Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

Subsampling inference in threshold autoregressive models

This paper discusses inference in self exciting threshold autoregressive (SETAR)models. Of main interest is inference for the threshold parameter. It iswell-known that the asymptotics of the corresponding estimator depend uponwhether the SETAR model is continuous or not. In the continuous case, thelimiting distribution is normal and standard inference is possible. Inthe discontinuous case, the limiting distribution is non-normal and cannotbe estimated consistently. We show valid inference can be drawn by theuse of the subsampling method. Moreover, the method can even be extendedto situations where the (dis)continuity of the model is unknown. In thiscase, also the inference for the regression parameters of the modelbecomes difficult and subsampling can be used advantageously there aswell. In addition, we consider an hypothesis test for the continuity ofthe SETAR model. A simulation study examines small sample performance.

The effects of monetary policy on stock market bubbles: Some evidence

We estimate the response of stock prices to exogenous monetary policy shocks usinga vector-autoregressive model with time-varying parameters. Our evidence points toprotracted episodes in which, after a a short-run decline, stock prices increase persistently in response to an exogenous tightening of monetary policy. That responseis clearly at odds with the "conventional" view on the effects of monetary policy onbubbles, as well as with the predictions of bubbleless models. We also argue that it isunlikely that such evidence be accounted for by an endogenous response of the equitypremium to the monetary policy shocks.

Understanding sources of the change in international business cycles

Macroeconomic activity has become less volatile over the past three decades in most G7 economies. Current literature focuses on the characterization of the volatility reduction and explanations for this so called "moderation" in each G7 economy separately. In opposed to individual country analysis and individual variable analysis, this paper focuses on common characteristics of the reduction and common explanations for the moderation in G7 countries. In particular, we study three explanations: structural changes in the economy, changes in common international shocks and changes in domestic shocks. We study these explanations in a unified model structure. To this end, we propose a Bayesian factor structural vector autoregressive model. Using the proposed model, we investigate whether we can find common explanations for all G7 economies when information is pooled from multiple domestic and international sources. Our empirical analysis suggests that volatility reductions can largely be attributed to the decline in the magnitudes of the shocks in most G7 countries while only for the U.K., the U.S. and Italy they can partially be attributed to structural changes in the economy. Analyzing the components of the volatility, we also find that domestic shocks rather than common international shocks can account for a large part of the volatility reduction in most of the G7 countries. Finally, we find that after mid-1980s the structure of the economy changes substantially in five of the G7 countries: Germany, Italy, Japan, the U.K. and the U.S..

Priors about observables in vector autoregressions

Standard practice in Bayesian VARs is to formulate priors on the autoregressive parameters, but economists and policy makers actually have priors about the behavior of observable variables. We show how this kind of prior can be used in a VAR under strict probability theory principles. We state the inverse problem to be solved and we propose a numerical algorithm that works well in practical situations with a very large number of parameters. We prove various convergence theorems for the algorithm. As an application, we first show that the results in Christiano et al. (1999) are very sensitive to the introduction of various priors that are widely used. These priors turn out to be associated with undesirable priors on observables. But an empirical prior on observables helps clarify the relevance of these estimates: we find much higher persistence of output responses to monetary policy shocks than the one reported in Christiano et al. (1999) and a significantly larger total effect.

Definition of linear color models in the RGB vector color space to detect red peaches in orchard images taken under natural illumination

This work proposes the detection of red peaches in orchard images based on the definition of different linear color models in the RGB vector color space. The classification and segmentation of the pixels of the image is then performed by comparing the color distance from each pixel to the different previously defined linear color models. The methodology proposed has been tested with images obtained in a real orchard under natural light. The peach variety in the orchard was the paraguayo (Prunus persica var. platycarpa) peach with red skin. The segmentation results showed that the area of the red peaches in the images was detected with an average error of 11.6%; 19.7% in the case of bright illumination; 8.2% in the case of low illumination; 8.6% for occlusion up to 33%; 12.2% in the case of occlusion between 34 and 66%; and 23% for occlusion above 66%. Finally, a methodology was proposed to estimate the diameter of the fruits based on an ellipsoidal fitting. A first diameter was obtained by using all the contour pixels and a second diameter was obtained by rejecting some pixels of the contour. This approach enables a rough estimate of the fruit occlusion percentage range by comparing the two diameter estimates.

State-dependent threshold STAR models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

Desenvolupament d'algorismes biològicament inspirats basats en Support Vector Machines

L'objectiu d'aquest projecte ha estat el desenvolupament d'algorismes biològicament inspirats per a l'olfacció artificial. Per a assolir-lo ens hem basat en el paradigma de les màquines amb suport vectorial. Hem construit algoritmes que imitaven els processos computacionals dels diferents sistemes que formen el sistema olfactiu dels insectes, especialment de la llagosta Schistocerca gregaria. Ens hem centrat en el lòbuls de les antenes, i en el cos fungiforme. El primer està considerat un dispositiu de codificació de les olors, que a partir de la resposta temporal dels receptors olfactius a les antenes genera un patró d'activació espaial i temporal. Quant al cos fungiforme es considera que la seva funció és la d'una memòria per als olors, així com un centre per a la integració multi-sensorial. El primer pas ha estat la construcció de models detallats dels dos sistemes. A continuació, hem utilitzat aquests models per a processar diferents tipus de senyals amb l'objectiu de abstraure els principis computacionals subjacents. Finalment, hem avaluat les capacitats d'aquests models abstractes, i els hem utilitzat per al processat de dades provinents de sensors de gasos. Els resultats mostren que el models abstractes tenen millor comportament front el soroll i més capacitat d'emmagatzematge de records que altres models més clàssics, com ara les memòries associatives de Hopfield o fins i tot en determinades circumstàncies que les mateixes Support Vector Machines.

Solving heterogeneous-agent models by projection and perturbation

The paper proposes a numerical solution method for general equilibrium models with a continuum of heterogeneous agents, which combines elements of projection and of perturbation methods. The basic idea is to solve first for the stationary solutionof the model, without aggregate shocks but with fully specified idiosyncratic shocks. Afterwards one computes a first-order perturbation of the solution in the aggregate shocks. This approach allows to include a high-dimensional representation of the cross-sectional distribution in the state vector. The method is applied to a model of household saving with uninsurable income risk and liquidity constraints. The model includes not only productivity shocks, but also shocks to redistributive taxation, which cause substantial short-run variation in the cross-sectional distribution of wealth. If those shocks are operative, it is shown that a solution method based on very few statistics of the distribution is not suitable, while the proposed method can solve the model with high accuracy, at least for the case of small aggregate shocks. Techniques are discussed to reduce the dimension of the state space such that higher order perturbations are feasible.Matlab programs to solve the model can be downloaded.

A model of the wind direction signature in the Stokes emission vector from the ocean surface at microwave frequencies

This paper presents a model of the Stokes emission vector from the ocean surface. The ocean surface is described as an ensemble of facets with Cox and Munk's (1954) Gram-Charlier slope distribution. The study discusses the impact of different up-wind and cross-wind rms slopes, skewness, peakedness, foam cover models and atmospheric effects on the azimuthal variation of the Stokes vector, as well as the limitations of the model. Simulation results compare favorably, both in mean value and azimuthal dependence, with SSM/I data at 53° incidence angle and with JPL's WINDRAD measurements at incidence angles from 30° to 65°, and at wind speeds from 2.5 to 11 m/s.

Forecasting tourism demand to Catalonia: neural networks vs. time series models

The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more accurate forecasts of tourismdemand at the destination level due to the constant growth of world tourism, has lead us to evaluate the forecasting performance of neural modelling relative to that of time seriesmethods at a regional level. Seasonality and volatility are important features of tourism data, which makes it a particularly favourable context in which to compare the forecasting performance of linear models to that of nonlinear alternative approaches. Pre-processed official statistical data of overnight stays and tourist arrivals fromall the different countries of origin to Catalonia from 2001 to 2009 is used in the study. When comparing the forecasting accuracy of the different techniques for different time horizons, autoregressive integrated moving average models outperform self-exciting threshold autoregressions and artificial neural network models, especially for shorter horizons. These results suggest that the there is a trade-off between the degree of pre-processing and the accuracy of the forecasts obtained with neural networks, which are more suitable in the presence of nonlinearity in the data. In spite of the significant differences between countries, which can be explained by different patterns of consumer behaviour,we also find that forecasts of tourist arrivals aremore accurate than forecasts of overnight stays.

Mixed Hodge structures and vector bundles on the projective Plane I

We describe an equivalence of categories between the category of mixed Hodge structures and a category of vector bundles on the toric complex projective plane which verify some semistability condition. We then apply this correspondence to define an invariant which generalises the notion of R-split mixed Hodge structure and compute extensions in the category of mixed Hodge structures in terms of extensions of the corresponding vector bundles. We also give a relative version of this correspondence and apply it to define stratifications of the bases of the variations of mixed Hodge structure.

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal

This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the semiparametric estimation method, the kernel function used in Martins (2001) can take on both positive and negative values, which implies that the participation probability estimates may be outside the interval [0,1]. We have solved the problem by applying local smoothing in the kernel estimation, as suggested by Klein and Spady (1993).