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A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems
 ECONOMETRICA
, 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
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Cited by 507 (3 self)
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. These and previously proposed estimators of cointegrating vectors are used to study longrun U.S. money (Ml) demand. Ml demand is found to be stable over 19001989; the 95 % confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (.13,.08), respectively. Estimates based
Investor psychology and security market under and overreactions
 Journal of Finance
, 1998
"... We propose a theory of securities market under and overreactions based on two wellknown psychological biases: investor overconfidence about the precision of private information; and biased selfattribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment ..."
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Cited by 661 (38 self)
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outcomes. We show that overconfidence implies negative longlag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, publiceventbased return predictability. Biased selfattribution adds positive shortlag autocorrelations ~“momentum”!, short
Convex Analysis
, 1970
"... In this book we aim to present, in a unified framework, a broad spectrum of mathematical theory that has grown in connection with the study of problems of optimization, equilibrium, control, and stability of linear and nonlinear systems. The title Variational Analysis reflects this breadth. For a lo ..."
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Cited by 5350 (67 self)
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long time, ‘variational ’ problems have been identified mostly with the ‘calculus of variations’. In that venerable subject, built around the minimization of integral functionals, constraints were relatively simple and much of the focus was on infinitedimensional function spaces. A major theme
Factor Graphs and the SumProduct Algorithm
 IEEE TRANSACTIONS ON INFORMATION THEORY
, 1998
"... A factor graph is a bipartite graph that expresses how a "global" function of many variables factors into a product of "local" functions. Factor graphs subsume many other graphical models including Bayesian networks, Markov random fields, and Tanner graphs. Following one simple c ..."
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Cited by 1787 (72 self)
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A factor graph is a bipartite graph that expresses how a "global" function of many variables factors into a product of "local" functions. Factor graphs subsume many other graphical models including Bayesian networks, Markov random fields, and Tanner graphs. Following one simple computational rule, the sumproduct algorithm operates in factor graphs to computeeither exactly or approximatelyvarious marginal functions by distributed messagepassing in the graph. A wide variety of algorithms developed in artificial intelligence, signal processing, and digital communications can be derived as specific instances of the sumproduct algorithm, including the forward/backward algorithm, the Viterbi algorithm, the iterative "turbo" decoding algorithm, Pearl's belief propagation algorithm for Bayesian networks, the Kalman filter, and certain fast Fourier transform algorithms.
Vivaldi: A Decentralized Network Coordinate System
 In SIGCOMM
, 2004
"... Largescale Internet applications can benefit from an ability to predict roundtrip times to other hosts without having to contact them first. Explicit measurements are often unattractive because the cost of measurement can outweigh the benefits of exploiting proximity information. Vivaldi is a simp ..."
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Cited by 593 (5 self)
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Largescale Internet applications can benefit from an ability to predict roundtrip times to other hosts without having to contact them first. Explicit measurements are often unattractive because the cost of measurement can outweigh the benefits of exploiting proximity information. Vivaldi is a simple, lightweight algorithm that assigns synthetic coordinates to hosts such that the distance between the coordinates of two hosts accurately predicts the communication latency between the hosts.
A sentimental education: Sentiment analysis using subjectivity summarization based on minimum cuts
 In Proceedings of the ACL
, 2004
"... Sentiment analysis seeks to identify the viewpoint(s) underlying a text span; an example application is classifying a movie review as “thumbs up” or “thumbs down”. To determine this sentiment polarity, we propose a novel machinelearning method that applies textcategorization techniques to just the ..."
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Cited by 589 (7 self)
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Sentiment analysis seeks to identify the viewpoint(s) underlying a text span; an example application is classifying a movie review as “thumbs up” or “thumbs down”. To determine this sentiment polarity, we propose a novel machinelearning method that applies textcategorization techniques to just the subjective portions of the document. Extracting these portions can be implemented using efficient techniques for finding minimum cuts in graphs; this greatly facilitates incorporation of crosssentence contextual constraints. Publication info: Proceedings of the ACL, 2004. 1
A theory of timed automata
, 1999
"... Model checking is emerging as a practical tool for automated debugging of complex reactive systems such as embedded controllers and network protocols (see [23] for a survey). Traditional techniques for model checking do not admit an explicit modeling of time, and are thus, unsuitable for analysis of ..."
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Cited by 2651 (32 self)
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Model checking is emerging as a practical tool for automated debugging of complex reactive systems such as embedded controllers and network protocols (see [23] for a survey). Traditional techniques for model checking do not admit an explicit modeling of time, and are thus, unsuitable for analysis of realtime systems whose correctness depends on relative magnitudes of different delays. Consequently, timed automata [7] were introduced as a formal notation to model the behavior of realtime systems. Its definition provides a simple way to annotate statetransition graphs with timing constraints using finitely many realvalued clock variables. Automated analysis of timed automata relies on the construction of a finite quotient of the infinite space of clock valuations. Over the years, the formalism has been extensively studied leading to many results establishing connections to circuits and logic, and much progress has been made in developing verification algorithms, heuristics, and tools. This paper provides a survey of the theory of timed automata, and their role in specification and verification of realtime systems.
Snort  Lightweight Intrusion Detection for Networks
, 1999
"... Permission is granted for noncommercial reproduction of the work for educational or research purposes. ..."
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Cited by 1109 (1 self)
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Permission is granted for noncommercial reproduction of the work for educational or research purposes.
The Cyclical Behavior of Equilibrium Unemployment and Vacancies
 American Economic Review
, 2005
"... This paper argues that a broad class of search models cannot generate the observed businesscyclefrequency fluctuations in unemployment and job vacancies in response to shocks of a plausible magnitude. In the U.S., the vacancyunemployment ratio is 20 times as volatile as average labor productivity ..."
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Cited by 839 (20 self)
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This paper argues that a broad class of search models cannot generate the observed businesscyclefrequency fluctuations in unemployment and job vacancies in response to shocks of a plausible magnitude. In the U.S., the vacancyunemployment ratio is 20 times as volatile as average labor productivity, while under weak assumptions, search models predict that the vacancyunemployment ratio and labor productivity have nearly the same variance. I establish this claim both using analytical comparative statics in a very general deterministic search model and using simulations of a stochastic version of the model. I show that a shock that changes average labor productivity primarily alters the present value of wages, generating only a small movement along a downward sloping Beveridge curve (unemploymentvacancy locus). A shock to the job destruction rate generates a counterfactually positive correlation between unemployment and vacancies. In both cases, the shock is only slightly amplified and the model exhibits virtually no propagation. I reconcile these findings with an existing literature and argue that the source of the model’s failure is lack of wage rigidity, a consequence of the assumption that wages are determined by Nash bargaining. ∗ This is a major revision of ‘Equilibrium Unemployment Fluctuations’. I thank Daron Acemoglu, Olivier
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