Bayesian analysis of the error correction model

This paper presents a method for estimating the posterior probability density of the cointegrating rank of a multivariate error correction model. A second contribution is the careful elicitation of the prior for the cointegrating vectors derived from a prior on the cointegrating space. This prior obtains naturally from treating the cointegrating space as the parameter of interest in inference and overcomes problems previously encountered in Bayesian cointegration analysis. Using this new prior and Laplace approximation, an estimator for the posterior probability of the rank is given. The approach performs well compared with information criteria in Monte Carlo experiments. (C) 2003 Elsevier B.V. All rights reserved.

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic model.

Design and Analysis of Forward Error Control Coding and Signaling for Guaranteeing QoS in Wireless Broadcast Systems

Broadcasting systems are networks where the transmission is received by several terminals. Generally broadcast receivers are passive devices in the network, meaning that they do not interact with the transmitter. Providing a certain Quality of Service (QoS) for the receivers in heterogeneous reception environment with no feedback is not an easy task. Forward error control coding can be used for protection against transmission errors to enhance the QoS for broadcast services. For good performance in terrestrial wireless networks, diversity should be utilized. The diversity is utilized by application of interleaving together with the forward error correction codes. In this dissertation the design and analysis of forward error control and control signalling for providing QoS in wireless broadcasting systems are studied. Control signaling is used in broadcasting networks to give the receiver necessary information on how to connect to the network itself and how to receive the services that are being transmitted. Usually control signalling is considered to be transmitted through a dedicated path in the systems. Therefore, the relationship of the signaling and service data paths should be considered early in the design phase. Modeling and simulations are used in the case studies of this dissertation to study this relationship. This dissertation begins with a survey on the broadcasting environment and mechanisms for providing QoS therein. Then case studies present analysis and design of such mechanisms in real systems. The mechanisms for providing QoS considering signaling and service data paths and their relationship at the DVB-H link layer are analyzed as the first case study. In particular the performance of different service data decoding mechanisms and optimal signaling transmission parameter selection are presented. The second case study investigates the design of signaling and service data paths for the more modern DVB-T2 physical layer. Furthermore, by comparing the performances of the signaling and service data paths by simulations, configuration guidelines for the DVB-T2 physical layer signaling are given. The presented guidelines can prove useful when configuring DVB-T2 transmission networks. Finally, recommendations for the design of data and signalling paths are given based on findings from the case studies. The requirements for the signaling design should be derived from the requirements for the main services. Generally, these requirements for signaling should be more demanding as the signaling is the enabler for service reception.

Generator Matrix Based Search for Extremal Self-Dual Binary Error-Correcting Codes

Self-dual doubly even linear binary error-correcting codes, often referred to as Type II codes, are codes closely related to many combinatorial structures such as 5-designs. Extremal codes are codes that have the largest possible minimum distance for a given length and dimension. The existence of an extremal (72,36,16) Type II code is still open. Previous results show that the automorphism group of a putative code C with the aforementioned properties has order 5 or dividing 24. In this work, we present a method and the results of an exhaustive search showing that such a code C cannot admit an automorphism group Z6. In addition, we present so far unpublished construction of the extended Golay code by P. Becker. We generalize the notion and provide example of another Type II code that can be obtained in this fashion. Consequently, we relate Becker's construction to the construction of binary Type II codes from codes over GF(2^r) via the Gray map.

Quantifying historical, capital mobility in Canada : an error correction approach.

Rapport de recherche

Forecasting the spot prices of various coffee types using linear and non-linear error correction models

Este documento estima modelos lineales y no-lineales de corrección de errores para los precios spot de cuatro tipos de café. En concordancia con las leyes económicas, se encuentra evidencia que cuando los precios están por encima de su nivel de equilibrio, retornan a éste mas lentamente que cuando están por debajo. Esto puede reflejar el hecho que, en el corto plazo, para los países productores de café es mas fácil restringir la oferta para incrementar precios, que incrementarla para reducirlos. Además, se encuentra evidencia que el ajuste es más rápido cuando las desviaciones del equilibrio son mayores. Los pronósticos que se obtienen a partir de los modelos de corrección de errores no lineales y asimétricos considerados en el trabajo, ofrecen una leve mejoría cuando se comparan con los pronósticos que resultan de un modelo de paseo aleatorio.

Implementation and application of basis set superposition error-correction schemes to the theoretical modeling of weak intermolecular interactions

This thesis deals with the so-called Basis Set Superposition Error (BSSE) from both a methodological and a practical point of view. The purpose of the present thesis is twofold: (a) to contribute step ahead in the correct characterization of weakly bound complexes and, (b) to shed light the understanding of the actual implications of the basis set extension effects in the ab intio calculations and contribute to the BSSE debate. The existing BSSE-correction procedures are deeply analyzed, compared, validated and, if necessary, improved. A new interpretation of the counterpoise (CP) method is used in order to define counterpoise-corrected descriptions of the molecular complexes. This novel point of view allows for a study of the BSSE-effects not only in the interaction energy but also on the potential energy surface and, in general, in any property derived from the molecular energy and its derivatives A program has been developed for the calculation of CP-corrected geometry optimizations and vibrational frequencies, also using several counterpoise schemes for the case of molecular clusters. The method has also been implemented in Gaussian98 revA10 package. The Chemical Hamiltonian Approach (CHA) methodology has been also implemented at the RHF and UHF levels of theory for an arbitrary number interacting systems using an algorithm based on block-diagonal matrices. Along with the methodological development, the effects of the BSSE on the properties of molecular complexes have been discussed in detail. The CP and CHA methodologies are used for the determination of BSSE-corrected molecular complexes properties related to the Potential Energy Surfaces and molecular wavefunction, respectively. First, the behaviour of both BSSE-correction schemes are systematically compared at different levels of theory and basis sets for a number of hydrogen-bonded complexes. The Complete Basis Set (CBS) limit of both uncorrected and CP-corrected molecular properties like stabilization energies and intermolecular distances has also been determined, showing the capital importance of the BSSE correction. Several controversial topics of the BSSE correction are addressed as well. The application of the counterpoise method is applied to internal rotational barriers. The importance of the nuclear relaxation term is also pointed out. The viability of the CP method for dealing with charged complexes and the BSSE effects on the double-well PES blue-shifted hydrogen bonds is also studied in detail. In the case of the molecular clusters the effect of high-order BSSE effects introduced with the hierarchical counterpoise scheme is also determined. The effect of the BSSE on the electron density-related properties is also addressed. The first-order electron density obtained with the CHA/F and CHA/DFT methodologies was used to assess, both graphically and numerically, the redistribution of the charge density upon BSSE-correction. Several tools like the Atoms in Molecules topologycal analysis, density difference maps, Quantum Molecular Similarity, and Chemical Energy Component Analysis were used to deeply analyze, for the first time, the BSSE effects on the electron density of several hydrogen bonded complexes of increasing size. The indirect effect of the BSSE on intermolecular perturbation theory results is also pointed out It is shown that for a BSSE-free SAPT study of hydrogen fluoride clusters, the use of a counterpoise-corrected PES is essential in order to determine the proper molecular geometry to perform the SAPT analysis.

Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar-ethanol-oil nexus in Brazil

Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil prices, where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors. A range of models are estimated using Bayesian Monte Carlo Markov Chain algorithms and compared using Bayesian model selection methods. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices.

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

Intermittently-visual tracking experiments reveal the roles of error-correction and predictive mechanisms in the human visual-motor control system

Prediction mechanism is necessary for human visual motion to compensate a delay of sensory-motor system. In a previous study, “proactive control” was discussed as one example of predictive function of human beings, in which motion of hands preceded the virtual moving target in visual tracking experiments. To study the roles of the positional-error correction mechanism and the prediction mechanism, we carried out an intermittently-visual tracking experiment where a circular orbit is segmented into the target-visible regions and the target-invisible regions. Main results found in this research were following. A rhythmic component appeared in the tracer velocity when the target velocity was relatively high. The period of the rhythm in the brain obtained from environmental stimuli is shortened more than 10%. The shortening of the period of rhythm in the brain accelerates the hand motion as soon as the visual information is cut-off, and causes the precedence of hand motion to the target motion. Although the precedence of the hand in the blind region is reset by the environmental information when the target enters the visible region, the hand motion precedes the target in average when the predictive mechanism dominates the error-corrective mechanism.

Transition from an anti-phase error-correction-mode to a synchronization mode in the mutual hand tracking

Proactive motion in hand tracking and in finger bending, in which the body motion occurs prior to the reference signal, was reported by the preceding researchers when the target signals were shown to the subjects at relatively high speed or high frequencies. These phenomena indicate that the human sensory-motor system tends to choose an anticipatory mode rather than a reactive mode, when the target motion is relatively fast. The present research was undertaken to study what kind of mode appears in the sensory-motor system when two persons were asked to track the hand position of the partner with each other at various mean tracking frequency. The experimental results showed a transition from a mutual error-correction mode to a synchronization mode occurred in the same region of the tracking frequency with that of the transition from a reactive error-correction mode to a proactive anticipatory mode in the mechanical target tracking experiments. Present research indicated that synchronization of body motion occurred only when both of the pair subjects operated in a proactive anticipatory mode. We also presented mathematical models to explain the behavior of the error-correction mode and the synchronization mode.

A multiple error-correction model of housing supply

This paper considers supply dynamics in the context of the Irish residential market. The analysis, in a multiple error-correction framework, reveals that although developers did respond to disequilibrium in supply, the rate of adjustment was relatively slow. In contrast, however, disequilibrium in demand did not impact upon supply, suggesting that inelastic supply conditions could explain the prolonged nature of the boom in the Irish market. Increased elasticity in the later stages of the boom may have been a contributory factor in the extent of the house price falls observed in recent years.