scholarly journals Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck-kind

2021 ◽  
Vol 31 (1) ◽  
Author(s):  
Virtue U. _ ◽  
David E. Omoregie
Keyword(s):  
Moving Average ◽  
Theoretical Perspective ◽  
Debt Service ◽  
Debt Management ◽  
Rational Approach ◽  
Single Input Single Output ◽  
Poor Countries ◽  
Single Output ◽  
Discrete Time Dynamical System ◽  
Long Run

The burden of external debt affects the wellbeing of an economy (or a country) by making the economy vulnerable to external shocks and crowding out investment. When dealing with debt management in indebted poor countries like Nigeria, the rational approach is to allocate a portion of export earnings for debt service payments. Along this line, there is a need to identify the link between debt servicing and export earnings. Hence, the current and long-run effects of export earnings on debt service payments is modelled as a single-input-single-output discrete-time dynamical system within the framework of Autoregressive Moving Average Explanatory Input model of the Koyck-kind (KARMAX). The KARMAX model is identified for Nigeria, using data from the World Bank database from 1970 to 2018 based on the maximum likelihood (ML) method, and the obtained results are compared to the prediction error and the instrumental variable methods. From a theoretical perspective, the KARMAX specification identified by the ML method is more ideal and inspiring. By doing so, this article contributes to the literature on the econometrics of public debt management.

scholarly journals Computation of the Exact Fisher Information Matrix of a Multiple Input Single Output Time Series Models

2021 ◽  
Vol 2 (2) ◽  
pp. 1-11
Author(s):  
Emilie EPEKA MBAMBE ◽  
Angèle YULE SOTAZO ◽  
Jacques SABITI KISETA
Keyword(s):  
Time Series ◽  
Fisher Information ◽  
Fisher Information Matrix ◽  
Likelihood Function ◽  
Moving Average ◽  
Information Matrix ◽  
Time Series Models ◽  
Single Input Single Output ◽  
Single Output ◽  
Computational Procedures

Klein, Mélard, and Zahaf (1998) have proposed the computation of the exact Fisher information matrix of a large class of Gaussian time series models called the single-input-single-output (SISO) model, includes dynamic regression with autocorrelated errors and the transfer function model, with autoregressive moving average errors. For computing the Fisher information matrix of a SISO model, they introduced an algorithm based on a combination of two computational procedures: recursions for the covariance matrix of the derivatives of the state vector with respect to the parameters and the fast Kalman filter recursions used in the evaluation of the likelihood function. In this paper, we propose a generalization of this method for computing the Fisher information matrix of a MISO model.

The Sustainable Debts of Philip II

2017 ◽  
Author(s):  
Mauricio Drelichman ◽  
Hans-Joachim Voth
Keyword(s):  
Sixteenth Century ◽  
Strong Evidence ◽  
Military Expenditure ◽  
Debt Service ◽  
Fiscal Sustainability ◽  
Short Term ◽  
Systematic Analysis ◽  
Philip Ii ◽  
Long Run

This chapter addresses the sustainability of debt. A systematic analysis based on the International Monetary Fund's (IMF) methodology to evaluate fiscal sustainability shows that Castile was able to service its debts in the long run. While liquidity was scarce during periods of intense warfare, years of relative peace brought large surpluses. The data collected from Castile's annual fiscal accounts produced new yearly series of revenue, military expenditure, short-term debt issues, and short-term debt service. The resulting database spans a full 31-year period—enough to employ modern quantitative techniques. This analysis provides strong evidence that Castile's fiscal position in the second half of the sixteenth century was on a solid footing. The chapter then assesses whether the events that led to major downturns in Castile's financial fortunes could have been anticipated.

Comparative analysis of SISO and wavelength diversity-based FSO systems at different transmitter power levels

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Varun Srivastava ◽  
Abhilash Mandloi ◽  
Dhiraj Kumar Patel
Keyword(s):  
Optical Signal ◽  
Free Space Optical ◽  
Optical Source ◽  
Transmit Power ◽  
Single Input Single Output ◽  
Transmitter Power ◽  
Single Output ◽  
Communication Links ◽  
Single Input ◽  
Matching Performance

AbstractFree space optical (FSO) communication refers to a line of sight technology, which comprises optical source and detector to create a link without the use of physical connections. Similar to other wireless communication links, these are severely affected by losses that emerged due to atmospheric turbulence and lead to deteriorated intensity of the optical signal at the receiver. This impairment can be compensated easily by enhancing the transmitter power. However, increasing the transmitter power has some limitations as per radiation regulations. The requirement of high transmit power can be reduced by employing diversity methods. This paper presents, a wavelength-based diversity method with equal gain combining receiver, an effective technique to provide matching performance to single input single output at a comparatively low transmit power.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

scholarly journals 3GPP Channel Model Emulation with Analysis of MIMO-LTE Performances in Reverberation Chamber

2012 ◽  
Vol 2012 ◽  
pp. 1-8 ◽  
Author(s):  
Nabil Arsalane ◽  
Moctar Mouhamadou ◽  
Cyril Decroze ◽  
David Carsenat ◽  
Miguel Angel Garcia-Fernandez ◽  
...  
Keyword(s):  
Channel Model ◽  
Reference Case ◽  
Reverberation Chamber ◽  
Single Input Single Output ◽  
Single Output ◽  
Received Power ◽  
Communication Devices ◽  
Set Up ◽  
Multiple Clusters ◽  
Active Link

Emulation methodology of multiple clusters channels for evaluating wireless communication devices over-the-air (OTA) performance is investigated. This methodology has been used along with the implementation of the SIMO LTE standard. It consists of evaluating effective diversity gain (EDG) level of SIMO LTE-OFDM system for different channel models according to the received power by establishing an active link between the transmitter and the receiver. The measurement process is set up in a Reverberation Chamber (RC). The obtained results are compared to the reference case of single input-single output (SISO) in order to evaluate the real improvement attained by the implemented system.

Complementary Sensitivity Design of PID Controllers for Arbitrary-Order Transfer Functions With Time Delay

2008 ◽  
Author(s):  
Tooran Emami ◽  
John M. Watkins
Keyword(s):  
Time Delay ◽  
Transfer Functions ◽  
Linear Time ◽  
Order System ◽  
Pid Controllers ◽  
Single Input Single Output ◽  
Linear Time Invariant ◽  
Single Output ◽  
Plant Transfer ◽  
Time Invariant

A graphical technique for finding all proportional integral derivative (PID) controllers that stabilize a given single-input-single-output (SISO) linear time-invariant (LTI) system of any order system with time delay has been solved. In this paper a method is introduced that finds all PID controllers that also satisfy an H∞ complementary sensitivity constraint. This problem can be solved by finding all PID controllers that simultaneously stabilize the closed-loop characteristic polynomial and satisfy constraints defined by a set of related complex polynomials. A key advantage of this procedure is the fact that it does not require the plant transfer function, only its frequency response.

Optimal Nonlinear Estimation of Linear Stochastic Systems: The Multivariable Extension

1996 ◽  
Vol 118 (2) ◽  
pp. 350-353 ◽  
Author(s):  
M. A. Hopkins ◽  
H. F. VanLandingham
Keyword(s):  
Stochastic Systems ◽  
Transfer Functions ◽  
Mimo Systems ◽  
Linear Time ◽  
Nonlinear Method ◽  
Single Input Single Output ◽  
Linear Time Invariant ◽  
Single Output ◽  
Time Invariant ◽  
Time Systems

This paper extends to multi-input multi-output (MIMO) systems a nonlinear method of simultaneous parameter and state estimation that appeared in the ASME JDSM&C (September, 1994), for single-input single-output (SISO) systems. The method is called pseudo-linear identification (PLID), and applies to stochastic linear time-invariant discrete-time systems. No assumptions are required about pole or zero locations; nor about relative degree, except that the system transfer functions must be strictly proper. In the earlier paper, proofs of optimality and convergence were given. Extensions of those proofs to the MIMO case are also given here.

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