Search results for "component"
showing 10 items of 1682 documents
Rotifer vertical distribution in a strongly stratified lake: a multivariate analysis
1998
The main source of variation of rotifer species distributions in lake Arcas-2, a small karstic lake near Cuenca (Spain), was explored by means of principal components factor (PCA) and canonical correlation (CCA) analyses. PCA was performed using rotifer densities and CCA using rotifer densities plus physical and chemical parameters. Factor 1 of PCA separated summer species from winter-spring species and Factor 2 accounted for the variation in the vertical profile. Three summer species with different food habits (Polyarthra dolichoptera, Hexarthra mira and Asplanchna girodi) were grouped together at the positive end of Factor 1, while Factor 2 separated the two hypolimnetic species (Filinia …
Composition des dépenses publiques et impacts sur la croissance économique : analyses théoriques et empiriques sur des panels de pays développés, éme…
2016
The economic role of the State has been the subject of much debate both from theoretical and the practical perspectives. The actors of these controversies include the objectors of the efficiency of the public intervention since Smith to the present days, Keynesians and economists of the synthesis. Topics ranging from principle of the invisible hand, tax, expectations, burden of the debt, crowding out effect, public sector production are treated through of such debates. The work explains the breakdown of public spending components and implications for countries at levels development (OECD, BRICS, and WAEMU). The study also indicated that the effects of the public spending and its components …
The contribution of granular and fundamental comparative advantage to European Union countries' export specialisation
2020
This paper analyses the contribution of fundamental comparative advantage (a country‐specific component) and granular comparative advantage (a firm‐specific component) to European Union countries' export specialisation. We find that, on average, granular comparative advantage may explain export specialisation in 29% of industries, which account for 47% of total exports. We also show that 60% of the variation in export specialisation across countries and industries may be explained by granular comparative advantage. These results highlight that some outstanding firms may play a very important role in explaining European Union countries' export specialisation.
Integrated capital shares
2019
In empirical macroeconomics, inter-dependencies between countries are often analysed using cross-country correlations or graphical investigation of time series. This study shows that applying an alternative methodological approach - identification of common unobservable factors and using them as explanatory variables for country-specific time series - indicates a stronger cross-country integration of functional income distributions than the standard methods. The results vary only little between different samples, where both the country and year coverage change. Moreover, the main findings are not sensitive to the way capital depreciation is taken into account. The primary driving factor see…
Forecasting industry sector default rates through dynamic factor models
2008
In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…
Information and Communication Component of Modern Entrepreneurship
2012
The extent of involvement of small business to the World Wide Web depends not only on the degree of activity of the entrepreneurs themselves, but also on the level of development of a virtual market space. Statistics show that in the European Union, for example, businessmen from countries just emerging from the inertia of the machine production are still fairly sluggish in the development of ICT. In the context of the problems of small business in general and of the European entrepreneurship, in particular, it can be argued that virtually oriented entrepreneurs need now a strong support at both the national and supra-national levels.
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Leading indicator properties of US high-yield credit spreads.
2010
Abstract In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest that the best results come from using only a few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. In particular, for employment and at short-run horizons, there is a gain from using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data …
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
2008
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard [Harvey, A.C., Ruiz, E., Shephard, N., 1994. Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 247–264]. We provide theoretical and Monte Carlo results on this method and apply it to S&P data.
An Augmented Static Olley-Pakes Productivity Decomposition with Entry and Exit Measurement and Interpretation
2015
We develop an augmented Olley–Pakes (OP) decomposition that allows us to examine how entering and exiting firms contribute to the popular OP covariance measure of allocative efficiency. Applying the decomposition to a comprehensive micro-level data, we find that a large part of the OP covariance component can be attributed to entrants and exiting firms. We also build a model of firm dynamics that is consistent with our main empirical results. In the model economy, the standard OP covariance component tends to increase with certain type of distortions because of endogenous changes in firm entry and exit.