-Konieczny Index of Price Changes Synchronization

This note provides a structural interpretation for the index of price changes synchronization proposed by Fisher and Konieczny (2000, Economics Letters, 68, 271-277) and shows that it can be used to test the hypothesis of uniform staggering.

Time or state dependent price setting rules? Evidence from Portuguese micro data

In this paper we analyse the ability of time and state dependent price setting rules to explain durations of price spells or the probability of changing prices. Our results suggest that simple time dependent models cannot be seen as providing a reasonable approximation to the data and that state dependent models are required to fully characterise the price setting behaviour of Portuguese firms. Inflation, the level of economic activity and the magnitude of the last price change emerge as relevant variables affecting the probability of changing prices. Moreover, it is seen that the impact differs for negative and positive values of these covariates. JEL Classification: C41, D40, E31CPI data, Hazard functions, inflation