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118
Integer Factorization
, 2005
"... Many public key cryptosystems depend on the difficulty of factoring large integers. This thesis serves as a source for the history and development of integer factorization algorithms through time from trial division to the number field sieve. It is the first description of the number field sieve fro ..."
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Cited by 123 (8 self)
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Many public key cryptosystems depend on the difficulty of factoring large integers. This thesis serves as a source for the history and development of integer factorization algorithms through time from trial division to the number field sieve. It is the first description of the number field sieve from an algorithmic point of view making it available to computer scientists for implementation. I have implemented the general number field sieve from this description and it is made publicly available from the Internet. This means that a reference implementation is made available for future developers which also can be used as a framework where some of the sub
2006, A quasi maximum likelihood approach for large approximate dynamic factor models based on the Kalman filter, ECB Working Paper 674
"... Is maximum likelihood suitable for factor models in large crosssections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the crosssection (n) and th ..."
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Cited by 101 (12 self)
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Is maximum likelihood suitable for factor models in large crosssections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the crosssection (n) and the sample size (T) going to infinity along any path of n and T and that therefore maximum likelihood is viable for n large. The estimator is robust to misspecification of the crosssectional and time series correlation of the the idiosyncratic components. In practice, the estimator can be easily implemented using the Kalman smoother and the EM algorithm as in traditional factor analysis. JEL Classification: C51, C32, C33.
Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?
, 2006
"... ..."
681 “Regional inflation dynamics within and across euro area countries and a comparison with the US” by
, 2006
"... In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downloaded without charge from ..."
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Cited by 42 (5 self)
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In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downloaded without charge from
680 “Comparing alternative predictors based on largepanel factor models” by A. D’Agostino and
, 2006
"... In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downloaded without charge from ..."
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Cited by 40 (6 self)
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In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downloaded without charge from
737 “Structural balances and revenue windfalls: the role of asset prices revisited” by
, 2007
"... publications feature a motif taken from the €20 banknote. This paper can be downloaded without charge from ..."
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Cited by 37 (4 self)
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publications feature a motif taken from the €20 banknote. This paper can be downloaded without charge from
Explaining the Great Moderation: It is Not the Shocks
 Issue 2/3 (April/May 2008
"... Abstract This paper shows that the explanation of the decline in the volatility of GDP growth since the mideighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. JEL Classification: E32, E37, C32, C53 ..."
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Cited by 31 (3 self)
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Abstract This paper shows that the explanation of the decline in the volatility of GDP growth since the mideighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. JEL Classification: E32, E37, C32, C53
European Central Bank
, 2008
"... New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check ident ..."
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Cited by 29 (0 self)
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New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check identification requires specifying the process for the forcing variables (typically the output gap) and solving the model for inflationintermsoftheobservables. Inpractice,theequationisestimatedby GMM, relying on statistical criteria to choose instruments. This may result in failure of identification or weak instruments. Secondly, the NKPC is usually derived as a part of a DSGE model, solved by loglinearising around a steady state and the variables are then measured in terms of deviations from the steady state. In practice the steady states, e.g. for output, are usually estimated by some statistical procedure such as the HodrickPrescott (HP) filter that might not be appropriate. Thirdly, there are arguments that other variables, e.g. interest rates, foreign inflation and foreign output gaps should enter the Phillips curve. This paper examines these three issues and argues that all three benefit from a global perspective. The global perspective provides additional instruments to alleviate the weak instrument problem, yields a theoretically consistent measure of the steady state and provides a natural route for foreign inflation or output gap to enter the NKPC. Keywords: Global VAR (GVAR), identification, New Keynesian Phillips Curve, TrendCycle decomposition.