Suchergebnisse

Independent Component Analysis (ICA) is a statistical method that transforms a set of random variables in least dependent linear combinations. Under the assumption that the observed data are mixtures of non-Gaussian and independent processes, ICA is able to recover the underlying components, but a scale and order indeterminacy. Its application to structural vector autoregressive (SVAR) models allows the researcher to recover the impact of independent structural shocks on the observed series from estimated residuals. We analyze different ICA estimators, recently proposed within the field of SVAR identification, and compare their performance in recovering structural coefficients. Moreover, after suggesting an algorithm that solve the ICA indeterminacy problem, we assess the size distortions of the estimators in hypothesis testing. We conduct our analysis by focusing on distributional scenarios that get gradually close the Gaussian case, which is the case where ICA methods fail to recover the independent components. In terms of statistical properties of the ICA estimators, we find no evidence that a method outperforms all others. We finally present an empirical illustration using US data to identify the effects of government spending and tax cuts on economic activity, thus providing an example where ICA techniques can be used for hypothesis testing.

Cover; Half Title; Series Page; Title Page; Copyright Page; Table of Contents; List of figures; List of tables; List of contributors; Foreword; Introduction: escaping from the economics cave; 1. A Janus-faced crisis; 2. Plato against the economists; 3. Shadow economic theory versus real economic phenomena; 4. Economic models as modern simulacra; 5. The old is dying, but . . .; 6. Our economics menu; 7. Looking for the light at the end of the . . . cave; Notes; PART I: Alternative methodologies; Chapter 1: Critical dilemmas in the methodology of economics facing the crisis; 1. Introduction

Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Table of Contents -- List of figures -- List of tables -- List of contributors -- Foreword -- Introduction: escaping from the economics cave -- 1. A Janus-faced crisis -- 2. Plato against the economists -- 3. Shadow economic theory versus real economic phenomena -- 4. Economic models as modern simulacra -- 5. The old is dying, but . . . -- 6. Our economics menu -- 7. Looking for the light at the end of the . . . cave -- Notes -- PART I: Alternative methodologies -- Chapter 1: Critical dilemmas in the methodology of economics facing the crisis -- 1. Introduction -- 2. The dilemma of causality -- 3. More dilemmas -- 4. Concluding remarks -- Acknowledgments -- Notes -- References -- Chapter 2: "Anti-Blanchard": a comparative technique for macroeconomics -- 1. Signals of crisis in the 'core' of contemporary macroeconomics -- 2. Rediscovering a comparative approach to economic theory and policy -- 3. "Anti-Blanchard": a comparative approach in the sphere of teaching -- 4. Further comparisons between alternative paradigms: monetary policy rules -- 5. Which paradigm fits better with the data? Some empirical tests -- References -- PART II: Alternative theories -- Chapter 3: The originality of the Italian debate on Marx -- 1. Value and the falling rate of profit: Croce and Gramsci -- 2. Traditional Marxism: Dobb, Sweezy and Meek -- 3. Abstract labour as a "real abstraction": Lucio Colletti -- 4. Value and prices of production: Pierangelo Garegnani, Marco Lippi and Fernando Vianello -- 5. Value and the social relations of production: Claudio Napoleoni -- 6. Logic and history in Capital: Cesare Luporini -- 7. The method of presentation in Capital: Lorenzo Calabi and Alessandro Mazzone -- 8. Value and the transformation as a pseudo-problem: Rodolfo Banfi