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on Computational Economics |
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Issue of 2013‒08‒05
four papers chosen by |
| By: | Y. Shi; A. N. Gorban; T. Y. Yang |
| Abstract: | This case study tests the possibility of prediction for "success" (or "winner") components of four stock & shares market indices in a time period of three years from 02-Jul-2009 to 29-Jun-2012.We compare their performance ain two time frames: initial frame three months at the beginning (02/06/2009-30/09/2009) and the final three month frame (02/04/2012-29/06/2012). To label the components, average price ratio between two time frames in descending order is computed. The average price ratio is defined as the ratio between the mean prices of the beginning and final time period. The "winner" components are referred to the top one third of total components in the same order as average price ratio it means the mean price of final time period is relatively higher than the beginning time period. The "loser" components are referred to the last one third of total components in the same order as they have higher mean prices of beginning time period. We analyse, is there any information about the winner-looser separation in the initial fragments of the daily closing prices log-returns time series. The Leave-One-Out Cross-Validation with k-NN algorithm is applied on the daily log-return of components using a distance and proximity in the experiment. By looking at the error analysis, it shows that for HANGSENG and DAX index, there are clear signs of possibility to evaluate the probability of long-term success. The correlation distance matrix histograms and 2-D/3-D elastic maps generated from ViDaExpert show that the winner components are closer to each other and winner/loser components are separable on elastic maps for HANGSENG and DAX index while for the negative possibility indices, there is no sign of separation. |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1307.8308&r=cmp |
| By: | Joerg Luedicke (Yale University; University of Florida) |
| Abstract: | A widespread tool in the context of a point null hypothesis significance testing framework is the computation of statistical power, especially in the planning stage of quantitative studies. However, asymptotic power formulas are often not readily available for certain tests, or are too restrictive in their underlying assumptions to be of much use in practice. The Stata package -powersim- exploits the flexibility of a simulation-based approach by providing a facility for automated power simulations in the context of linear and generalized linear regression models. The package supports a wide variety of uni- and multivariate covariate distributions, and all family and link choices that are implemented in Stata's -glm- command. The package mainly serves two purposes: first, it provides access to simulation-based power analyses for researchers without much experience in simulation studies. Second, it provides a convenient simulation facility for more advanced users who can easily complement the automated data generation with their own code for creating more complex synthetic datasets. The presentation will discuss some advantages of the simulation-based power analysis approach and will go through a number of worked examples to demonstrate key features of the package. |
| Date: | 2013–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:boc:norl13:13&r=cmp |
| By: | Elsa Cristina Vaz; Maria Paula Fontoura |
| Abstract: | The purpose of this paper is to analyse, for the case of Portugal, the effectiveness of wage reduction - a current proposal since 2011 to help the country to reverse the high public and external debt - in promoting the efficiency and international competitiveness of the economy. A static multi-sector and single-country general equilibrium model is used and data is collected from the GTAP7 Database. The model allows the measurement of changes by sector. The simulations performed show that extending the reduction of wages already deployed by the government in the public sector to the private sector leads to a positive impact on employment (both skilled and unskilled labour), production and volume of exports in all sectors except those that are R&D intensive, the latter having a low weight in the Portuguese economy. However, it is possible that the positive results in terms of external competitiveness are not sustainable, as the impact on productivity is negative, albeit small, for most sectors. There are also reasons for concern regarding the observed deterioration of the trade balance of most sectors, the exception being the traditional labour intensive sectors, which show good prospects in this respect. |
| Keywords: | Competitiveness, wages, Stability and Growth Pact; General Equilibrium Model, Portugal. |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp142013&r=cmp |
| By: | Lionel Fontagné; Jean Fouré |
| Abstract: | Economic projections for the world economy, particularly in relation to the construction of Computable General Equilibrium (CGE) baselines, are generally rather conservative and take scant account of the wide range of possible evolutions authorized by the underlying economic mechanisms considered. Against this background, we adopt an ‘open mind’ to the projection of world trade trajectories. Taking a 2035 horizon, we examine how world trade patterns will be shaped by the changing comparative advantages, demand, and capabilities of different regions. We combine a convergence model fitting three production factors (capital, labour and energy) and two factor-specific productivities, alongside a dynamic CGE model of the world economy calibrated to reproduce observed elasticity of trade to income. Each scenario involves three steps. First, we project growth at country level based on factor accumulation, educational attainment and efficiency gains, and discuss uncertainties related to our main drivers. Second, we impose this framework (demographics, gross domestic product, saving rates, factors and current account trajectories) on the CGE baseline. Third, we implement trade policy scenarios (tariffs as well as non-tariff measures in goods and services), in order to get factor allocation across sectors from the model as well as demand and trade patterns. We show that the impact of changing baselines is greater than the impact of a policy shock on the order of magnitude of changes in world trade patterns, which points to the need for care when designing CGE baselines. |
| Keywords: | Growth;Macroeconomic Projections;Dynamic Baselines |
| JEL: | E23 E27 F02 F17 F47 |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:cii:cepidt:2013-22&r=cmp |