Related papers: The Australian Phillips curve and more
The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its 'phase…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
Time series are difficult to monitor, summarize and predict. Segmentation organizes time series into few intervals having uniform characteristics (flatness, linearity, modality, monotonicity and so on). For scalability, we require fast…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient…
The growing complexity of the power grid, driven by increasing share of distributed energy resources and by massive deployment of intelligent internet-connected devices, requires new modelling tools for planning and operation. Physics-based…
The collective behavior in a variant of Schelling's segregation model is characterized with methods borrowed from statistical physics, in a context where their relevance was not conspicuous. A measure of segregation based on cluster…
Calibration is a pivotal aspect in predictive modeling, as it ensures that the predictions closely correspond with what we observe empirically. The contemporary calibration framework, however, is predominantly focused on prediction models…
The scalar perturbations in inflationary models, based on a two-component diagonal non-linear sigma model, are considered. For inhomogeneities generated at an inflationary stage, the law of motion of the comoving curvature ${\cal R}$ is…
The use of big data in official statistics and the applied sciences is accelerating, but statistics computed using only big data often suffer from substantial selection bias. This leads to inaccurate estimation and invalid statistical…
In this article we present very intuitive, easy to follow, yet mathematically rigorous, approach to the so called data fitting process. Rather than minimizing the distance between measured and simulated data points, we prefer to find such…
Oscillators are ubiquitous in nature, and usually associated with the existence of an asymptotic phase that governs the long-term dynamics of the oscillator. % We show that asymptotic phase can be estimated using a carefully chosen series…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…
We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local…
Many widely used models amount to an elaborate means of making up numbers--but once a number has been produced, it tends to be taken seriously and its source (the model) is rarely examined carefully. Many widely used models have little…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…
An extension of the empirical copula is considered by combining an estimator of a multivariate cumulative distribution function with estimators of the marginal cumulative distribution functions for marginal estimators that are not…
Urban transformations within large and growing metropolitan areas often generate critical dynamics affecting social interactions, transport connectivity and income flow distribution. We develop a statistical-mechanical model of urban…
A model of quintessential inflation is presented, which manages to achieve the requirements of both inflation and quintessence with natural values of the mass-scales and parameters.