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on Computational Economics |
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Issue of 2007‒06‒23
two papers chosen by |
| By: | David Hendry (Department of Economics, University of Oxford); Carlos Santos (Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto)) |
| Abstract: | We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for a failure of weak exogeneity when there is a shift in the marginal model. Monte Carlo simulations confirm the nominal significance levels under the null, and power against the two alternatives. |
| Keywords: | super exogeneity, general-to-specific, test power, indicators, cobreaking |
| JEL: | C51 C22 |
| Date: | 2007–06 |
| URL: | http://d.repec.org/n?u=RePEc:cap:wpaper:112007&r=cmp |
| By: | Federico Bassetti (Department of Mathematics, University of Pavia, Italy); Fabrizio Leisen (Department of Economics, University of Insubria, Italy) |
| Abstract: | In this paper we study the Metropolis algorithm in connection with two mean–field spin systems, the so called mean–field Ising model and the Blume–Emery–Griffiths model. In both this examples the naive choice of proposal chain gives rise, for some parameters, to a slowly mixing Metropolis chain, that is a chain whose spectral gap decreases exponentially fast (in the dimension N of the problem). Here we show how a slight variant in the proposal chain can avoid this problem, keeping the mean computational cost similar to the cost of the usual Metropolis. More precisely we prove that, with a suitable variant in the proposal, the Metropolis chain has a spectral gap which decreases polynomially in 1/N. Using some symmetry structure of the energy, the method rests on allowing appropriate jumps within the energy level of the starting state, and it is strictly connected to both the small word Markov chains of [15, 16] and to the equi-energy sampling of [22] and [26]. |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:ins:quaeco:qf0703&r=cmp |