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The fixed-event forecasting setup is common in economic policy. It involves a sequence of forecasts of the same (`fixed') predictand, so that the difficulty of the forecasting problem decreases over time. Fixed-event point forecasts are…
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the…
This paper develops a smooth model identification and self-learning strategy for dynamic systems taking into account possible parameter variations and uncertainties. We have tried to solve the problem such that the model follows the changes…
Predicting when rupture occurs or cracks progress is a major challenge in numerous elds of industrial, societal and geophysical importance. It remains largely unsolved: Stress enhancement at cracks and defects, indeed, makes the macroscale…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic…
While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account for such instability. This paper studies how investors…
The processes of ecological interactions, dispersal and mutations shape the dynamics of biological communities, and analogous eco-evolutionary processes acting upon economic entities have been proposed to explain economic change. This…
We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…
This paper presents a novel approach to detect abnormalities in dynamic systems based on multisensory data and feature selection. The proposed method produces multiple inference models by considering several features of the observed data.…
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…
When sample data are governed by an unknown sequence of independent but possibly non-identical distributions, the data-generating process (DGP) in general cannot be perfectly identified from the data. For making decisions facing such…
Complex systems are characterized by a huge number of degrees of freedom often interacting in a non-linear manner. In many cases macroscopic states, however, can be characterized by a small number of order parameters that obey stochastic…
Dynamic models, particularly rate-dependent models, have proven effective in capturing the key phenomenological features of frictional processes, whilst also possessing important mathematical properties that facilitate the design of control…
We propose a tractable semiparametric estimation method for structural dynamic discrete choice models. The distribution of additive utility shocks in the proposed framework is modeled by location-scale mixtures of extreme value…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
Estimation of parameters in differential equation models can be achieved by applying learning algorithms to quantitative time-series data. However, sometimes it is only possible to measure qualitative changes of a system in response to a…
Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixed frequency information without directly modeling them, we…
This paper shows that utilizing information on the extensive margin of financially constrained households can narrow down the set of admissible preferences in a large class of macroeconomic models. Estimates based on Spanish aggregate data…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
Transformer-based models generate hidden states that are difficult to interpret. In this work, we analyze hidden states and modify them at inference, with a focus on motion forecasting. We use linear probing to analyze whether interpretable…