This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decomposing a time series into trend, cycle, seasonal...

We add some elements of prospect theory to an analytically tractable version of Lucas's “islands” model and show that the inclusion of reference dependence, declining sensitivity and loss aversion into the agents’ utility function leads to four main results. First, the presence of...

Systematic deficit biases and the sovereign debt crisis have increased interest in fiscal rules and institutions, in particular the setting of intermediate fiscal policy targets. Theoretical arguments point to targeting of the structural budget balance, but it is difficult in practice because...

A way of combining a hidden Markov model (HMM) and mutual information analysis is proposed to detect possible precursory signals for earthquakes from Global Positioning System (GPS) data. A non-linear filter, which measures the short-term deformation rate ranges, is introduced to extract...