Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model

The Stock–Watson coincident index and its subsequent extensions assume a static linear one-factor structure for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one defines a coincident index as an estimate of latent monthly real GDP. This paper considers VAR and factor models for latent monthly real GDP and other coincident indicators, and estimates the models using the observable mixed-frequency series. For US data, Schwartz’s Bayesian information criterion selects a two-factor model. The smoothed estimate of latent monthly real GDP is the proposed index.

I(1) とI(2) が混在する共和分時系列の多変量Beveridge Nelson 分解

多変量Beveridge Nelson (B N) 分解は，複数のI(1) 時系列を同時に確率的トレンドとギャップに分解する手法である。しかし実質GDP を含むマクロ経済時系列に多変量B N 分解を単純に適用すると，米国以外のデータでは，しばしば発散する不自然なGDP ギャップが得られる。他方で近年のマクロ経済学の標準的な理論における動学的IS 曲線では，実質GDP 成長率と実質利子率の和分次数は等しいとされる。したがって実質利子率がI(1) なら実質GDP 成長率もI(1) なので，実質GDP の対数値はI(2) となり，さらに実質GDP 成長率と実質利子率は共和分時系列となる。本論文はI(1) とI(2) が混在する共和分時系列に多変量B N 分解を拡張する。応用例として日本のインフレ率・実質利子率・失業率・実質GDP の確率的トレンドとギャップを同時に推定する。確率的トレンドは自然率とも解釈できる。本研究はJSPS科研費JP16K03605の助成を受けたものです

Development of natto with germination-defective mutants of Bacillus subtilis (natto)

The original publication is available at www.springerlink.comArticleAPPLIED MICROBIOLOGY AND BIOTECHNOLOGY. 82(4):741-748 (2009)journal articl

大学中退の逐次意思決定モデルの構造推定

Using the four-year academic records of 301 male students who enrolled in a specific department at a certain university in April 2016, this paper estimates the structural parameters of a sequential decision model of college dropout and conducts a counterfactual analysis. A well-known method for structural estimation of a dynamic discrete choice model is the Conditional Choice Probability (CCP) method, which recovers the integrated value function from a nonparametric estimate of the reduced-form dropout probability function (CCP function) and constructs a correction term to be added to a binary logit model of staying/dropout to ensure consistent estimation of the structural parameters. The CCP method is especially easy to apply to optimal stopping models, given the value of stopping (expected lifetime earnings after dropout). If dropouts are rare, however, ML estimation of the binary logit model may fail due to complete separation. To avoid this problem, this paper considers a modification of the CCP method, which uses a nonparametric estimate of the log odds ratio of staying/dropout as the dependent variable to apply the least squares method. Monte Carlo experiments show that precise estimation of the structural parameters requires precise estimation of the reduced-form CCP function, which requires a large sample since some states may rarely occur in optimal stopping models. Indeed, precise estimation of the structural parameters was difficult with our data. Nevertheless, given the discount factor and the scale parameter, certain counterfactual behaviors are identifiable independently from the remaining structural parameters. As an example, this paper estimates the effect of four-year tuition subsidies on the dropout probability of the male students in our data. The results show that a tuition subsidy of 100,000 yen per semester reduces the four-year cumulative dropout probability by approximately 2.2%. However, the lower cumulative dropout probability is due to later dropout decisions, and does not necessarily imply a higher graduation probability

Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK

The Bank of England/GfK NOP Inflation Attitudes Survey asks individuals about their inflation perceptions and expectations in eight ordered categories with known boundaries except for an indifference limen. With enough categories for identification, one can fit a mixture distribution to such data, which can be multi-modal. Thus Bayesian analysis of a normal mixture model for interval data with an indifference limen is of interest. This paper applies the No-U-Turn Sampler (NUTS) for Bayesian computation, and estimates the distributions of public inflation perceptions and expectations in the UK during 2001Q1--2015Q4. The estimated means are useful for measuring information rigidity

Cause and Countermeasure Way of Rubble Fires Occurred after 2011 Great Earthquake of Japan

AbstractThis paper seeks for cause and countermeasure way of fires of huge amount of rubble which were produced after 2011 great earthquake of Japan. In 2011, we experienced many fires caused with rubbles which were produced from destroyed houses by the Great earthquake and tsunami in March 11, 2011, in Japan. Rubble includes various organic materials, and sometimes causes fires, which is used for fuel of power plants, or energy sources. It is very difficult to extinguish fire of such biomass fuel made from rubble in outdoor storage facilities. Here current studies for safety handling of these materials and proposed an evaluation method, is introduced, which is to use high sensitive calorimeters. And cause investigation work and countermeasure method, conducted by author is introduced. Our results regarding cause of fires are: initial of heat generation and fire are mostly by fermentation, and then oxidation process started after micro organism dead by high temperature, up to about 60°C. High sensitive calorimeters can detect small heat generation between room temperature and 80°C, due to fermentation or other causes. This heat generation sometimes initiated a real fire even outdoor, and produced some combustible gas. With understanding this process we recommend countermeasure way against such fires, to release heat from the pile, and prevent air entrainment into the pile to stop fermentation

The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series

The consumption Euler equation implies that the output growth rate and the real interest rate are of the same order of integration; i.e., if the real interest rate is I(1), then so is the output growth rate and hence log output is I(2). To estimate the natural rates and gaps of macroeconomic variables jointly, this paper develops the multivariate Beveridge--Nelson decomposition with I(1) and I(2) series. The paper applies the method to Japanese data during 1980Q1--2013Q3 to estimate the natural rates and gaps of output, inflation, interest, and unemployment jointly

The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series

The consumption Euler equation implies that the output growth rate and the real interest rate are of the same order of integration; i.e., if the real interest rate is I(1), then so is the output growth rate and hence log output is I(2). To estimate the natural rates and gaps of macroeconomic variables jointly, this paper develops the multivariate Beveridge--Nelson decomposition with I(1) and I(2) series. The paper applies the method to Japanese data during 1980Q1--2013Q3 to estimate the natural rates and gaps of output, inflation, interest, and unemployment jointly