Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility

This paper empirically assesses whether monetary policy affects real economic activity through its affect on the aggregate supply side of the macroeconomy. Analysts typically argue that monetary policy either does not affect the real economy, the classical dichotomy, or only affects the real economy in the short run through aggregate demand new Keynesian or new classical theories. Real business cycle theorists try to explain the business cycle with supply-side productivity shocks. We provide some preliminary evidence about how monetary policy affects the aggregate supply side of the macroeconomy through its affect on total factor productivity, an important measure of supply-side performance. The results show that monetary policy exerts a positive and statistically significant effect on the supply-side of the macroeconomy. Moreover, the findings buttress the importance of countercyclical monetary policy as well as support the adoption of an optimal money supply rule. Our results also prove consistent with the effective role of monetary policy in the Great Moderation as well as the more recent rise in productivity growth.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Using spatial linear models with SAR and CAR structure to examine Texas lung cancer incidence rates

Scholars have found that socioeconomic status was one of the key factors that influenced early-stage lung cancer incidence rates in a variety of regions. This thesis examined the association between median household income and lung cancer incidence rates in Texas counties. A total of 254 individual counties in Texas with corresponding lung cancer incidence rates from 2004 to 2008 and median household incomes in 2006 were collected from the National Cancer Institute Surveillance System. A simple linear model and spatial linear models with two structures, Simultaneous Autoregressive Structure (SAR) and Conditional Autoregressive Structure (CAR), were used to link median household income and lung cancer incidence rates in Texas. The residuals of the spatial linear models were analyzed with Moran's I and Geary's C statistics, and the statistical results were used to detect similar lung cancer incidence rate clusters and disease patterns in Texas.^

Regression models with MoPs Bayesian networks

We present a model of Bayesian network for continuous variables, where densities and conditional densities are estimated with B-spline MoPs. We use a novel approach to directly obtain conditional densities estimation using B-spline properties. In particular we implement naive Bayes and wrapper variables selection. Finally we apply our techniques to the problem of predicting neurons morphological variables from electrophysiological ones.

Conditional density approximations with mixtures of polynomials

Mixtures of polynomials (MoPs) are a non-parametric density estimation technique especially designed for hybrid Bayesian networks with continuous and discrete variables. Algorithms to learn one- and multi-dimensional (marginal) MoPs from data have recently been proposed. In this paper we introduce two methods for learning MoP approximations of conditional densities from data. Both approaches are based on learning MoP approximations of the joint density and the marginal density of the conditioning variables, but they differ as to how the MoP approximation of the quotient of the two densities is found. We illustrate and study the methods using data sampled from known parametric distributions, and we demonstrate their applicability by learning models based on real neuroscience data. Finally, we compare the performance of the proposed methods with an approach for learning mixtures of truncated basis functions (MoTBFs). The empirical results show that the proposed methods generally yield models that are comparable to or significantly better than those found using the MoTBF-based method.

A conditional probability analysis of cystic fibrosis transmembrane conductance regulator gating indicates that ATP has multiple effects during the gating cycle

ATP-binding cassette (ABC) transporters bind and hydrolyze ATP. In the cystic fibrosis transmembrane conductance regulator Cl− channel, this interaction with ATP generates a gating cycle between a closed (C) and two open (O1 and O2) conformations. To understand better how ATP controls channel activity, we examined gating transitions from the C to the O1 and O2 states and from these open states to the C conformation. We made three main observations. First, we found that the channel can open into either the O1 or O2 state, that the frequency of transitions to both states was increased by ATP concentration, and that ATP increased the relative proportion of openings into O1 vs. O2. These results indicate that ATP can interact with the closed state to open the channel in at least two ways, which may involve binding to nucleotide-binding domains (NBDs) NBD1 and NBD2. Second, ATP prolonged the burst duration and altered the way in which the channel closed. These data suggest that ATP also interacts with the open channel. Third, the channel showed runs of specific types of open–closed transitions. This finding suggests a mechanism with more than one cycle of gating transitions. These data suggest models to explain how ATP influences conformational transitions in cystic fibrosis transmembrane conductance regulator and perhaps other ABC transporters.

Interactions between quantitative trait loci in soybean in which trait variation at one locus is conditional upon a specific allele at another.

A large recombinant inbred population of soybean has been characterized for 220 restriction fragment-length polymorphism (RFLP) markers. Values for agronomic traits also have been measured. Quantitative trait loci (QTL) for height, yield, and maturity were located by their linkage to RFLP markers. QTL controlling large amounts of trait variation were analyzed for the dependence of trait variation on particular alleles at a second locus by comparing cumulative distributions of the trait for each genotype (four genotypes per pair of loci). Interesting pairs of loci were analyzed statistically with maximum likelihood and Monte Carlo comparison of additive and epistatic models. For each locus affecting height, variation was conditional upon the presence of a particular allele at a second unlinked locus that itself explained little or no trait variation. The results show that interactions between QTL are frequent and control large effects. Interactions distinguished between different QTL in a single linkage group and between QTL that affect different traits closely linked to one RFLP marker--i.e., distinguished between pleiotropy and closely linked genes. The implications for the evolution of inbreeding plants and for the construction of agronomic breeding strategies are discussed.

The Climate-system Historical Forecast Project: do stratosphere-resolving models make better seasonal climate predictions in boreal winter?

Using an international, multi-model suite of historical forecasts from the World Climate Research Programme (WCRP) Climate-system Historical Forecast Project (CHFP), we compare the seasonal prediction skill in boreal wintertime between models that resolve the stratosphere and its dynamics (high-top') and models that do not (low-top'). We evaluate hindcasts that are initialized in November, and examine the model biases in the stratosphere and how they relate to boreal wintertime (December-March) seasonal forecast skill. We are unable to detect more skill in the high-top ensemble-mean than the low-top ensemble-mean in forecasting the wintertime North Atlantic Oscillation, but model performance varies widely. Increasing the ensemble size clearly increases the skill for a given model. We then examine two major processes involving stratosphere-troposphere interactions (the El Niño/Southern Oscillation (ENSO) and the Quasi-Biennial Oscillation (QBO)) and how they relate to predictive skill on intraseasonal to seasonal time-scales, particularly over the North Atlantic and Eurasia regions. High-top models tend to have a more realistic stratospheric response to El Niño and the QBO compared to low-top models. Enhanced conditional wintertime skill over high latitudes and the North Atlantic region during winters with El Niño conditions suggests a possible role for a stratospheric pathway.

Matching conditional moments in PDF modelling of nonpremixed combustion

The rate of generation of fluctuations with respect to the scalar values conditioned on the mixture fraction, which significantly affects turbulent nonpremixed combustion processes, is examined. Simulation of the rate in a major mixing model is investigated and the derived equations can assist in selecting the model parameters so that the level of conditional fluctuations is better reproduced by the models. A more general formulation of the multiple mapping conditioning (MMC) model that distinguishes the reference and conditioning variables is suggested. This formulation can be viewed as a methodology of enforcing certain desired conditional properties onto conventional mixing models. Examples of constructing consistent MMC models with dissipation and velocity conditioning as well as of combining MMC with large eddy simulations (LES) are also provided. (c) 2005 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

Robust control of nonlinear stochastic systems by modelling conditional distributions of control signals

We introduce a novel inversion-based neuro-controller for solving control problems involving uncertain nonlinear systems that could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. In this work a novel robust inverse control approach is obtained based on importance sampling from these distributions. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The performance of the new algorithm is illustrated through simulations with example systems.

Conditional distribution modeling for estimating and exploiting uncertainty in control systems

This paper presents a general methodology for estimating and incorporating uncertainty in the controller and forward models for noisy nonlinear control problems. Conditional distribution modeling in a neural network context is used to estimate uncertainty around the prediction of neural network outputs. The developed methodology circumvents the dynamic programming problem by using the predicted neural network uncertainty to localize the possible control solutions to consider. A nonlinear multivariable system with different delays between the input-output pairs is used to demonstrate the successful application of the developed control algorithm. The proposed method is suitable for redundant control systems and allows us to model strongly non Gaussian distributions of control signal as well as processes with hysteresis.

Forecasting exchange rates with linear and nonlinear models

In this paper, the exchange rate forecasting performance of neural network models are evaluated against the random walk, autoregressive moving average and generalised autoregressive conditional heteroskedasticity models. There are no guidelines available that can be used to choose the parameters of neural network models and therefore, the parameters are chosen according to what the researcher considers to be the best. Such an approach, however,implies that the risk of making bad decisions is extremely high, which could explain why in many studies, neural network models do not consistently perform better than their time series counterparts. In this paper, through extensive experimentation, the level of subjectivity in building neural network models is considerably reduced and therefore giving them a better chance of Forecasting exchange rates with linear and nonlinear models 415 performing well. The results show that in general, neural network models perform better than the traditionally used time series models in forecasting exchange rates.

Using monthly returns to model conditional heteroscedasticity

This empirical study examines the extent of non-linearity in a multivariate model of monthly financial series. To capture the conditional heteroscedasticity in the series, both the GARCH(1,1) and GARCH(1,1)-in-mean models are employed. The conditional errors are assumed to follow the normal and Student-t distributions. The non-linearity in the residuals of a standard OLS regression are also assessed. It is found that the OLS residuals as well as conditional errors of the GARCH models exhibit strong non-linearity. Under the Student density, the extent of non-linearity in the GARCH conditional errors was generally similar to those of the standard OLS. The GARCH-in-mean regression generated the worse out-of-sample forecasts.

Supporting decision-making for self-adaptive systems:from goal models to dynamic decision networks

Context/Motivation - Different modeling techniques have been used to model requirements and decision-making of self-adaptive systems (SASs). Specifically, goal models have been prolific in supporting decision-making depending on partial and total fulfilment of functional (goals) and non-functional requirements (softgoals). Different goalrealization strategies can have different effects on softgoals which are specified with weighted contribution-links. The final decision about what strategy to use is based, among other reasons, on a utility function that takes into account the weighted sum of the different effects on softgoals. Questions/Problems - One of the main challenges about decisionmaking in self-adaptive systems is to deal with uncertainty during runtime. New techniques are needed to systematically revise the current model when empirical evidence becomes available from the deployment. Principal ideas/results - In this paper we enrich the decision-making supported by goal models by using Dynamic Decision Networks (DDNs). Goal realization strategies and their impact on softgoals have a correspondence with decision alternatives and conditional probabilities and expected utilities in the DDNs respectively. Our novel approach allows the specification of preferences over the softgoals and supports reasoning about partial satisfaction of softgoals using probabilities. We report results of the application of the approach on two different cases. Our early results suggest the decision-making process of SASs can be improved by using DDNs. © 2013 Springer-Verlag.