Summary of current economic conditions compiled from each Federal Reserve Bank district. Bureau of Economic Analysis U. Economic account data for regional, national, international and industry information. Bureau of Labor Statistics.
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Metro Economies Report Published by the U. Conference of Mayors. Statistical Abstract The authoritative and comprehensive summary of statistics on the social, political, and economic organization of the United States. Wells Fargo Economic Indicator Reports Wells Fargo's economists provide free, in-depth analysis of economic indicators as they are released by the federal government.
Reports are monthly. Walker Management Library. Email Me. Avenue South Nashville, TN You may republish or adapt this guide for educational purposes, as long as proper credit is given. Our recommended credit includes the statement: Written by, or adapted from, Vanderbilt University Libraries current as of If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original. It is calculated as: where T ii is exports of region i to region i plus imports of region i from region i and T i is total exports of region i to the world plus total imports of region i from the world.
A higher share indicates a higher degree of dependency on regional trade. Total trade is the sum of the value of exports and imports. Trade growth is the percentage change in the value of total trade relative to the previous year. Trade openness is measured by total trade of an economy expressed as a percentage of nominal Gross Domestic Product GDP in dollars. A higher value indicates a more open economy. Reporter country pertains to the host economy recipient or destination of FDI while partner country pertains to the home economy investor or source of FDI. Foreign direct investment FDI refers to the category of international investment that reflects the objective of a resident entity in one economy obtaining a lasting interest in an enterprise resident in another economy.
A 10 percent ownership of control qualifies as direct investment.
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Some economies may allow for subjective qualifications, but most foreign direct investment enterprises are branches or subsidiaries that are wholly or majority owned by the nonresident, and borderline cases are likely to be few. Components of direct investment capital transactions are recorded primarily on a directional basis i. Subcomponents of direct investment are equity capital, reinvested earnings, and other capital related to intercompany debt. Unit root test can show that the residues are distributed much closer to the normal law in comparison to basic quotes.
The word "closer" reflects the fact that the residues have the average and dispersion depending on time, which leads to instability of regression equation ratios. Using the traders' forums terms, we can say that we should not "overoptimize here is our infamous fitting!
The system is not suitable for future quotes segments because of the mathematical expectation and dispersion changing over time. The following tests will be carried out for the residues: series correlation, normality, heteroscedasticity and autoregressive conditional residues heteroscedasticity. Correlograms - Q-statistics shows the residues autocorrelations and calculates Ljung-Box Q-statistics for the appropriate lags with the indication of the p-value. Histogram - normality test shows the histogram and descriptive residues statistics including Jarque-Bera statistics when testing for normality.
If the residues are normally distributed, the histogram should be bell-shaped and the Jarque-Bera statistics should not be significant. Tests of heteroscedasticity verifies the equation residues heteroscedasticity. If there is an evidence of heteroscedasticity, it is necessary either to change the regression specification change the indicator , or model the heteroscedasticity. Let's use the heteroscedasticity test of White with the null hypothesis concerning the absence of heteroscedasticity against the heteroscedasticity test of an unknown, common form.
White describes his method as the common test for the model error specification, as the null hypothesis the test is based on suggests that the errors are both homoscedastic and independent from the independent variables, and that the linear model specification is correct. Exclusion of any of these parameters could lead to a significant test statistics. On the contrary, insignificant test statistic implies that none of these three parameters have been violated.
Diagnostic stability is the most interesting and important in this case, as the results of the diagnostics reveal the indicator predictive capabilities. In MT4 or MT5 stability can be diagnosed using the strategy tester. Further on we will show that the strategy tester cannot diagnose the future stability of a trading system created using the indicators. It can only give some evaluation of a trading system based on historical data. In case a trading system is tested at two segments, the problem of its future stability cannot be solved, as the test at the second segment shows only that this new segment is similar to the previous one by its unknown statistic parameters.
At the same time, the statistical issues that have been solved during the trading system creation remain unknown. Of course, different quotes segments are selected during the trading systems testing but it is impossible to detect by eye, say, heteroscedasticity areas or the quotes segments, at which regression ratios will be unstable. Several tests not all stability tests are listed below. With this tests we may be sure that a trading system will show a stable result, in case test conditions appear in a quote in the future.
For example, changing of a trend direction from descending to ascending one or vice versa is a breakpoint test. If this test has not found a breakpoint, we can be sure that the indicator will show stable results in case of any changes of a trend. Quandt-Andrews breakpoint test carries out verification for one or more unknown structure breakpoints in a sample for a given equation. The basic idea of Quandt-Andrews test is that a separate test of Chow breakpoint is carried out for each observation between two dates or observations t1 and t2. The null hypothesis: the error in managing the regression is a normally distributed value with a zero average.
Series correlation, heteroscedasticity or abnormal distribution law for all violate the assumption that the noises are distributed normally. With such specification errors, OSL evaluations will be shifted the system error is not equal to zero and invalid does not fit in the evaluated quantity by its probability when increasing the number of observations , thus, the ordinary output procedures will be unjustified. Recursive Residues tests are based on the multiple regression evaluations with the gradual increase in the number of bars. If we look at the definition of the previously presented recursive residues, we may see that each recursive residue is a one step ahead forecast error.
If we want to check the possibility of the dependent variable value to pass by the fitted model along all data up to the point for the time t, each error must be compared with its standard deviation from the full sample. This type allows to trace the change in the estimates for any ratio when the amount of estimation data in a sample increases.
The figure shows selected ratios in the equation for all executable recursive estimations. The figures show two standard intervals around the estimated ratios.
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In case the ratio shows a significant change when adding the data to the evaluation equation, that is a sure sign of instability. Ratio images can sometimes show dramatic leaps, as the postulated equation tries to overcome a structural break. Technical analysis has a wide range of the so-called "adaptive" indicators, though there are no attempts to determine the actual need for such an adaptation.
Ratios recursive estimates can solve this issue. The quotes are received from MT4 terminal by F2 and exported to Excel. This example shows the necessity to control missed data in the indicators. We should not think that shown quotes are just a special case of low-quality quotes. Data omissions can occur because of various reasons. Besides, we should mind the data missed during USA holidays. The issue of missed data becomes particularly critical when building trading systems based on various economic factors, such as the correlation of currency rates and stock indices, that are not traded around the clock.
In our simple case it is possible to carry out the linear interpolation and lessen the influence of missed data on calculations at least to some degree. In addition there is the outliers issue. The outliers issue is more complicated than the issue of missing data.
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Before we start looking for the outliers, we should answer the following question: what is an outlier? I consider an outlier to be a price movement exceeding three standard deviations that was not followed by the further strong price movement. The English notation has several names for this value. It is 'differenced' on the chart.
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The word 'returns' is used most often. I will use the word 'residue' here and below.
It is the value obtained after removal of a trend in the quotes. Therefore, there are no outliers in our quotes according to the formulated outliers criteria. In case outliers are present, they can be replaced with, say, values for missed data and then interpolated. Provided method of removing the outliers is not the only one and, most importantly, it is not correct. If the residue comprises of the quotes residues after a trend removal, it is quite evident that the size of the outliers depend on the method the trend is determined, i.
At this point the preparation of the basic data for the further analysis is considered to be complete.