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Monitoring Structural Stability Of Dynamic Factor Models
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Book Synopsis Monitoring Structural Stability of Dynamic Factor Models by : Yu-Chin Chen
Download or read book Monitoring Structural Stability of Dynamic Factor Models written by Yu-Chin Chen and published by . This book was released on 2017 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a test for detecting out-of-sample structural change in factor-augmented regression (FAR) models, as a complement to the in-sample structural stability tests developed in recent literature. In a set-up with a large number, N, of time series whereby each has some predictive ability for the target variable, the common testing procedure is to first estimate factors from the N series using principle component analysis (PCA) - a procedure that itself introduces randomness - before testing for the stability of the predictive coefficients for the estimated factors. In the out-of-sample setting where a new observation arrives sequentially, one thus needs to account for the randomness in the successively estimated factors when monitoring stability. To do so, we introduce a rescaling mechanism to augment the fluctuation-monitoring test developed by Chu, Stinchcombe, and White (1996) for simple linear regressions. Under the null hypothesis of no structural change, we show that the proposed rescaled monitoring test asymptotically behaves as a Brownian bridge, and so the critical values derived in Chu et al. (1996) can be extended to FAR models. We also show that the rescaling test delivers a reasonable finite sample performance. As an empirical application, we use factors based on 132 macroeconomic series to predict U.S. monthly industrial production growth since 1985 and show that the rescaled test detects a clear break in the FAR predictive relationship in early 2009 after the Global Financial Crisis, whereas the traditional test delivers too many breaks throughout the sample. Detecting structural stability in real-time under FAR has clear relevance to various macro or financial forecasting and monitoring applications.
Book Synopsis Data-Rich DSGE and Dynamic Factor Models by : Mr.Maxym Kryshko
Download or read book Data-Rich DSGE and Dynamic Factor Models written by Mr.Maxym Kryshko and published by International Monetary Fund. This book was released on 2011-09-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.
Book Synopsis The Stacked Leading Indicators Dynamic Factor Model by : Daniel Grenouilleau
Download or read book The Stacked Leading Indicators Dynamic Factor Model written by Daniel Grenouilleau and published by . This book was released on 2006 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Seismic Structural Health Monitoring by : Maria Pina Limongelli
Download or read book Seismic Structural Health Monitoring written by Maria Pina Limongelli and published by Springer. This book was released on 2019-04-24 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book includes a collection of state-of-the-art contributions addressing both theoretical developments in, and successful applications of, seismic structural health monitoring (S2HM). Over the past few decades, Seismic SHM has expanded considerably, due to the growing demand among various stakeholders (owners, managers and engineering professionals) and researchers. The discipline has matured in the process, as can be seen by the number of S2HM systems currently installed worldwide. Furthermore, the responses recorded by S2HM systems hold great potential, both with regard to the management of emergency situations and to ordinary maintenance needs. The book’s 17 chapters, prepared by leading international experts, are divided into four major sections. The first comprises six chapters describing the specific requirements of S2HM systems for different types of civil structures and infrastructures (buildings, bridges, cultural heritage, dams, structures with base isolation devices) and for monitoring different phenomena (e.g. soil-structure interaction and excessive drift). The second section describes available methods and computational tools for data processing, while the third is dedicated to hardware and software tools for S2HM. In the book’s closing section, five chapters report on state-of-the-art applications of S2HM around the world.
Book Synopsis Unobserved Components and Time Series Econometrics by : Siem Jan Koopman
Download or read book Unobserved Components and Time Series Econometrics written by Siem Jan Koopman and published by Oxford University Press. This book was released on 2015 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.
Book Synopsis Structural Stability in Dynamic Models by : Farrokh Zad Hormozi
Download or read book Structural Stability in Dynamic Models written by Farrokh Zad Hormozi and published by . This book was released on 1981 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Library of Congress Subject Headings by : Library of Congress
Download or read book Library of Congress Subject Headings written by Library of Congress and published by . This book was released on 2013 with total page 1160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Developmental Research Methods by : Brett Laursen
Download or read book Handbook of Developmental Research Methods written by Brett Laursen and published by Guilford Press. This book was released on 2012-02-01 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: Appropriate for use in developmental research methods or analysis of change courses, this is the first methods handbook specifically designed to meet the needs of those studying development. Leading developmental methodologists present cutting-edge analytic tools and describe how and when to use them, in accessible, nontechnical language. They also provide valuable guidance for strengthening developmental research with designs that anticipate potential sources of bias. Throughout the chapters, research examples demonstrate the procedures in action and give readers a better understanding of how to match research questions to developmental methods. The companion website (www.guilford.com/laursen-materials) supplies data and program syntax files for many of the chapter examples.
Book Synopsis Computational Science and Its Applications – ICCSA 2020 by : Osvaldo Gervasi
Download or read book Computational Science and Its Applications – ICCSA 2020 written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2020-09-28 with total page 1085 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seven volumes LNCS 12249-12255 constitute the refereed proceedings of the 20th International Conference on Computational Science and Its Applications, ICCSA 2020, held in Cagliari, Italy, in July 2020. Due to COVID-19 pandemic the conference was organized in an online event. Computational Science is the main pillar of most of the present research, industrial and commercial applications, and plays a unique role in exploiting ICT innovative technologies. The 466 full papers and 32 short papers presented were carefully reviewed and selected from 1450 submissions. Apart from the general track, ICCSA 2020 also include 52 workshops, in various areas of computational sciences, ranging from computational science technologies, to specific areas of computational sciences, such as software engineering, security, machine learning and artificial intelligence, blockchain technologies, and of applications in many fields.
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-11-12 with total page 2744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved
Book Synopsis Topics in Modal Analysis, Volume 7 by : Randall Allemang
Download or read book Topics in Modal Analysis, Volume 7 written by Randall Allemang and published by Springer Science & Business Media. This book was released on 2013-07-03 with total page 779 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics in Modal Analysis, Volume 7: Proceedings of the 31st IMAC, A Conference and Exposition on Structural Dynamics, 2013, the seventh volume of seven from the Conference, brings together contributions to this important area of research and engineering. The collection presents early findings and case studies on fundamental and applied aspects of Structural Dynamics, including papers on: Fluid Structure Interaction Adaptive Structures Experimental Techniques Analytical Methods Damage Detection Damping of Materials & Members Modal Parameter Identification Modal Testing Methods System Identification Active Control Modal Parameter Estimation Processing Modal Data
Book Synopsis Dynamic Personality Science. Integrating Between-Person Stability and Within-Person Change by : Nadin Beckmann
Download or read book Dynamic Personality Science. Integrating Between-Person Stability and Within-Person Change written by Nadin Beckmann and published by Frontiers Media SA. This book was released on 2017-12-28 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Personality can be understood from at least two perspectives. One focuses on stable, between-person differences, or traits. The other perspective focuses on within-person differences and dynamics, i.e., fluctuations in personality in response to situations and across time. This Research Topic reflects recent developments in personality research to integrate both trait and dynamic perspectives. An integrated view on personality recognizes both stability in between-person differences and within-person change. Contributors are drawn from research teams across Europe, North America and Australasia, and from basic and applied fields, including organizational, educational, and clinical. The studies reported provide new evidence in support of an integrative approach, highlight currently active areas of research and propose new directions of research. Current streams of research include the study of contingent units of personality and within-person processes underlying traits, the comparisons of findings based on within- vs. between-person data, the conceptualisation and operationalization of perceived and objective change in situation variables, the malleability of personality and the potential for personality interventions. Integrative approaches using within-person designs provide new, bottom-up insights into general principles of personality that explain differences between people while reflecting the complexities of within-person personality dynamics at the level of the individual.
Book Synopsis Large Space Structures & Systems in the Space Station Era by :
Download or read book Large Space Structures & Systems in the Space Station Era written by and published by . This book was released on 1991 with total page 1042 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Power System Dynamics and Stability by : Peter W. Sauer
Download or read book Power System Dynamics and Stability written by Peter W. Sauer and published by . This book was released on 1998 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: For a one-semester senior or beginning graduate level course in power system dynamics. This text begins with the fundamental laws for basic devices and systems in a mathematical modeling context. It includes systematic derivations of standard synchronous machine models with their fundamental controls. These individual models are interconnected for system analysis and simulation. Singular perturbation is used to derive and explain reduced-order models.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 :1475564562 Total Pages :126 pages Book Rating :4.4/5 (755 download)
Book Synopsis Global Financial Stability Report, April 2017 by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Global Financial Stability Report, April 2017 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2017-04-19 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial stability has continued to improve since the October 2016 Global Financial Stability Report (GFSR). Economic activity has gained momentum, as outlined in the April 2017 World Economic Outlook (WEO), amid broadly accommodative monetary and financial conditions, spurring hopes for reflation. Chapter 2 analyzes the potential long-term impact of a scenario of sustained low growth and low real and nominal rates for the business models of financial institutions and the products offered by the financial sector. Chapter 3 examines whether countries still retain influence over their domestic financial conditions in a globally integrated financial system. The chapter develops financial conditions indices that make it possible to compare a large set of advanced and emerging market economies.
Book Synopsis Vibration Testing and Applications in System Identification of Civil Engineering Structures by : Heung-Fai Lam
Download or read book Vibration Testing and Applications in System Identification of Civil Engineering Structures written by Heung-Fai Lam and published by CRC Press. This book was released on 2022-09-06 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers vibration testing and identification of dynamic structural systems. It starts from the fundamentals of structural dynamics, and covers the methods of modal analysis and model identification, vibration tests and the related experimental setup. It concludes with an outline of the authors‘ software, demonstrating practical applications, and illustrated with real-world case studies of full-scale structures. Theory is presented and derived step-by-step, with a detailed measurement system developed for vibration tests. This book is written for Masters students and enables them to understand the theories of system identification and empowers them to apply this in practice.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1972 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt:
