Improved forecasting with leading indicators: the principal covariate index

We propose a new method of leading index construction that combines the need for data compression with the objective of forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index. The forecast performance is compared with an alternative index based on principal components and with the Composite Leading Index of the Conference Board. The results show that the new index, which takes the forecast objective explicitly into account, provides significant gains over other single-index methods, both in terms of forecast accuracy and in terms of predicting recession probabilities

System identifiability from finite time series

In this paper we investigate the identification of systems from time series observed over a finite time interval. The data generating system is supposed to be finite dimensional, linear and time invariant, but not necessarily controllable. The minimal number of time series needed to identify a system is characterized by the identifiability index of a system, which measures the rank drop of autoregressive representations. We formulate a procedure for modelling finite time series which takes the corroboration of system restrictions into account. This also gives a new solution for the partial realization problem

Consistency of System Identification by Global Total Least Squares

Global total least squares (GTLS) is a method for the identification of linear systems where no distinction between input and output variables is required. This method has been developed within the deterministic behavioural approach to systems. In this paper we analyse statistical properties of this method when the observations are generated by a multivariable stationary stochastic process. In particular, sufficient conditions for the consistency of GTLS are derived. This means that, when the number of observations tends to infinity, the identified deterministic system converges to the system that provides an optimal appoximation of the data generating process. The two main results are the following. GTLS is consistent if a guaranteed stability bound can be given a priori. If this information is not available, then consistency is obtained (at some loss of finite sample efficiency) if GTLS is applied to the observed data extended with zero values in past and future

Behavioural Approximation of Stochastic Processes by Rank Reduced Spectra

Behaviours provide an elegant, parameter free characterization of deterministic systems. We discuss a possible application of behaviours in the approximation of stochastic systems. This can be seen as an extension to the dynamic case of the well-known static factor analysis model. An essential difference is that we see modelling primarily as a matter of process approximation, not as a method to recover the true data generating process. In particular we see "noise properties" as a kind of prior model assumption that can be compared with the resulting quality of the process approximation

Identification of System Behaviours by Approximation of Time Series Data

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and behaviours allow for a global (i.e., non-local) approximation of the system dynamics. This is illustrated with a behavioural least squares method with an application in dynamic factor analysis

Consistency of global total least squares in stochastic system identification

Global total least squares has been introduced as a method for the identification of deterministic system behaviours. We analyse this method within a stochastic framework, where the observed data are generated by a stationary stochastic process. Conditions are formulated so that the method is consistent in the sense that, when the number of observations tends to infinity, the identified deterministic behaviour converges to the behaviour that provides an optimal appoximation of the data generating process

Immigrant gender convergence in education and on the labor market

Immigration tends to have a mitigating effect on the socioeconomic gender gap among immigrants. To explain this finding, we propose a gender convergence hypothesis that states that migration to a modern ‘open’ society offers women the opportunity to improve their position relative to that of men. In such a society, there are (almost) equal chances to participate in education and paid labor. The equalizing effect will be larger if the immigrants come from less developed regions, since women then have more room to improve their position. However, there may also be countervailing cultural powers within the immigrant group. The gender convergence hypothesis proposed here is tested for immigrants in the Netherlands. Using survey data, we investigate the educational and labor market position of Turkish, Moroccan, Surinamese, and Antillean males and females. We find convergent trends, particularly among Moroccan immigrants who come from less developed regions in their country of origin and who meet less cultural in-group barriers than, for example, Turkish immigrants

Dynamics in the dry bulk market

Recent dynamics in iron ore markets are driven by rapid changes in economic activities that affect commodity markets, trade flows, and shipping activities. Time series models for the relation between these variables in Southeast Asia and the Australasian region are supplemented with models for safety and pollution risk. Steel production in China, Japan, and South Korea is related to iron ore exports and vessel activity in Australia, with an estimated time lag of about two months. The Purchasing Manager Index, which is popular among traders as indicator of economic activity, is found to have predictive power both for steel production and for iron ore exports. The growth in economic activity and vessel movements is associated with significantly higher risks for ship accidents and pollution

Improved strategies for the maritime industry to target vessels for inspection and to select inspection priority areas

Inspection authorities such as the Port State Control Memoranda of Understanding use different policies and targeting methods to select vessels for inspections and rely primarily on past inspection outcomes. One of the main goals of inspections is to improve the safety quality of vessels and to reduce the probability of future incidents. This study shows there is room for improvement in targeting vessels for inspections and in determining vessel-specific inspection priority areas (e.g., bridge management versus machinery related items). For the year 2018, sixty percent o

Risk evaluation methods at individual ship and company level

Safety management and risk profiling to identify substandard ships are of importance to the shipping industry. Whereas current methods rely heavily on detention risk and flag state performance, we extend the risk assessment by considering various risk dimensions and by evaluating a wide range of risk factors. Apart from detention risk, we consider also the risk of various types of accidents (total loss, very serious, and serious) and damage (hull and machinery, cargo, pollution, loss of life, and third party liabilities). Risk factors include ship particulars like ship type and classes of companies and owners, as well as historical information on past accidents, inspections, and changes of particulars. We present methods to summarize and visualize various risk dimensions and we pay particular attention to the identification of potentially risky companies. The empirical results are obtained by combining rich data sets with information on ship arrivals, inspections, and accidents for the period from 2006 to 2010. The presented methods and results are of interest to various stakeholders in the industry, such as charterers, insurance companies, maritime administrations, and the International Maritime Organization