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    <title>EconStor Collection: Kieler Arbeitspapiere, IfW</title>
    <link>http://hdl.handle.net/10419/2</link>
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      <title>Parameter estimation and forecasting for multiplicative lognormal cascades</title>
      <link>http://hdl.handle.net/10419/54943</link>
      <description>Titel: Parameter estimation and forecasting for multiplicative lognormal cascades
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&lt;br/&gt;Autoren: Leövey, Andrés E.; Lux, Thomas
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&lt;br/&gt;Zusammenfassung: We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a formalism, its parameters have been estimated mostly by fitting the numerical approximation of the associated non-Gaussian pdf to empirical data, cf. Castaing et al. [Physica D, 46, 177 (1990)]. More recently, an alternative estimator based upon qth order absolute moments has been introduced by Kiyono et al. [Phys. Rev. E 76 41113 (2007)]. In this paper, we pursue this moment-based approach further and develop a more rigorous Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We show that even under uncertainty about the actual number of cascade steps, our methodology yields very reliable results for the estimated intermittency parameter. Employing the Levinson-Durbin algorithm for best linear forecasts, we also show that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results from the GMM and Kiyono et al.'s procedure via Monte Carlo simulations. We finally test the applicability of our approach by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and foreign exchange markets.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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      <title>Climate change, agricultural production and food security: Evidence from Yemen</title>
      <link>http://hdl.handle.net/10419/54942</link>
      <description>Titel: Climate change, agricultural production and food security: Evidence from Yemen
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&lt;br/&gt;Autoren: Breisinger, Clemens; Ecker, Olivier; Al-Riffai, Perrihan; Robertson, Richard; Thiele, Rainer; Wiebelt, Manfred
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&lt;br/&gt;Zusammenfassung: This paper provides a model-based assessment of local and global climate change impacts for the case of Yemen, focusing on agricultural production, household incomes and food security. Global climate change is mainly transmitted through rising world food prices. Our simulation results suggest that climate change induced price increases for food will raise agricultural GDP while decreasing real household incomes and food security. Rural nonfarm households are hit hardest as they tend to be net food consumers with high food budget shares, but farm households also experience real income losses given that many of them are net buyers of food. The impacts of local climate change are less clear given the ambiguous predictions of global climate models (GCMs) with respect to future rainfall patterns in Yemen. Local climate change impacts manifest itself in long term yield changes, which differ between two alternative climate scenarios considered, with implications for income and nutrition.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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      <title>Decompositions of wage inequality and growth in an advanced economy open to trade</title>
      <link>http://hdl.handle.net/10419/54941</link>
      <description>Titel: Decompositions of wage inequality and growth in an advanced economy open to trade
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&lt;br/&gt;Autoren: Edward, T. Huw; Lücke, Matthias
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&lt;br/&gt;Zusammenfassung: We explore the uses of double-calibrated general equilibrium models as a decomposition tool for analysing contributory factors in the growth and increasing wage inequality in an advanced economy (the UK) since 1979. Calibration of a model to start and end years, based upon an assumed functional form and parameter values, produces a consistent set of decompositions for both growth and inequality. Calibrated TFP growth is consistent with the results from nonparametric growth accounting. The calibration procedure also allows us to explore different exogeneity assumptions regarding capital. However, there are more problems to modelling inequality than with growth: in particular, the main models in the literature, which take skill endowments as given, are characteristically unstable. This strongly emphasises the need for a more dynamic modelling technique, particularly regarding the skill acquisition decision and potential labour market mismatch issues.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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      <title>Donor coordination and specialization: Did the Paris declaration make a difference?</title>
      <link>http://hdl.handle.net/10419/54940</link>
      <description>Titel: Donor coordination and specialization: Did the Paris declaration make a difference?
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&lt;br/&gt;Autoren: Nunnenkamp, Peter; Öhler, Hannes; Thiele, Rainer
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&lt;br/&gt;Zusammenfassung: We assess whether bilateral and multilateral donors of foreign aid specialized and coordinated their activities with other donors as agreed in the Paris Declaration of 2005. We account for donor heterogeneity, varying aid priorities and recipient characteristics in order to isolate changes in donor behaviour over time. Recent shifts in aid priorities, such as the rising importance of general budget support, have reduced the fragmentation of aid. Nevertheless, our results reveal that aid fragmentation persisted after the Paris Declaration and coordination among donors has even weakened.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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