The bias of forecasts from a first-order autoregression (Revised version)

Economics;Forecasting Techniques

Idl Signal Processing Library 1.0

We make available a library of documented IDL .pro files as well as a shareable object library that allows IDL to call routines from LAPACK. The routines are for use in the spectral analysis of time series data. The primary focus of these routines are David Thomson's multitaper methods but a whole range of functions will be made available in future revisions of the submission. At present routines are provided to carry out the following operations: calculate prolate spheroidal sequences and eigenvalues, project time-series into frequency bands, calculate spectral estimates with or without moving windows, and calculate the cross-coherence between two time series as a function of frequency as well as the coherence between frequencies for a single time series.Comment: 13 IDL .pro files, 1 .html file, 1 .ps file, 1 license file. Download the source for the IDL files (save as .tar.gz) Read idl_lib.ps for instructions on use. Originally submitted to the neuro-sys archive which was never publicly announced (was 9801001

Temporal structure in neuronal activity during working memory in Macaque parietal cortex

A number of cortical structures are reported to have elevated single unit firing rates sustained throughout the memory period of a working memory task. How the nervous system forms and maintains these memories is unknown but reverberating neuronal network activity is thought to be important. We studied the temporal structure of single unit (SU) activity and simultaneously recorded local field potential (LFP) activity from area LIP in the inferior parietal lobe of two awake macaques during a memory-saccade task. Using multitaper techniques for spectral analysis, which play an important role in obtaining the present results, we find elevations in spectral power in a 50--90 Hz (gamma) frequency band during the memory period in both SU and LFP activity. The activity is tuned to the direction of the saccade providing evidence for temporal structure that codes for movement plans during working memory. We also find SU and LFP activity are coherent during the memory period in the 50--90 Hz gamma band and no consistent relation is present during simple fixation. Finally, we find organized LFP activity in a 15--25 Hz frequency band that may be related to movement execution and preparatory aspects of the task. Neuronal activity could be used to control a neural prosthesis but SU activity can be hard to isolate with cortical implants. As the LFP is easier to acquire than SU activity, our finding of rich temporal structure in LFP activity related to movement planning and execution may accelerate the development of this medical application.Comment: Originally submitted to the neuro-sys archive which was never publicly announced (was 0005002

Recording advances for neural prosthetics

An important challenge for neural prosthetics research is to record from populations of neurons over long periods of time, ideally for the lifetime of the patient. Two new advances toward this goal are described, the use of local field potentials (LFPs) and autonomously positioned recording electrodes. LFPs are the composite extracellular potential field from several hundreds of neurons around the electrode tip. LFP recordings can be maintained for longer periods of time than single cell recordings. We find that similar information can be decoded from LFP and spike recordings, with better performance for state decodes with LFPs and, depending on the area, equivalent or slightly less than equivalent performance for signaling the direction of planned movements. Movable electrodes in microdrives can be adjusted in the tissue to optimize recordings, but their movements must be automated to be a practical benefit to patients. We have developed automation algorithms and a meso-scale autonomous electrode testbed, and demonstrated that this system can autonomously isolate and maintain the recorded signal quality of single cells in the cortex of awake, behaving monkeys. These two advances show promise for developing very long term recording for neural prosthetic applications

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. We propose a model for exploring these dimensions of credit risk diversification: across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity matters a great deal for capturing differences in simulated credit loss distributions. Imposing homogeneity results in overly skewed and fat-tailed loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity greatly reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogeneous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity

Gold as an inflation hedge?

This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against inflation. The model also demonstrates that short-run changes in the gold lease rate, the real interest rate, convenience yield, default risk, the covariance of gold returns with other assets and the dollar/world exchange rate can disturb this equilibrium relationship and generate short-run price volatility. Using monthly gold price data (1976-1999), and cointegration regression techniques, an empirical analysis confirms the central hypotheses of the theoretical model