scholarly journals Forecasting using cross-section average–augmented time series regressions

2020 ◽  
Author(s):  
Hande Karabiyik ◽  
Joakim Westerlund
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Regression Models ◽  
Common Factor ◽  
Principal Component ◽  
Small Sample ◽  
Interactive Effects ◽  
Cross Sectional ◽  
Second Development ◽  
The Cross

Summary There is a large and growing body of literature concerned with forecasting time series variables by the use of factor-augmented regression models. The workhorse of this literature is a two-step approach in which the factors are first estimated by applying the principal components method to a large panel of variables, and the forecast regression is then estimated, conditional on the first-step factor estimates. Another stream of research that has attracted much attention is concerned with the use of cross-section averages as common factor estimates in interactive effects panel regression models. The main justification for this second development is the simplicity and good performance of the cross-section averages when compared with estimated principal component factors. In view of this, it is quite surprising that no one has yet considered the use of cross-section averages for forecasting. Indeed, given the purpose to forecast the conditional mean, the use of the cross-sectional average to estimate the factors is only natural. The present paper can be seen as a reaction to this. The purpose is to investigate the asymptotic and small-sample properties of forecasts based on cross-section average–augmented regressions. In contrast to most existing studies, the investigation is carried out while allowing the number of factors to be unknown.

The Determinants of Idiosyncratic Volatility

2017 ◽  
Vol 25 (4) ◽  
pp. 509-545
Author(s):  
Jaeuk Khil ◽  
Song Hee Kim ◽  
Eun Jung Lee
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Cross Section ◽  
Growth Rates ◽  
Idiosyncratic Volatility ◽  
Return Volatility ◽  
Firm Level ◽  
Cross Sectional ◽  
Asset Growth ◽  
The Cross

We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find that, in the cross-section, companies with high idiosyncratic volatility tend to be small and highly leveraged, have high variance of ROE and Market to Book ratio, high turnover rate, and pay no dividends. Furthermore, firms with extreme (either high positive or negative) asset growth rates have high idiosyncratic return volatility than firms with moderate growth rates, suggesting the V-shaped relation between asset growth rate and idiosyncratic return volatility. We find that the V-shaped relation is robust even after controlling for other factors. In time-series, we find that firm-level idiosyncratic volatility is positively related to the dispersion of the cross-sectional asset growth rates. As a result, this study is contributed to show that the asset growth is the most important predictor of firm-level idiosyncratic return volatility in both the cross-section and the time-series in the Korean stock market. In addition, we show how the effect of risk factors varies with industries.

On a model for a time series of cross-sections

1986 ◽  
Vol 23 (A) ◽  
pp. 113-125 ◽  
Author(s):  
P. M. Robinson
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Cross Sections ◽  
Standard Form ◽  
Cross Sectional ◽  
Aggregated Data ◽  
Section Data ◽  
Infinite Population ◽  
The Cross ◽  
Observation Times

Dynamic stationary models for mixed time series and cross-section data are studied. The models are of simple, standard form except that the unknown coefficients are not assumed constant over the cross-section; instead, each cross-sectional unit draws a parameter set from an infinite population. The models are framed in continuous time, which facilitates the handling of irregularly-spaced series, and observation times that vary over the cross-section, and covers also standard cases in which observations at the same regularly-spaced times are available for each unit. A variety of issues are considered, in particular stationarity and distributional questions, inference about the parameter distributions, and the behaviour of cross-sectionally aggregated data.

On a model for a time series of cross-sections

1986 ◽  
Vol 23 (A) ◽  
pp. 113-125
Author(s):  
P. M. Robinson
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Cross Sections ◽  
Standard Form ◽  
Cross Sectional ◽  
Aggregated Data ◽  
Section Data ◽  
Infinite Population ◽  
The Cross ◽  
Observation Times

Dynamic stationary models for mixed time series and cross-section data are studied. The models are of simple, standard form except that the unknown coefficients are not assumed constant over the cross-section; instead, each cross-sectional unit draws a parameter set from an infinite population. The models are framed in continuous time, which facilitates the handling of irregularly-spaced series, and observation times that vary over the cross-section, and covers also standard cases in which observations at the same regularly-spaced times are available for each unit. A variety of issues are considered, in particular stationarity and distributional questions, inference about the parameter distributions, and the behaviour of cross-sectionally aggregated data.

THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS

2011 ◽  
Vol 27 (5) ◽  
pp. 1048-1082 ◽  
Author(s):  
Sílvia Gonçalves
Keyword(s):  
Time Series ◽  
Linear Regression ◽  
Cross Section ◽  
Fixed Effects ◽  
Regression Models ◽  
Linear Regression Models ◽  
Cross Sectional ◽  
Cross Section Dependence ◽  
Cross Sectional Dependence ◽  
Moving Blocks Bootstrap

In this paper we propose a bootstrap method for panel data linear regression models with individual fixed effects. The method consists of applying the standard moving blocks bootstrap of Künsch (1989, Annals of Statistics 17, 1217–1241) and Liu and Singh (1992, in R. LePage & L. Billiard (eds.), Exploring the Limits of the Bootstrap) to the vector containing all the individual observations at each point in time. We show that this bootstrap is robust to serial and cross-sectional dependence of unknown form under the assumption that n (the cross-sectional dimension) is an arbitrary nondecreasing function of T (the time series dimension), where T → ∞, thus allowing for the possibility that both n and T diverge to infinity. The time series dependence is assumed to be weak (of the mixing type), but we allow the cross-sectional dependence to be either strong or weak (including the case where it is absent). Under appropriate conditions, we show that the fixed effects estimator (and also its bootstrap analogue) has a convergence rate that depends on the degree of cross-section dependence in the panel. Despite this, the same studentized test statistics can be computed without reference to the degree of cross-section dependence. Our simulation results show that the moving blocks bootstrap percentile-t intervals have very good coverage properties even when the degree of serial and cross-sectional correlation is large, provided the block size is appropriately chosen.

Automated Diagonal Slice and View Solution for 3D Device Structure Analysis

2018 ◽  
Author(s):  
Sang Hoon Lee ◽  
Jeff Blackwood ◽  
Stacey Stone ◽  
Michael Schmidt ◽  
Mark Williamson ◽  
...  
Keyword(s):  
Cross Section ◽  
Focused Ion Beam ◽  
Ion Beam ◽  
Image Data ◽  
Planar Surface ◽  
Device Structure ◽  
Cross Sectional ◽  
Device Structures ◽  
The Cross ◽  
Planar Analysis

Abstract The cross-sectional and planar analysis of current generation 3D device structures can be analyzed using a single Focused Ion Beam (FIB) mill. This is achieved using a diagonal milling technique that exposes a multilayer planar surface as well as the cross-section. this provides image data allowing for an efficient method to monitor the fabrication process and find device design errors. This process saves tremendous sample-to-data time, decreasing it from days to hours while still providing precise defect and structure data.

Longitudinal oscillation of a rod with a variable cross section

2019 ◽  
Vol 14 (2) ◽  
pp. 138-141
Author(s):  
I.M. Utyashev
Keyword(s):  
Cross Section ◽  
Natural Frequencies ◽  
Liouville Problem ◽  
Variable Cross Section ◽  
Variable Cross ◽  
Longitudinal Vibrations ◽  
Cross Sectional ◽  
Independent Functions ◽  
The Cross ◽  
The Right

Variable cross-section rods are used in many parts and mechanisms. For example, conical rods are widely used in percussion mechanisms. The strength of such parts directly depends on the natural frequencies of longitudinal vibrations. The paper presents a method that allows numerically finding the natural frequencies of longitudinal vibrations of an elastic rod with a variable cross section. This method is based on representing the cross-sectional area as an exponential function of a polynomial of degree n. Based on this idea, it was possible to formulate the Sturm-Liouville problem with boundary conditions of the third kind. The linearly independent functions of the general solution have the form of a power series in the variables x and λ, as a result of which the order of the characteristic equation depends on the choice of the number of terms in the series. The presented approach differs from the works of other authors both in the formulation and in the solution method. In the work, a rod with a rigidly fixed left end is considered, fixing on the right end can be either free, or elastic or rigid. The first three natural frequencies for various cross-sectional profiles are given. From the analysis of the numerical results it follows that in a rigidly fixed rod with thinning in the middle part, the first natural frequency is noticeably higher than that of a conical rod. It is shown that with an increase in the rigidity of fixation at the right end, the natural frequencies increase for all cross section profiles. The results of the study can be used to solve inverse problems of restoring the cross-sectional profile from a finite set of natural frequencies.

Long waves in a straight channel with non-uniform cross-section

2015 ◽  
Vol 770 ◽  
pp. 156-188 ◽  
Author(s):  
Patricio Winckler ◽  
Philip L.-F. Liu
Keyword(s):  
Boundary Layer ◽  
Wave Propagation ◽  
Cross Section ◽  
Three Dimensional ◽  
Channel Cross Section ◽  
Cross Sectional ◽  
New Model ◽  
One Dimensional ◽  
Uniform Channel ◽  
The Cross

A cross-sectionally averaged one-dimensional long-wave model is developed. Three-dimensional equations of motion for inviscid and incompressible fluid are first integrated over a channel cross-section. To express the resulting one-dimensional equations in terms of the cross-sectional-averaged longitudinal velocity and spanwise-averaged free-surface elevation, the characteristic depth and width of the channel cross-section are assumed to be smaller than the typical wavelength, resulting in Boussinesq-type equations. Viscous effects are also considered. The new model is, therefore, adequate for describing weakly nonlinear and weakly dispersive wave propagation along a non-uniform channel with arbitrary cross-section. More specifically, the new model has the following new properties: (i) the arbitrary channel cross-section can be asymmetric with respect to the direction of wave propagation, (ii) the channel cross-section can change appreciably within a wavelength, (iii) the effects of viscosity inside the bottom boundary layer can be considered, and (iv) the three-dimensional flow features can be recovered from the perturbation solutions. Analytical and numerical examples for uniform channels, channels where the cross-sectional geometry changes slowly and channels where the depth and width variation is appreciable within the wavelength scale are discussed to illustrate the validity and capability of the present model. With the consideration of viscous boundary layer effects, the present theory agrees reasonably well with experimental results presented by Chang et al. (J. Fluid Mech., vol. 95, 1979, pp. 401–414) for converging/diverging channels and those of Liu et al. (Coast. Engng, vol. 53, 2006, pp. 181–190) for a uniform channel with a sloping beach. The numerical results for a solitary wave propagating in a channel where the width variation is appreciable within a wavelength are discussed.

The Cross Section of Expected Returns with MIDAS Betas

2011 ◽  
Vol 47 (1) ◽  
pp. 115-135 ◽  
Author(s):  
Mariano González ◽  
Juan Nave ◽  
Gonzalo Rubio
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Market Risk ◽  
Ordinary Least Squares ◽  
Mixed Data ◽  
Expected Returns ◽  
Data Sampling ◽  
Cross Sectional ◽  
Market Risk Premium ◽  
The Cross

AbstractThis paper explores the cross-sectional variation of expected returns for a large cross section of industry and size/book-to-market portfolios. We employ mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors and innovations to well-known macroeconomic variables. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications and model misspecification. However, the traditional 2-pass ordinary least squares (OLS) cross-sectional regressions produce an estimate of the market risk premium that is negative, and significantly different from 0. Using alternative procedures, we compare both beta estimators. We conclude that beta estimates under MIDAS present lower mean absolute forecasting errors and generate better out-of-sample performance of the optimized portfolios relative to OLS betas.

An Analytical Method of Analyzing the Heat Conduction for the Unequal Cross-Section Straight Fin

2013 ◽  
Vol 365-366 ◽  
pp. 1211-1216
Author(s):  
Fan Zhang ◽  
Peng Yun Song
Keyword(s):  
Heat Conduction ◽  
Cross Section ◽  
Analytical Method ◽  
Thermal Analyses ◽  
Cross Sectional ◽  
Cross Section Area ◽  
Section Area ◽  
Calculation Results ◽  
The Cross ◽  
Analytical Expressions

The cross-section area of straight fin is often considered to be equal in the thermal analyses of straight fin, but sometimes it is unequalin actual situation. Taking a straight fin with two unequal cross-sectional areas as an example,an analytical method of heat conduction for unequal section straight fin is presented. The analytical expressions of temperature field and heat dissipating capacity about the fin,which has a smaller cross-section area near the fin base and a larger one, is obtained respectively. The calculation results of the unequal cross-section are fully consistent with the equal area one, so the method is proved right. The results show that the larger the cross section areanear the base,the better is the heat transfer, and the temperature at the base with larger cross-section area is lower than that with smaller cross-section area when the amount of heat is fixed.

Dissecting Investment Strategies in the Cross Section and Time Series

2015 ◽  
Author(s):  
Jamil Baz ◽  
Nicolas M Granger ◽  
Campbell R. Harvey ◽  
Nicolas Le Roux ◽  
Sandy Rattray
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Investment Strategies ◽  
The Cross
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