Trend analysis in two standard growth models

This paper analyzes the trend processes characterized by two standard growth models using simple econometrics. The first model is the basic neoclassical growth model that postulates a deterministic trend for output. The second model is the Uzawa-Lucas model that postulates a stochastic trend for output. The aim is to understand how the different trend processes for output assumed by these two standard growth models determine the ability of each model to explain the observed trend processes of other macroeconomic variables such as consumption and investment. The results show that the two models reproduce the output trend process. Moreover, the results show that the basic growth model captures properly the consumption trend process, but fails in characterizing the investment trend process. The reverse is true for the Uzawa-Lucas model.

ARE OECD MACROECONOMIC VARIABLES TREND STATIONARY? EVIDENCE FROM PANEL STATIONARITY TESTS ALLOWING FOR A STRUCTURAL BREAK AND CROSS-SECTIONAL DEPENDENCE

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based essentially on visual inspection of the break type or just applying the most general break model, we use a model selection procedure based on BIC. We do this for each time series so that heterogeneous break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break, cross-sectional dependence and choose the break models to be congruent with the data, then the null of stationarity cannot be rejected for all the 14 macroeconomic variables examined in this article. This is in sharp contrast with the results obtained by Hurlin (2004), using the same data but a different methodology.

TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

This paper investigates the performance of the tests proposed by Hadri and by Hadri and Larsson for testing for stationarity in heterogeneous panel data under model misspecification. The panel tests are based on the well known KPSS test (cf. Kwiatkowski et al.) which considers two models: stationarity around a deterministic level and stationarity around a deterministic trend. There is no study, as far as we know, on the statistical properties of the test when the wrong model is used. We also consider the case of the simultaneous presence of the two types of models in a panel. We employ two asymptotics: joint asymptotic, T, N -> infinity simultaneously, and T fixed and N allowed to grow indefinitely. We use Monte Carlo experiments to investigate the effects of misspecification in sample sizes usually used in practice. The results indicate that the assumption that T is fixed rather than asymptotic leads to tests that have less size distortions, particularly for relatively small T with large N panels (micro-panels) than the tests derived under the joint asymptotics. We also find that choosing a deterministic trend when a deterministic level is true does not significantly affect the properties of the test. But, choosing a deterministic level when a deterministic trend is true leads to extreme over-rejections. Therefore, when unsure about which model has generated the data, it is suggested to use the model with a trend. We also propose a new statistic for testing for stationarity in mixed panel data where the mixture is known. The performance of this new test is very good for both cases of T asymptotic and T fixed. The statistic for T asymptotic is slightly undersized when T is very small (

Unit roots and the welfare gains of cycle smoothing

li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively small. A possible problem with such calculations is the dichotomy between the trend and the cyclical components of consumption. In this paper, we abandon this dichotomy in two ways. First, we decompose consumption into a deterministic trend, a stochastic trend, and a stationary cyclical component, calculating the welfare gains of cycle smoothing. Calculations are carried forward only after a careful discussion of the limitations of macroeconomic policy. Second, still under the stochastic-trend model, we incorporate a variable slope for consumption depending negatively on the overall volatility in the economy. Results are obtained for a variety of preference parameterizations, parameter values, and different macroeconomic-policy goals. They show that, once the dichotomy in the decomposition in consumption is abandoned, the welfare gains of cycle smoothing may be substantial, especially due to the volatility effect.

Trend and growth analysis of marine fish production in Bangladesh

The study based on time series marine fish production data during the period of 1983-1984 to 2007-2008 in Bangladesh. For this growth analysis six deterministic time series models are considered. The estimated best fitting models are the cubic, quadratic and quadratic model is appropriate for industrial marine fish production, artisanal marine fish production and total marine fish production in Bangladesh respectively. The study attempts to provide forecasts of marine fish production in Bangladesh for the year of 2008-09 to 2012-13. The magnitude of instability in marine fish production was attempted by computing the coefficient of variation (CV) and the percentage deviation from three years moving average values. The study revealed that the total marine fish production was observed to be relatively stable (CV being 31.85%) compared to the artisanal marine fish production (CV being 32.04%) and industrial marine fish (CV being 47.20%). For the three components of marine fish production the growth rates were different over different time points. The variation of the growth rates in industrial marine fish production was -21.6% to 13.12%, in artisanal marine fish production was 2.39% to 5.29% and in total marine fish production was 11.23% to 24.85% during the study period.

Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Further investigation of the uncertain trend in U.S. GDP

The presence of deterministic or stochastic trend in U.S. GDP has been a continuing debate in the literature of macroeconomics. Ben-David and Papell (1995) found evindence in favor of trend stationarity using the secular sample of Maddison (1995). More recently, Murray and Nelson (2000) correctly criticized this nding arguing that the Maddison data are plagued with additive outliers (AO), which bias inference towards stationarity. Hence, they propose to set the secular sample aside and conduct inference using a more homogeneous but shorter time-span post-WWII sample. In this paper we re-visit the Maddison data by employing a test that is robust against AO s. Our results suggest the U.S. GDP can be modeled as a trend stationary process.

Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

Body-shadowing effects in indoor MIMO-OFDM channel capacity

We investigate Multiple-Input and Multiple-Output Orthogonal Frequency Division Multiplexing (MIMO-OFDM) systems behavior in indoor populated environments that have line-of-site (LoS) between transmitter and receiver arrays. The in-house built MIMO-OFDM packet transmission demonstrator, equipped with four transmitters and four receivers, has been utilized to perform channel measurements at 5.2 GHz. Measurements have been performed using 0 to 3 pedestrians with different antenna arrays (2 £ 2, 3 £ 3 and 4 £ 4). The maximum average capacity for the 2x2 deterministic Fixed SNR scenario is 8.5 dB compared to the 4x4 deterministic scenario that has a maximum average capacity of 16.2 dB, thus an increment of 8 dB in average capacity has been measured when the array size increases from 2x2 to 4x4. In addition a regular variation has been observed for Random scenarios compared to the deterministic scenarios. An incremental trend in average channel capacity for both deterministic and random pedestrian movements has been observed with increasing number of pedestrian and antennas. In deterministic scenarios, the variations in average channel capacity are more noticeable than for the random scenarios due to a more prolonged and controlled body-shadowing effect. Moreover due to the frequent Los blocking and fixed transmission power a slight decrement have been observed in the spread between the maximum and minimum capacity with random fixed Tx power scenario.

ePortfolios and preservice teachers : governing at a distance through non-human actors

This chapter seeks to develop an analysis of the contemporary use of the ePortfolio (Electronic Portfolio) in education practices. Unlike other explorations of this new technology which are deterministic in their approach, the authors seek to reveal the techniques and practices of government which underpin the implementation of the e-portfolio. By interrogating a specific case study example from a large Australian university’s preservice teacher program, the authors find that the e-portfolio is represented as eLearning technology but serves to govern students via autonomization and self responsibilization. Using policy data and other key documents, they are able to reveal the e-portfolio as a delegated authority in the governance of preservice teachers. However, despite this ongoing trend, they suggest that like other practices of government, the e-portfolio will eventually fail. This however the authors conclude opens up space for critical thought and engagement which is not afforded presently.

Alternative explanations of the volatility trend : Are they really that different?

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to delermine which, if any, are capable of explaining the volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find that many of the variables are very highly correlated and it is thus difficult to disentangle their relalive ability to exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently plesented in the literature can track the trend in volatility over long periods.

Vibration of L-shaped plates under a deterministic force or moment excitation : a case of statistical energy analysis application

Analytical and closed form solutions are presented in this paper for the vibration response of an L-shaped plate under a point force or a moment excitation. Inter-relationships between wave components of the source and the receiving plates are clearly defined. Explicit expressions are given for the quadratic quantities such as input power, energy flow and kinetic energy distributions of the L-shaped plate. Applications of statistical energy analysis (SEA) formulation in the prediction of the vibration response of finite coupled plate structures under a single deterministic forcing are examined and quantified. It is found that the SEA method can be employed to predict the frequency averaged vibration response and energy flow of coupled plate structures under a deterministic force or moment excitation when the structural system satisfies the following conditions: (1) the coupling loss factors of the coupled subsystems are known; (2) the source location is more than a quarter of the plate bending wavelength away from the source plate edges in the point force excitation case, or is more than a quarter wavelength away from the pair of source plate edges perpendicular to the moment axis in the moment excitation case due to the directional characteristic of moment excitations. SEA overestimates the response of the L-shaped plate when the source location is less than a quarter bending wavelength away from the respective plate edges owing to wave coherence effect at the plate boundary