Macroeconomic impact of foreign aid to developing countries

The thesis looks at the macroeconomic impact of foreign aid. It is specially concerned with aid's impact on the public sector of less developed countries < LDCs> . Since the overwhelming majority of aid is directed to the public sector of LDCs, one can only understand the broader macroeconomic impact of aid if one first understands its impact on this sector. To this end, the thesis econometrically estimates " fiscal response" models of aid. These models, in essence, attempt to shed light on public sector fiscal behaviour in the presence of aid inflows, being specially concerned with the way aid is used to finance various categories of expenditures. The underlaying concern is to extent to which aid is " fungible" -that is, whether it finances consumption expenditure and reductions in taxation revenue in LDCs. A number of alternative models are derived from a utility maximisation framework. These alternatives reflect different assumptions regarding the behaviour of LDC public sectors and relate to the endogeniety of aid, whether or not recurrent expenditure is financed from domestic borrowing and the determination of domestic borrowing. The original frameworks of earlier studies are extended in a number of ways, including the use of a public sector utility function which is fully consistent with expected maximising behaviour. Estimates of these models' parameters are obtained using both time-series and cross-section data, dating from the 1960s, for Bangladesh, India, Pakistan and the Philippines. Both structural and reduced-form equations are estimated. Results suggest that foreign aid is indeed fungible, albeit at different levels. Moreover, the overall impact of aid on public sector investment, consumption, domestic borrowing and taxation varies between countries. Generally speaking, aid leads to increases in investment and consumption expenditure, but reduces taxation and domestic borrowing. Comparative analysis does, however, show that these results are highly sensitive to alternative behavioural assumptions and, therefore, model specification.

Modelling human preferences for ranking and collaborative filtering: a probabilistic ordered partition approach

Learning preference models from human generated data is an important task in modern information processing systems. Its popular setting consists of simple input ratings, assigned with numerical values to indicate their relevancy with respect to a specific query. Since ratings are often specified within a small range, several objects may have the same ratings, thus creating ties among objects for a given query. Dealing with this phenomena presents a general problem of modelling preferences in the presence of ties and being query-specific. To this end, we present in this paper a novel approach by constructing probabilistic models directly on the collection of objects exploiting the combinatorial structure induced by the ties among them. The proposed probabilistic setting allows exploration of a super-exponential combinatorial state-space with unknown numbers of partitions and unknown order among them. Learning and inference in such a large state-space are challenging, and yet we present in this paper efficient algorithms to perform these tasks. Our approach exploits discrete choice theory, imposing generative process such that the finite set of objects is partitioned into subsets in a stagewise procedure, and thus reducing the state-space at each stage significantly. Efficient Markov chain Monte Carlo algorithms are then presented for the proposed models. We demonstrate that the model can potentially be trained in a large-scale setting of hundreds of thousands objects using an ordinary computer. In fact, in some special cases with appropriate model specification, our models can be learned in linear time. We evaluate the models on two application areas: (i) document ranking with the data from the Yahoo! challenge and (ii) collaborative filtering with movie data. We demonstrate that the models are competitive against state-of-the-arts.

Can we obtain realistic parameter estimates for the 'protection for sale' model?

In the Grossman and Helpman (1994) model of endogenous trade protection, sectoral lobbies try to influence an incumbent government that maximizes a weighted sum of political contributions and aggregate welfare. We empirically investigate this model using U.S. and Turkish data. Our specification is more tightly tied to theory than those in existing studies. Additionally, we assume all specific‐factor owners to be organized into different lobbies. These changes, validated by hypothesis tests, yield more realistic parameter estimates of the government's concern for aggregate welfare and of the fraction of population organized into lobbies.

Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.

True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.

An artificial neural network-based hairiness prediction model for worsted wool yarns

This study evaluated the performance of multilayer perceptron (MLP) and multivariate linear regression (MLR) models for predicting the hairiness of worsted-spun wool yarns from various top, yarn and processing parameters. The results indicated that the MLP model predicted yarn hairiness more accurately than the MLR model, and should have wide mill specific applications. On the basis of sensitivity analysis, the factors that affected yarn hairiness significantly included yarn twist, ring size, average fiber length (hauteur), fiber diameter and yarn count, with twist having the greatest impact on yarn hairiness.

Pricing innovations in consumption growth: a re-evaluation of the recursive utility model

We re-evaluate the cross-sectional asset pricing implications of the recursive utility function of Epstein and Zin, 1989 and Epstein and Zin, 1991, using innovations in future consumption growth in our tests. Our empirical specification helps explain the size, value and momentum effects. Specifically, we find that (і) the beta associated with news about consumption growth has a systematic pattern: beta decreases along the size dimension and increases along the book-to-market and momentum dimensions, (іі) innovation in consumption growth is significantly priced in asset returns using both the Fama and MacBeth (1973) and the stochastic discount factor approaches, and (ііі) the model performs better than both the CAPM and Fama–French model.

Non-homogeneous volatility correlations in the bivariate multifractal model

In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. "Volatility Comovement: A Multifrequency Approach." Journal of Econometrics {131}: 179-215]. In particular, we allow correlations between volatility components to be non-homogeneous with two different parameters governing the volatility correlations at high and low frequencies. Specification tests confirm the added explanatory value of this specification. In order to explore its practical performance, we apply the model for computing value-at-risk statistics for different classes of financial assets and compare the results with the baseline, homogeneous bivariate multifractal model and the bivariate DCC-GARCH of Engle [2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business & Economic Statistics 20 (3): 339-350]. As it turns out, the multifractal model with heterogeneous volatility correlations provides more reliable results than both the homogeneous benchmark and the DCC-GARCH model. © 2014 Taylor & Francis.

Specifying model transformations by direct manipulation using concrete visual notations and interactive recommendations

Model transformations are a crucial part of Model-Driven Engineering (MDE) technologies but are usually hard to specify and maintain for many engineers. Most current approaches use meta-model-driven transformation specification via textual scripting languages. These are often hard to specify, understand and maintain. We present a novel approach that instead allows domain experts to discover and specify transformation correspondences using concrete visualizations of example source and target models. From these example model correspondences, complex model transformation implementations are automatically generated. We also introduce a recommender system that helps domain experts and novice users find possible correspondences between large source and target model visualization elements. Correspondences are then specified by directly interacting with suggested recommendations or drag and drop of visual notational elements of source and target visualizations. We have implemented this approach in our prototype tool-set, CONVErT, and applied it to a variety of model transformation examples. Our evaluation of this approach includes a detailed user study of our tool and a quantitative analysis of the recommender system.