Hedonic Predicted House Price Indices Using Time-Varying Hedonic Models with Spatial Autocorrelation

Hedonic housing price indices are computed from estimated hedonic pricing models. The commonly used time dummy hedonic model and the rolling window hedonic model fail to account for changing consumer preferences over hedonic characteristics and typically these models do not account for the presence of spatial correlation in prices reflecting the role of locational characteristics. This paper develops a class of models with time-varying hedonic coefficients and spatially correlated errors, provides an assessment of the predictive performance of these compared to the commonly used hedonic models, and constructs and compares corresponding price index series. Alternative weighting systems, plutocratic versus democratic, are considered for the class of hedonic imputed price indices. Accounting for seasonality in house sales data, monthly chained indices and annual chained indices based on averages of year-on-year monthly indexes are presented. The empirical results are based on property sales data for Brisbane, Australia over the period 1985 to 2005. On the basis of root mean square prediction error criterion the time-varying parameter with spatial errors is found to be the best performing model and the rolling-window model to be the worst performing model.

The role of volume in order book dynamics: a multivariate Hawkes process analysis

We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyze interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities, such as the order size, into the analysis, showing also that simple models assuming the independence between volume and time are not suitable to describe the data

MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test based on multivariate least squares estimation of a modified VAR (MWALD). In large samples all test statistics perform well in terms of size and power. For smaller samples, the LR and WALD tests perform better than the MWALD test. Overall, the LR test outperforms the other two in terms of size and power in small samples.Causality tests, Cointegration, Likelihood ratio, Wald statistic, Monte Carlo Experiments, Research Methods/ Statistical Methods,

A stochastic model of randomly accelerated walkers for human mobility

The recent availability of large databases allows to study macroscopic properties of many complex systems. However, inferring a model from a fit of empirical data without any knowledge of the dynamics might lead to erroneous interpretations [6]. We illustrate this in the case of human mobility [1-3] and foraging human patterns [4] where empirical long-tailed distributions of jump sizes have been associated to scale-free super-diffusive random walks called L\'evy flights [5]. Here, we introduce a new class of accelerated random walks where the velocity changes due to acceleration kicks at random times, which combined with a peaked distribution of travel times [7], displays a jump length distribution that could easily be misinterpreted as a truncated power law, but that is not governed by large fluctuations. This stochastic model allows us to explain empirical observations about the movements of 780,000 private vehicles in Italy, and more generally, to get a deeper quantitative understanding of human mobility.Comment: 10 pages, 6 figures + Supplementary informatio

Empedocle e la bonifica di Selinunte: un breve riesame

Alcune considerazioni intorno a un passo di Diogene Laerzio, secondo il quale il filosofo Empedocle avrebbe attuato un'operazione di bonifica a Selinunte, e sulla possibilità di trovare riscontri in proposito

Imposing Observation-Varying Equality Constraints Using Generalised Restricted Least Squares

Linear equality restrictions derived from economic theory are frequently observation-varying. Except in special cases, Restricted Least Squares (RLS) cannot be used to impose such restrictions without either underconstraining or overconstraining the parameter space. We solve the problem by developing a new estimator that collapses to RLS in cases where the restrictions are observation-invariant. We derive some theoretical properties of our so-called Generalised Restricted Least Squares (GRLS) estimator, and conduct a simulation experiment involving the estimation of a constant returns to scale production function. We find that GRLS significantly outperforms RLS in both small and large samples.

Potential demand for hedging by Australian wheat producers

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an `average' wheat farmer was found to be zero under reasonable assumptions about transaction costs and based on previously published measures of risk aversion. The estimated optimal hedging ratios were found by simulation to be quite sensitive to assumptions about the degree of risk aversion. If farmers are significantly more risk averse than is currently believed, then there is likely to be an active interest in the new futures market.Crop Production/Industries, Marketing, Risk and Uncertainty,

Feriti e bendaggi nell’arte greca e romana

Nell’arte greca e romana, la rappresentazione di ferite corporee è solitamente poco enfatizzata e subordinata a una logica narrativa, poiché le lesioni sono di norma giustificate dagli avvenimenti nei quali i personaggi appaiono coinvolti. La stessa considerazione vale anche per le medicazioni, che di norma riguardano ferite in battaglia. Vi è però qualche raro caso di scene più quotidiane, raffiguranti un’attività di tipo ambulatoriale