142 research outputs found
On selecting policy analysis models by forecast accuracy
The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept corrections and differenced-data VARs. However, the resulting models need have no policy implications. A ‘paradox’ may result if their forecasts induce policy changes which can be used to improve the statistical forecast. This suggests correcting statistical forecasts by using the econometric model’s estimate of the ‘scenario’ change. An application to UK consumers expenditure illustrates the analysis.
Gold as an inflation hedge?
This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against inflation. The model also demonstrates that short-run changes in the gold lease rate, the real interest rate, convenience yield, default risk, the covariance of gold returns with other assets and the dollar/world exchange rate can disturb this equilibrium relationship and generate short-run price volatility. Using monthly gold price data (1976-1999), and cointegration regression techniques, an empirical analysis confirms the central hypotheses of the theoretical model
A study of orientational ordering in a fluid of dipolar Gay-Berne molecules using density-functional theory
Published versio
Microflares and the Statistics of X-ray Flares
This review surveys the statistics of solar X-ray flares, emphasising the new
views that RHESSI has given us of the weaker events (the microflares). The new
data reveal that these microflares strongly resemble more energetic events in
most respects; they occur solely within active regions and exhibit
high-temperature/nonthermal emissions in approximately the same proportion as
major events. We discuss the distributions of flare parameters (e.g., peak
flux) and how these parameters correlate, for instance via the Neupert effect.
We also highlight the systematic biases involved in intercomparing data
representing many decades of event magnitude. The intermittency of the
flare/microflare occurrence, both in space and in time, argues that these
discrete events do not explain general coronal heating, either in active
regions or in the quiet Sun.Comment: To be published in Space Science Reviews (2011
On selecting policy analysis models by forecast accuracy
The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept corrections and differenced-data VARs. However, the resulting models need have no policy implications. A ‘paradox’ may result if their forecasts induce policy changes which can be used to improve the statistical forecast. This suggests correcting statistical forecasts by using the econometric model’s estimate of the ‘scenario’ change. An application to UK consumers expenditure illustrates the analysis
Modelling a century and a half of UK macroeconomic data using general to specific methodology.
Growth, structural change and evolution is endemic in any economy, and yet we require well-specified, constant parameter econometric models of macro phenomena to understand economies, forecast and undertake policy analysis. This article draws on recent developments in econometric modelling, including general-to-specific modelling, non-linearity testing and modelling, and outlier detection using indicator saturation, to propose a methodology in which constant parameter models can be built over long periods, yielding substantial insights into macroeconomic behaviour over a century and a half
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