Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Ydinperheen politiikka

The research topic is the formation of nuclear family understanding and the politicization of nuclear family. Thus, the question is how did family historically become understood particularly as nuclear family and why did it become central in terms of politics and social? The research participates in discussions on the concept and phenomena of family. Central theme of analysis is to ask what is family? Family is seen as historically contingent and the discussions on the concept and phenomena are done via historical analysis. Center of attention is nuclear family, thus, a distinction between the concepts of family and nuclear family is made to be able to focus on historically specific phenomena of nuclear family. Family contrary to the concept of nuclear family -- in general is seen to be able to refer to families in all times and all cultures, as well as all types of families in our times and culture. The nuclear family understanding is examined through two separate themes, that of parent-child relationships and marital relations. Two simultaneous processes give nuclear family relations its current form: on the one hand the marital couple as the basis of family is eroding and losing its capacity to hold the family together; on the other, in Finland at least from 1950s on, the normal development of the child has became to be seen ontologically bound to the (biological) mother and (via her to) the father. In the nucleus of the family is the child: the biological, psychological and social processes of normal development are seen ontologically bound to the nuclear family relations. Thus, marriages can collapse, but nuclear family is unbreakable. What is interesting is the historical timing: as nuclear family relations had just been born, the marriage dived to a crisis. The concept and phenomena of nuclear family is analyzed in the context of social and politics (in Finnish these two collapses in the concept of yhteiskunnallinen , which refers both to a society as natural processes as well as to the state in terms of politics). Family is political and social in two senses. First, it is understood as the natural origin of the social and society. Human, by definition, is understood as a social being and the origin of social, in turn, is seen to be in the family. Family is seen as natural to species. Disturbances in family life lead to un-social behaviour. Second, family is also seen as a political actor of rights and obligations: family is obligated to control the life of its members. The state patronage is seen at the same time inevitable family life is way too precious to leave alone -- and problematic as it seems to disturb the natural processes of the family or to erode the autonomy of it. The rigueur of the nuclear family is in the role it seems to hold in the normal development of the child and the future of the society. The disturbances in the families first affect the child, then the society. In terms of possibility to re-think the family the natural and political collide: the nuclear family seems as natural, unchangeable, un- negotiable. Nuclear family is historically ontologised. The biological, psychological and social facts of family seem to be contrary to the idea of negotiation and politics the natural facts of family problematise the politics of family. The research material consists of administrational documents, memoranda, consultation documents, seminar reports, educational writings, guidebooks and newspaper articles in family politics between 1950s and 1990s.

BER analysis of space-time block codes from generalized complex orthogonal designs for M-PSK

In this paper, we present an analysis for the bit error rate (BER) performance of space-time block codes (STBC) from generalized complex orthogonal designs for M-PSK modulation. In STBCs from complex orthogonal designs (COD), the norms of the column vectors are the same (e.g., Alamouti code). However, in generalized COD (GCOD), the norms of the column vectors may not necessarily be the same (e.g., the rate-3/5 and rate-7/11 codes by Su and Xia in [1]). STBCs from GCOD are of interest because of the high rates that they can achieve (in [2], it has been shown that the maximum achievable rate for STBCs from GCOD is bounded by 4/5). While the BER performance of STBCs: from COD (e.g., Alamouti code) can be simply obtained from existing analytical expressions for receive diversity with the same diversity order by appropriately scaling the SNR, this can not be done for STBCs from GCOD (because of the unequal norms of the column vectors). Our contribution in this paper is that we derive analytical expressions for the BER performance of any STBC from GCOD. Our BER analysis for the GCOD captures the performance of STBCs from COD as special cases. We validate our results with two STBCs from GCOD reported by Su and Xia in [1], for 5 and 6 transmit antennas (G(5) and G(6) in [1]) with rates 7/11 and 3/5, respectively.

Discovering user preferences by using time entries in click-through data to improve search engine results

The search engine log files have been used to gather direct user feedback on the relevancy of the documents presented in the results page. Typically the relative position of the clicks gathered from the log files is used a proxy for the direct user feedback. In this paper we identify reasons for the incompleteness of the relative position of clicks for deciphering the user preferences. Hence, we propose the use of time spent by the user in reading through the document as indicative of user preference for a document with respect to a query. Also, we identify the issues involved in using the time measure and propose means to address them.

BER analysis of space-time block codes from generalized complex orthogonal designs for M-PSK

In this paper, we present an analysis for the bit error rate (BER) performance of space-time block codes (STBC) from generalized complex orthogonal designs for M-PSK modulation. In STBCs from complex orthogonal designs (COD), the norms of the column vectors are the same (e.g., Alamouti code). However, in generalized COD (GCOD), the norms of the column vectors may not necessarily be the same (e.g., the rate-3/5 and rate-7/11 codes by Su and Xia in [1]). STBCs from GCOD are of interest because of the high rates that they can achieve (in [2], it has been shown that the maximum achievable rate for STBCs from GCOD is bounded by 4/5). While the BER performance of STBCs: from COD (e.g., Alamouti code) can be simply obtained from existing analytical expressions for receive diversity with the same diversity order by appropriately scaling the SNR, this can not be done for STBCs from GCOD (because of the unequal norms of the column vectors). Our contribution in this paper is that we derive analytical expressions for the BER performance of any STBC from GCOD. Our BER analysis for the GCOD captures the performance of STBCs from COD as special cases. We validate our results with two STBCs from GCOD reported by Su and Xia in [1], for 5 and 6 transmit antennas (G(5) and G(6) in [1]) with rates 7/11 and 3/5, respectively.