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Expectation Formation and Social Influence.
Karpf, Andreas - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
This article investigate the role of social influence for the expectation formation of economic agents. Using self-organizing Kohonen maps the repeated cross-section data set of the University of Michigan consumer survey is transformed into a pseudo panel allowing to monitor the expectation...
Persistent link: https://www.econbiz.de/10010739860
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The rationality of expectations formation and excess volatility.
Dávila, Julio - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
expectations in the sense that any other expectations justifying his choices imply a smaller likelihood for the history he observes … with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … rational expectations equilibrium can match. Given that the limited records or finite memory case may arguably be the relevant …
Persistent link: https://www.econbiz.de/10005696754
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The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting.
Guegan, Dominique; Rakotomarolahy, Patrick - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
Forecasting current quarter GDP is a permanent task inside the central banks. Many models are known and proposed to solve this problem. Thanks to new results on the asymptotic normality of the multivariate k-nearest neighbor regression estimate, we propose an interesting and new approach to...
Persistent link: https://www.econbiz.de/10008622010
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A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques.
Guegan, Dominique; Rakotomarolahy, Patrick - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
The aim of this paper is to introduce a new methodology to forecast the monthly economic indicators used in the Gross Domestic Product (GDP) modelling in order to improve the forecasting accuracy. Our approach is based on multivariate k-nearest neighbors method and radial basis function method...
Persistent link: https://www.econbiz.de/10008622046
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Classical vs wavelet-based filters Comparative study and application to business cycle.
Ahamada, Ibrahim; Jolivaldt, Philippe - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
In this article, we compare the performance of Hodrickk-Prescott and Baxter-King filters with a method of filtering based on the multi-resolution properties of wavelets. We show that overall the three methods remain comparable if the theoretical cyclical component is defined in the usual...
Persistent link: https://www.econbiz.de/10008622061
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Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach.
Addo, Peter Martey; Billio, Monica; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed "delay vector variance" (DVV) method, which examines local predictability of a signal in the phase...
Persistent link: https://www.econbiz.de/10010711860
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Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis.
Addo, Peter Martey; Billio, Monica; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed ‘delay vector variance’ (DVV) method, which examines local predictability of a signal in the phase...
Persistent link: https://www.econbiz.de/10010711871
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Turning point chronology for the Euro-Zone: A Distance Plot Approach.
Addo, Peter Martey; Billio, Monica; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
We propose a transparent way of establishing a turning point chronology for the Euro-zone business cycle. Our analysis is achieve by exploiting the concept of recurrence plots, in this case distance plot, to characterize and detect turning points in the business cycle for any economic system....
Persistent link: https://www.econbiz.de/10010628505
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Alternative methods for forecasting GDP.
Guegan, Dominique; Rakotomarolahy, Patrick - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged...
Persistent link: https://www.econbiz.de/10008461116
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Business surveys modelling with seasonal-cyclical long memory models.
Ferrara, Laurent; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...
Persistent link: https://www.econbiz.de/10005510611