Labor productivity forecasts based on a Beveridge–Nelson filter: Is there statistical evidence for a slowdown?

In this paper, I assess the evidence for a structural break in labor productivity growth in the years before the Great Recession with the use of out-of-sample forecasting exercises for the years 2010 to 2019 and the recently developed Beveridge–Nelson filter. Models based on a Beveridge–Nelson filter with no structural breaks outperform those allowing for a structural break, and there is statistically significant evidence that they outperform the random walk, though all models were too optimistic about labor productivity growth. Recently developed statistical tests do point to the presence of a structural break before the Great Recession, but uncertainty about the data-generating process for labor productivity growth or the timing and magnitude of the break may be too great to be helpful in forecast preparation.     

A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures

This paper proposes a multivariate distance nonlinear causality test (MDNC) using the partial distance correlation in a time series framework. Partial distance correlation as an extension of the Brownian distance correlation calculates the distance correlation between random vectors X and Y controlling for a random vector Z. Our test can detect nonlinear lagged relationships between time series, and when integrated with machine learning methods it can improve the forecasting power. We apply our method as a feature selection procedure and combine it with the support vector machine and random forests algorithms to study the forecast of the main energy financial time series (oil, coal, and natural gas futures). It shows substantial improvement in forecasting the fuel energy time series in comparison to the classical Granger causality method in time series.     

The Random Walk Hypothesis in the Emerging Indian Stock Market

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.     

EMBEDDED MATRICES FOR FINITE MARKOV CHAINS

For an arbitrary subset A of the finite state space 5 of a Markov chain the so–called embedded matrix P _A is introduced. By use of these matrices formulas expressing all kinds of probabilities can be written down almost automatically, and calculated very easily on a computer. Also derivations can be given very systematically.     

2005年人民币汇率制度改革效应实证分析

本文发现，迄今为止人民币汇率的走势实际上是一个有“突变”现象的“随机游走”过程，这种“突变”可以解释为在严格外汇管制条件下人民币长期积聚的升值压力的一次释放；特别地，2005年7月21日的汇率改革是卓有成效的，它通过加快进口增长和减缓出口增长弱化了人民币进一步升值的压力。文章进而指出，在有效监控投机资金和预防投机冲击的国内机制建立之前，“爬行式钉住汇率”是我国当前汇率政策的最佳选择，而不是简单地放宽人民币对美元汇率的浮动范围。     

A New Approach to Random Utility Modeling using the Dirichlet Multinomial Distribution

In this paper we introduce a new econometricapproach to analyzing recreational site choicedata, the Dirichlet multinomial model. Thismodel, which nests the standard conditionalmultinomial logit model, can accommodateover-dispersed data and may provide moreefficient estimators of coefficients andconsequent welfare measures than the standardconditional logit model, which is so widelyused in the Random Utility Model approach torecreation demand. We illustrate thisDirichlet approach using a data set of rockclimbers in Scotland, and study the impacts onper-trip consumers surplus of alternativemanagement strategies for popular rock climbingsites. Results show that the Dirichletmultinomial approach produces coefficient andwelfare estimates having smaller samplingvariability in this case. We also compareclassical welfare measures with their posteriorequivalents, which allow for welfare changes tobe dis-aggregated.     

A simple random assignment problem with a unique solution

Summary. All agents have the same ordinal ranking over all objects, receiving no object (opting out) may be preferable to some objects, agents differ on which objects are worse than opting out, and the latter information is private. The Probabilistic Serial assignment, improves upon (in the Pareto sense) the Random Priority assignment, that randomly orders the agents and offers them successively the most valuable remaining object. We characterize Probabilistic Serial by efficiency in an ordinal sense, and envy-freeness. We characterize it also by ordinal efficiency, strategyproofness and equal treatment of equals. Received: October 5, 1999; revised version: December 20, 2000     

Probability of survival in a random exchange economy with dependent agents

Summary. In this paper I analyze the general equilibrium in a random Walrasian economy. Dependence among agents is introduced in the form of dependency neighborhoods. Under the uncertainty, an agent may fail to survive due to a meager endowment in a particular state (direct effect), as well as due to unfavorable equilibrium price system at which the value of the endowment falls short of the minimum needed for survival (indirect terms-of-trade effect). To illustrate the main result I compute the stochastic limit of equilibrium price and probability of survival of an agent in a large Cobb-Douglas economy. Received June 7, 2001; revised version: January 7, 2002 RID="*" ID="*" I would like to thank Mukul Majumdar and Thomas DiCiccio for helpful discussion and an anonymous referee for valuable comments and suggestions.     

Price discrimination and efficient matching

This paper considers the problem of a monopoly matchmaker that uses a schedule of entrance fees to sort different types of agents on the two sides of a matching market into exclusive meeting places, where agents randomly form pairwise matches. We make the standard assumption that the match value function exhibits complementarities, so that matching types at equal percentiles maximizes total match value and is efficient. We provide necessary conditions and sufficient conditions for the revenue-maximizing sorting to be efficient. These conditions require the match value function, modified to incorporate the incentive cost of eliciting private type information, to exhibit complementarities in types.JEL Clalssification Numbers C7, D4We thank Jonathan Levin, Tracy Lewis, and the seminar audience at University of California at Los Angeles, University of British Columbia, Duke University, and 2003 Econometric Society North American Summer Meeting for comments and suggestions. We are also grateful for helpful suggestions from the referees and the Editor     

既有结构可靠度的模糊算法

基于结构抗力和荷载效应的不确定性，提出了一种既有结构工程可靠度的模糊算法。该方法利用模糊算法可以反映客观事物因素的层次性，又便于比较和考虑各层次中诸因素作用的大小以决定可靠度。算例结果表明该方法简单实用，其模型可以很好地拟合真实的极限状态函数，是解决既有结构体系可靠度问题的有效方法。