Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare “true” joint distributions with ones generated by given DSGEs. This is accomplished via comparison of the empirical joint distributions (or confidence intervals) of historical and simulated time series. The tool draws on recent advances in the theory of the bootstrap, Kolmogorov type testing, and other work on the evaluation of DSGEs, aimed at comparing the second order properties of historical and simulated time series. We begin by fixing a given model as the “benchmark” model, against which all “alternative” models are to be compared. We then test whether at least one of the alternative models provides a more “accurate” approximation to the true cumulative distribution than does the benchmark model, where accuracy is measured in terms of distributional square error. Bootstrap critical values are discussed, and an illustrative example is given, in which it is shown that alternative versions of a standard DSGE model in which calibrated parameters are allowed to vary slightly perform equally well. On the other hand, there are stark differences between models when the shocks driving the models are assigned non-plausible variances and/or distributional assumptions.     

The economic impact of digital technologies in Europe

This paper analyses the economic impact of digital technologies in Europe distinguishing between different stages/domains of the digitalization process. A set of composite Information and Communication Technologies (ICT) indicators is used for capturing the access to ICTs, the ability to use them and the digital empowerment of individuals in key social and economic domains. We argue that the mere accessibility to ICT facilities is only a pre-condition for moving towards a digitalized society, while the ‘level’ and the ‘quality’ in the use of these technologies, as well as the conditions facilitating or hampering digital empowerment, play a much more important role. Several transmission mechanisms from ICT access, usage and digital empowerment to key macro-economic variables (namely labour productivity, gross domestic product per capita, employment growth and the employment rate) are identified. The econometric evidence supports our hypotheses showing that the usage of ICT, and mostly digital empowerment, exert the major economic effects, especially on employment also favouring the inclusion of ‘disadvantaged’ groups in the labour market. We conclude that digitalization may drive productivity and employment growth and that inclusive policies may effectively contribute to bridge the gap between the most favoured and the disadvantaged parts of the population, thus helping in achieving the 2020 Europe targets.     

The environmental sustainability of protected area tourism: towards a concession-related theory of regulation

Demand for Protected Area (PA) tourism continues to grow, raising concerns for its environmental sustainability. Numerous sustainable tourism guidelines and best practice examples exist for separate aspects of PA regulation and management. However, such efforts are insufficient to reliably and holistically understand how regulation can mediate the relationship between tourism development and PA environmental sustainability. This paper proposes a theory development project, to map the compatibility and interplays among various regulatory approaches, and their consequences for sustainable PA tourism. The project is initiated here by taking the first steps toward a concession-related theory of regulation. The focus on concessions has been chosen because concessions are the most under-researched aspects of PA tourism regulation. Four regulatory aspects are selected and conceptualized in this paper: the approaches to PA planning, the types of monitoring undertaken, the methods of concession allocation and the design of environmental requirements in concession contracts. Methodologically, grounded theory is used, with data collection relying on written sources. The paper develops two sets of narrative statements regarding the prospects for PA environmental sustainability, under particular examples of concession-related regulation. The conclusion articulates several research questions, as an immediate research agenda, and calls for an international research group to be formed.     

Testing for structural stability of factor augmented forecasting models

Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g.  Stock and Watson (2009)). This result does not hold in the presence of large common breaks in the factor loadings, however. In this case, information criteria overestimate the number of breaks. Additionally, estimated factors are no longer consistent estimators of “true” factors. Hence, various recent research papers in the diffusion index literature focus on testing the constancy of factor loadings. However, forecast failure of factor augmented models can be due to either factor loading instability, regression coefficient instability, or both. To address this issue, we develop a test for the joint hypothesis of structural stability of both factor loadings and factor augmented forecasting model regression coefficients. Our proposed test statistic has a chi-squared limiting distribution, and we are able to establish the first order validity of (block) bootstrap critical values. Empirical evidence is also presented for 11 US macroeconomic indicators.     

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995) and White (2000). In order to establish the asymptotic properties of our tests, we also develop a recursive variant of the nonparametric simulated maximum likelihood estimator of Fermanian and Salanié (2004). In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared.     

Governance for sustainable tourism: a comparison of international and Dutch visions

This study focuses on the role of public authorities in the governance of tourism for sustainable development at national level. Departing from an overview of international recommendations, it analyses whether those recommendations are reflected in the way public authorities influence domestic tourism in the Netherlands. The conclusion is drawn that, currently, the internationally recommended horizontal and vertical coordination of public authorities and their policies is missing. This is largely due to a design approach that follows from neo-liberal principles of governance, as opposed to the sustainability performance of the tourism sector. The paper then discusses the results of a survey carried out to map the extent to which Dutch tourism stakeholders would be in favor of adopting measures to improve coordination. It is concluded that, although there is support for more coordination, there is no converging vision on how specific aspects of it should be best organized. The paper highlights the need for multi-stakeholder debates that should consider the links between governance features and the sustainability performance of tourism.     

Assessing social support networks in cross-national comparative surveys: Measurement issues

In recent years many cross-national comparative surveys, such as Gender and Generation Programme, International Social Survey Programme, European Quality of Life Survey, or General Social Survey, have included assessment of social support networks. Generally, two approaches were used; the name generator approach and the role relation approach. As more cross-country surveys are conducted every year, it may seem reasonable to use such data sets, since they provide high quality comparisons across countries. However, one should pay close attention to the measurement instruments, as these may cause unintentional but systematic variability in the observed data. While the data from each survey can be of high quality ??per se??, we claim that results from these surveys are not comparable, owing to their different measurement approaches and survey instruments. In this paper we present data from several experiments which show that scientific findings from these surveys depend significantly on questionnaire design.     

Spanning with futures contracts

Regression-based testing techniques have long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This paper derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, futures contracts for which marked-to-market margins are explicitly taken into account. Two empirical applications illustrate our results.