Non-uniqueness of deep parameters and shocks in estimated DSGE models: a health warning

Estimation of dynamic stochastic general equilibrium (DSGE)models using state space methods implies vector autoregressive moving average (VARMA)representations of the observables. Following Lippi and Reichlin’s (1994)analysis of nonfundamentalness, this note highlights the potential dangers of end of non-uniqueness, both of estimates of deep parameters and of structural innovations

Tobin’s q and intangible assets

In a recent paper Laitner & Stolyarov (2003) assert that measured Tobin’s q has usually been well above 1, and use this to back up their conclusion that there are significant quantities of unrecorded intangible assets. This key feature of q turns out however to be entirely due to errors and omissions in the authors’ calculations. The corrected q series turns out to be usually well below unity

An analysis of the price behaviour of selected vegetables at a New Zealand auction : a thesis presented in partial fulfillment of the requirements for the degree of Master of Business Studies at Massey University

The immediate and short run behaviour of prices and volumes of eighteen vegetables at auction are examined. The objectives were to describe the behaviour of weekly prices and volumes and to investigate various relationships. The data analysed are weekly volume and turnover for eighteen vegetables at a Palmerston North auction for a three year period. Various climatological variables relating to the same period were also analysed. Much of the descriptive analysis relies on the techniques of Exploratory Data Analysis; boxplots, letterplots, and a resistant smoother are used extensively. These methods facilitate the analysis of the behaviour of prices and volumes over time. The auction marketing system is discussed at length, with particular emphasis on the effect of length of run on supply response. Various relationships are examined predominantly using stepwise reqression. These include: current price and quantity; current quantity and lagged price; quantity and month of the year; price and month of the year; price and various weather variables; quantity and various weather variables; current price and lagged price. Some transformations are used to try to get a more linear relationship between price and quantity. This relied on fitting several resistant lines, another EDA technique. The interdependence or interrelationship of prices examined using Principal Components Analysis, and principal components were extracted and described. Some useful insights into the behaviour of the market are gained. Immediate run price variation, that is from week to week, is quite large and this is reflected in low R-squared values for the price-volume relationships. The relationship between current marketed volume and lagged prices was also investigated. The results indicate that in the immediate run, using weekly prices, this relationship is weak. Arguably the most useful analysis was the monthly price boxplots which give a clear graphic display of the behaviour of prices. These and the other plots give indications as to when prices were highest and lowest. They may be useful to growers in planning production and harvesting. It was discovered that weekly prices were more variable than weekly volumes for 10 vegetables, less variable for six vegetables, and equally variable for two vegetables. 0ften the highest weekly price did not coincide with the lowest weekly supply, and the lowest price did not correspond to the highest supply. This suggests that bidders under or over estimate the quantity on the floor and each other's requirements

A Rank Approach to Equity Forecast Construction

The purpose of this paper is to present a rank based approach to cross-sectionallinear factor modelling. The emphasis is on approximating factor exposures in aconsistent manner in order to facilitate the merging of subjective information(from professional investors) with objective information (from accounting dataand/or state of the art quantitative models) in a statistically rigorous way withoutneeding to impose the unrealistic simplifying assumptions typical of more standardtime series models. We deal with the problems of identifying country and sectorreturns by an innovative hierarchical factor structure. This is all discussed fromthe perspective that investment models are not immutable but rather need to bedesigned with characteristics that are fit for their purpose; for example, returningaggregate county and sector forecasts that are consistent by construction

Decomposition Algorithms for Stochastic Programming on a Computational Grid

We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker type (with the workers being used to solve second-stage problems, and the MW runtime support library (which supports master-worker computations) is key to the implementation. Computational results are presented on large sample average approximations of problems from the literature.Comment: 44 page

The predictive space or if x predicts y, what does y tell us about x?

A predictive regression for yt and a time series representation of the predictors, xt, together imply a univariate reduced form for yt. In this paper we work backwards, and ask: if we observe yt, what do its univariate properties tell us about any xt in the "predictive space" consistent with those properties? We provide a mathematical characterisation of the predictive space and certain of its derived properties. We derive both a lower and an upper bound for the R2 for any predictive regression for yt. We also show that for some empirically relevant univariate properties of yt, the entire predictive space can be very tightly constrained. We illustrate using Stock and Watson's (2007) univariate representation of inflation

Correlates of statewise participation in the great Indian growth turnaround: some preliminary robustness results

This short note provides some supplementary analysis to the regressions in Section 5 of Ghate and Wright (forthcoming), that was carried out after the refereeing process for that paper was completed, and hence could not be included in the published version. It is not a free-standing paper, but is intended to be read in conjunction with the published paper