Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this article, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial dependence. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression (VAR). We show that the likelihood can be evaluated efficiently using the unique partial correlations, and estimate the copula using Bayesian methods. We examine the forecasting performance of the model for four U.S. macroeconomic variables between 1975:Q1 and 2011:Q2 using quarterly real-time data. We find that the point and density forecasts from the copula model are competitive with those from a Bayesian VAR. During the recent recession the forecast densities exhibit substantial asymmetry, avoiding some of the pitfalls of the symmetric forecast densities from the Bayesian VAR. We show that the asymmetries in the predictive distributions of GDP growth and inflation are similar to those found in the probabilistic forecasts from the Survey of Professional Forecasters. Last, we find that unlike the linear VAR model, our fitted Gaussian copula models exhibit nonlinear dependencies between some macroeconomic variables. This article has online supplementary material. 相似文献
This article argues that social work in the UK needs to renegotiate its relationship with community welfare agencies. It begins by examining what we mean by local community and how welfare needs reflect complex non-linear dynamics unique to the local circumstances. It is argued that these are not always recognised in centralised policy agendas. The article broadly draws a parallel between policy issues for the European Community and for the national state. The drive for both is towards uniformity, which potentially fails to acknowledge the unique circumstances at both the national level between nations and the local level between communities.
The focus of the analysis is the lack of engagement with the subtleties of the local within the arena of social work education and practice. With the opportunity presented by the introduction of a new social work degree in the UK, the authors describe how a social work programme in Liverpool undertook a piece of research with the aim of creating an appropriate place for community welfare agencies in practice placements, the academic curriculum and, ultimately, with the next generation of social work practitioners. Eight welfare agencies within the proximity of Liverpool University, an area known as Toxteth, agreed to participate in the research to investigate what kind of placement module would enable local welfare agencies to engage meaningfully in the social work degree. Out of this process emerged a model for research based curriculum development involving local community agencies and academic institutions. More specifically for Liverpool, it placed the notion of social work's relationship with local community welfare at the heart of professional development for qualifying social workers, paving the way in this region of England for closer links between welfare agencies associated with civil society and professional social workers. 相似文献
