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39
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a MarkovSwitching Model of Business Cycle
, 1999
"... We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to d ..."
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Cited by 381 (15 self)
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We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to dealing with structural break at an unknown changepoint in a Markovswitching model of business cycle. Empirical results suggest that there has been a structural break in U.S. real GDP growth toward more stabilization, with the posterior mode of the break date around 1984:1. Furthermore, we #nd a narrowing gap between growth rates during recessions and booms is at least as important as a decline in the volatility of shocks. Key Words: Bayes Factor, Gibbs sampling, Marginal Likelihood, MarkovSwitching, Stabilization, Structural Break. JEL Classi#cations: C11, C12, C22, E32. 1. Introduction In the literature, the issue of postwar stabilization of the U.S. economy relative to the prewar period has...
Selection of estimation window in the presence of breaks
 Journal of Econometrics
, 2007
"... In situations where a regression model is subject to one or more breaks it is shown that it can be optimal to use prebreak data to estimate the parameters of the model used to compute outofsample forecasts. The issue of how best to exploit the tradeo that might exist between bias and forecast er ..."
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Cited by 47 (8 self)
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In situations where a regression model is subject to one or more breaks it is shown that it can be optimal to use prebreak data to estimate the parameters of the model used to compute outofsample forecasts. The issue of how best to exploit the tradeo that might exist between bias and forecast error variance is explored and illustrated for the multivariate regression model under the assumption of strictly exogenous regressors. In practice when this assumption cannot be maintained and both the time and size of the breaks are unknown the optimal choice of the observation window will be subject to further uncertainties that make exploiting the biasvariance tradeo di cult. To that end we propose a new set of crossvalidation methods for selection of a single estimation window and weighting or pooling methods for combination of forecasts based on estimation windows of di erent lengths. Monte Carlo simulations are used to show when these procedures work well compared with methods that ignore the presence of breaks. JEL Classi cations: C22, C53.
Incremental Learning of Linear Model Trees
 Machine Learning
, 2005
"... A linear model tree is a decision tree with a linear functional model in each leaf. Previous model tree induction algorithms have operated on the entire training set, however there are many situations when an incremental learner is advantageous. In this paper we demonstrate that model trees ca ..."
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Cited by 23 (2 self)
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A linear model tree is a decision tree with a linear functional model in each leaf. Previous model tree induction algorithms have operated on the entire training set, however there are many situations when an incremental learner is advantageous. In this paper we demonstrate that model trees can be induced incrementally using an algorithm that scales linearly with the number of examples.
Hazards in Implementing a Monetary Conditions Index
 Oxford Bulletin of Economics and Statistics
, 1996
"... to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has Some recent studies have suggested constructing a Monetary Conditions Index (or MCI) to serve as an indicator of monetary policy stanc ..."
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Cited by 19 (2 self)
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to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has Some recent studies have suggested constructing a Monetary Conditions Index (or MCI) to serve as an indicator of monetary policy stance. The central banks of Canada, Sweden, and Norway all construct an MCI and (to varying degrees) use it in conducting monetary policy. Empirically, an MCI is calculated as the weighted sum of changes in a shortterm interest rate and the exchange rate relative to values in a baseline year. The weights aim to re°ect these variables ' e®ects on longerterm focuses of policy  economic activity and in°ation. This paper derives analytical and empirical properties of MCIs in an attempt to ascertain their usefulness in monetary policy. An MCI assumes an underlying model relating economic activity and in°ation to the variables in the MCI. Several issues arise for that model, including its empirical constancy, cointegration, exogeneity, dynamics, and potential omitted variables. Because of its structure, the model is unlikely to be constant or to have strongly exogenous variables; and we show that constancy and exogeneity are critical for the usefulness of an MCI. Empirical analyses of Canadian, Swedish, and Norwegian MCIs con¯rm such di±culties. Thus, the value of an MCI for conduct of economic policy is in doubt.
A Parallel CuttingPlane Algorithm for the Vehicle Routing Problem With Time Windows
, 1999
"... In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may on ..."
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Cited by 13 (1 self)
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In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may only serve the customers on a route if the total demand does not exceed the capacity of the vehicle. The most effective solution method proposed to date for this problem is due to Kohl, Desrosiers, Madsen, Solomon, and Soumis. Their algorithm uses a cuttingplane approach followed by a branchand bound search with column generation, where the columns of the LP relaxation represent routes of individual vehicles. We describe a new implementation of their method, using Karger's randomized minimumcut algorithm to generate cutting planes. The standard benchmark in this area is a set of 87 problem instances generated in 1984 by M. Solomon; making using of parallel processing in both the cuttingpla...
I(2) Cointegration Analysis in the Presence of Deterministic Shifts
, 2008
"... This paper investigates limit theory for the likelihood analysis of an I(2) cointegrated vector autoregressive (VAR) model in the presence of deterministic shifts. A log likelihood ratio (log LR) test statistic for integration indices is considered, and it is demonstrated that the asymptotic distrib ..."
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Cited by 5 (0 self)
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This paper investigates limit theory for the likelihood analysis of an I(2) cointegrated vector autoregressive (VAR) model in the presence of deterministic shifts. A log likelihood ratio (log LR) test statistic for integration indices is considered, and it is demonstrated that the asymptotic distribution of the statistic is given in the form of a generalised DickyFuller type distribution. A log LR test statistic for restrictions on longrun and slope coe ¢ cients is also investigated, and it is proved that the statistic is asymptotically 2 distributed. Finally, an empirical analysis of macroeconomic data in Japan is performed using the I(2) VAR model subject to a deterministic shift.
A Descriptive Method to Evaluate the Number of Regimes in a Switching AutoRegressive Model, Neural Networks 19
, 2006
"... Abstract This paper proposes a descriptive method for an open problem in time series analysis: determining the number of regimes in a switching autoregressive model. We will translate this problem into a classication one and dene a criterion for hierarchically clustering dierent model ttings. Fina ..."
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Cited by 4 (0 self)
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Abstract This paper proposes a descriptive method for an open problem in time series analysis: determining the number of regimes in a switching autoregressive model. We will translate this problem into a classication one and dene a criterion for hierarchically clustering dierent model ttings. Finally, the method will be tested on simulated examples and reallife data. Key words switching autoregressive models, hierarchical clustering, Ward distance, SOM 1
2008) “Multiround Procurement Auctions with Secret Reserve Prices: Theory and Evidence
 Journal of Applied Econometrics
"... When a secret reserve price is used in an auction, the auctioneer cannot guarantee that the good can be sold out at the auction, and can reauction the unsold objects in the next round. Motivated by this interesting feature observed in the procurement auctions organized by the Indiana Department of ..."
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Cited by 3 (0 self)
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When a secret reserve price is used in an auction, the auctioneer cannot guarantee that the good can be sold out at the auction, and can reauction the unsold objects in the next round. Motivated by this interesting feature observed in the procurement auctions organized by the Indiana Department of Transportation, we construct a bidding model in multiround procurement auctions with secret reserve prices and evaluate how the release of the auctioneers reserve price a¤ects biddersbidding behavior and the auctioneers expected payment. Our theoretical model predicts that the equilibrium bids uniformly decline over stages, and the numerical analysis of our model indicates that hiding the reserve price may be better than announcing it for the auctioneer under some speci
cations of underlying distributions. We develop an empirical model to recover the unknown structutral parameters and to conduct counterfactual analyses. We thank M. Baye, E. Bond, A. Daughety, Y. Fan, J. Levin and J. Reinganum for their comments and suggestions.
Change and Involution in Sugar Production in Cultivation System Java
, 1998
"... Production functions for sugar in four major sugarproducing residencies of Cultivation System Java (18401870) are estimated using colonial data. The residency level estimates are analyzed for evidence of structural change in the period 18481851. The analysis confirms that the reforms of 18481851 ..."
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Cited by 1 (0 self)
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Production functions for sugar in four major sugarproducing residencies of Cultivation System Java (18401870) are estimated using colonial data. The residency level estimates are analyzed for evidence of structural change in the period 18481851. The analysis confirms that the reforms of 18481851 in the Netherlands East Indies were accompanied by significant changes in sugar production. The results are also consistent with agricultural involution in Java. There is strong evidence for technological change in sugar production, though these gains cannot be specifically attributed to either the agricultural or the milling aspect of sugar production.