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John A Morrison's Blog (194)

The Duhem-Quine thesis and experimental economics A reinterpretation

The Duhem-Quine thesis and experimental economics A reinterpretation

Morten Søberg

Abstract:



The Duhem-Quine thesis asserts that any empirical evaluation of a theory is in fact a composite test of several interconnected hypotheses. Recalcitrant evidence signals falsity within the conjunction of hypotheses, but logic alone cannot pinpoint the individual element(s) inside the theoretical cluster responsible for a false prediction. This paper…

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Added by John A Morrison on August 12, 2012 at 10:30pm — 1 Comment

Econometric Pornography on G+

I call this post "pornography" its a repository of old re-prints in modern econometrics and related stuff.....

I intend to keep updating it as stuff comes to my attention;

its the kind of [old] logical (positivist) material I really like;

.. all the comments come with this link  ……

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Added by John A Morrison on August 7, 2012 at 1:15pm — No Comments

" Political Economics " Stuff I really like! A new 'discipline' (2 me!)

Stuff I really like! A new 'discipline'; some references;-

Political Economics : Explaining Economic Policy

 …

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Added by John A Morrison on August 5, 2012 at 7:57am — 1 Comment

Divide and Recombine for the Analysis of Large Complex Data

by

William Cleveland, Saptarshi Guha, Ryan Hafen, Jianfu Li, Jeremiah Rounds, Bowei Xi, and Jin Xia

Abstract



Divide and Recombine (D&R) is an approach to the analysis of large complex data. The data are parallelized: divided into subsets in one or more ways by the data analyst. Numeric and visualization methods are applied to each of the subsets separately. Then the results of each method are recombined across subsets. By introducing…

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Added by John A Morrison on August 4, 2012 at 9:37pm — No Comments

How the ECB uses PCA to analyze Sovereign Bond Markets

I have extracted 4 pages from the ECB FSR of June 2011 to a summary '.pdf' file;

these pages are a box in that FSR (if u are familiar with the FSR you will gettit); the box is titled;-

COMMON TRENDS IN EURO AREA SOVEREIGN CREDIT DEFAULT SWAP PREMIA

& it contains a beautiful & succint description of how the ECB uses the PCA technique in this space.

I have placed the summary file on a url on my website (for…

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Added by John A Morrison on July 27, 2012 at 11:15am — No Comments

From Posteriors to Priors via Cycles

From Posteriors to Priors via Cycles: An Addendum

Martin F. Hellwig

Max Planck Institute for Research on Collective Goods

April 21, 2011

Abstract



Rodrigues-Neto (2009) has shown that a given specification of posteriors of different players in an incomplete-information setting is compatible with a common prior if and only if the posteriors satisfy the so-called cycle equations. This note shows that, if, for any player, any…

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Added by John A Morrison on July 23, 2012 at 9:34pm — No Comments

Beliefs, Doubts and Learning: Valuing Macroeconomic Risk

Richard T. Ely Lecture
Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
By Lars Peter Hansen

http://cowles.econ.yale.edu/conferences/koopmans/tck08/hansen4.pdf

Added by John A Morrison on July 20, 2012 at 11:24pm — No Comments

Recognizing the Limits to Knowability

Change and Expectations in Macroeconomic Models:

Recognizing the Limits to Knowability

Roman Frydman and Michael D. Goldberg

March 13th, 2012

http://www.ifw-kiel.de/konfer/staff-seminar/paper/2012/Frydman_paper.pdf…

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Added by John A Morrison on July 20, 2012 at 11:00pm — 7 Comments

Kydland & Prescott - The Original (for me) "Dynamic Optimal Taxation"

I remember my Professor giving me a photocopy of this [1st reference below] (cf also what is known as K&P '1982'] & I went and sat down in an empty 'Adam Smith' library and read it; it was hot and sunny outside & I did not make sense of one single word, there was alot of that going on that year (1985) but I read it again & made notes in pencil on a pad of accounting paper I remember (vividly); then I went to the park (Glasgow is full of Victorian Parks, its nickname…

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Added by John A Morrison on July 20, 2012 at 10:35pm — No Comments

Rational Expectations in Games

Rational Expectations in Games
By Robert J. Aumann and Jacques H. Dreze

http://www.ma.huji.ac.il/raumann/pdf/86.pdf

Added by John A Morrison on July 17, 2012 at 8:30am — No Comments

Beliefs, Doubts and Learning: Valuing Macroeconomic Risk

Richard T. Ely Lecture
Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
By Lars Peter Hansen

http://cowles.econ.yale.edu/conferences/koopmans/tck08/hansen4.pdf

Added by John A Morrison on July 17, 2012 at 8:30am — No Comments

Mixed Frequency Vector Autoregressive Models Eric Ghysels

First Draft: July 2011
This Draft: March 14, 2012

INCOMPLETE (THIS VERSION)

http://www.econ.kuleuven.be/eng/ew/seminars/papers2012/Paper_Ghysels.pdf

Added by John A Morrison on July 11, 2012 at 4:00am — 1 Comment

autoPricing: An R package for automated GLM based actuarial pricing

autoPricing: An R package for automated GLM based actuarial pricing

Chibisi Chima-Okereke

MANGO SOLUTIONS

http://www.londonr.org/Chibisi%20Chima-Okereke%20-%20March%2012_LondonR.pdf

Added by John A Morrison on June 10, 2012 at 8:11am — 1 Comment

The Generalized Dynamic Factor Model one-sided estimation and forecasting 

The Generalized Dynamic Factor Model one-sided estimation and forecasting

Mario Forni, Universit`a di Modena and CEPR

Marc Hallin ISRO, ECARES, and D´epartement de Math´ematique Universit´e Libre de Bruxelles

Marco Lippi Universit`a di Roma La Sapienza

and

Lucrezia Reichlin ECARES, Universit´e Libre de Bruxelles and CEPR

Abstract

This paper proposes a new forecasting method which makes use of information from a

large panel of time series. As…

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Added by John A Morrison on May 31, 2012 at 11:51pm — No Comments

Dynamic Bond Portfolios under Model and Estimation Risk

Peter Feldh Linda S. Larsen Claus Munk Anders B. Trolle

Abstract

We investigate the impact of parameter uncertainty on the performance of bond portfolios. We assume that the data generating process is represented by the well-established three-factor essentially ane Gaussian term structure model. We estimate this model and three simpler models to US data using the

Markov Chain Monte Carlo method which provides a posterior distribution of parameters given the…

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Added by John A Morrison on May 31, 2012 at 11:42pm — No Comments

CORRELATION AND CONTAGION

CORRELATION AND CONTAGION IN EMPIRICAL FACTOR MODELS OF BANK CREDIT RISK

Michael Beenstock Department of Economics Hebrew University of Jerusalem

Mahmood Khatib School of Management Tel Aviv University

January 3, 2012

Abstract

Credit risk may be correlated because the observed and unobserved drivers of credit risk happen to be correlated, or because they are related through contagion. We identify contagion by assuming that contagion takes time. Bank…

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Added by John A Morrison on May 31, 2012 at 11:36pm — No Comments

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