Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal

This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the semiparametric estimation method, the kernel function used in Martins (2001) can take on both positive and negative values, which implies that the participation probability estimates may be outside the interval [0,1]. We have solved the problem by applying local smoothing in the kernel estimation, as suggested by Klein and Spady (1993).

Estimation of dynamic latent variable models using simulated nonparametric moments

Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Since conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. Monte Carlo results show that the estimator performs well in comparison to other estimators that have been proposed for estimation of general DLV models.

Welfare Implications of Public Education Spending Rules

In this paper, we quantitatively assess the welfare implications of alternative public education spending rules. To this end, we employ a dynamic stochastic general equilibrium model in which human capital externalities and public education expenditures, nanced by distorting taxes, enhance the productivity of private education choices. We allow public education spending, as share of output, to respond to various aggregate indicators in an attempt to minimize the market imperfection due to human capital externalities. We also expose the economy to varying degrees of uncertainty via changes in the variance of total factor productivity shocks. Our results indicate that, in the face of increasing aggregate uncertainty, active policy can signi cantly outperform passive policy (i.e. maintaining a constant public education to output ratio) but only when the policy instrument is successful in smoothing the growth rate of human capital.

The Taylor Principle and (In-) Determinacy in a New Keynesian Model with hiring Frictions and Skill Loss

We introduce duration dependent skill decay among the unemployed into a New-Keynesian model with hiring frictions developed by Blanchard/Gali (2008). If the central bank responds only to (current, lagged or expected future) inflation and quarterly skill decay is above a threshold level, determinacy requires a coefficient on inflation smaller than one. The threshold level is plausible with little steady-state hiring and firing ("Continental European Calibration") but implausibly high in the opposite case ("American calibration"). Neither interest rate smoothing nor responding to the output gap helps to restore determinacy if skill decay exceeds the threshold level. However, a modest response to unemployment guarantees determinacy. Moreover, under indeterminacy, both an adverse sunspot shock and an adverse technology shock increase unemployment extremely persistently.

The Monetary policy rules in Europe: heterogeneity and common patters

The objective of this study is the empirical identification of the monetary policy rules pursued in individual countries of EU before and after the launch of European Monetary Union. In particular, we have employed an estimation of the augmented version of the Taylor rule (TR) for 25 countries of the EU in two periods (1992-1998, 1999-2006). While uniequational estimation methods have been used to identify the policy rules of individual central banks, for the rule of the European Central Bank has been employed a dynamic panel setting. We have found that most central banks really followed some interest rate rule but its form was usually different from the original TR (proposing that domestic interest rate responds only to domestic inflation rate and output gap). Crucial features of policy rules in many countries have been the presence of interest rate smoothing as well as response to foreign interest rate. Any response to domestic macroeconomic variables have been missing in the rules of countries with inflexible exchange rate regimes and the rules consisted in mimicking of the foreign interest rates. While we have found response to long-term interest rates and exchange rate in rules of some countries, the importance of monetary growth and asset prices has been generally negligible. The Taylor principle (the response of interest rates to domestic inflation rate must be more than unity as a necessary condition for achieving the price stability) has been confirmed only in large economies and economies troubled with unsustainable inflation rates. Finally, the deviation of the actual interest rate from the rule-implied target rate can be interpreted as policy shocks (these deviation often coincided with actual turbulent periods).

Monetary Policy Delegation and Equilibrium Coordination

This paper revisits the argument that the stabilisation bias that arises under discretionary monetary policy can be reduced if policy is delegated to a policymaker with redesigned objectives. We study four delegation schemes: price level targeting, interest rate smoothing, speed limits and straight conservatism. These can all increase social welfare in models with a unique discretionary equilibrium. We investigate how these schemes perform in a model with capital accumulation where uniqueness does not necessarily apply. We discuss how multiplicity arises and demonstrate that no delegation scheme is able to eliminate all potential bad equilibria. Price level targeting has two interesting features. It can create a new equilibrium that is welfare dominated, but it can also alter equilibrium stability properties and make coordination on the best equilibrium more likely.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

How does monetary policy change? evidence on inflation targeting countries

We examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom) applying moment- based estimator at time-varying parameter model with endogenous regressors. Using this novel flexible framework, our main findings are threefold. First, monetary policy rules change gradually pointing to the importance of applying time-varying estimation framework. Second, the interest rate smoothing parameter is much lower that what previous time-invariant estimates of policy rules typically report. External factors matter for all countries, albeit the importance of exchange rate diminishes after the adoption of inflation targeting. Third, the response of interest rates on inflation is particularly strong during the periods, when central bankers want to break the record of high inflation such as in the U.K. or in Australia at the beginning of 1980s. Contrary to common wisdom, the response becomes less aggressive after the adoption of inflation targeting suggesting the positive effect of this regime on anchoring inflation expectations. This result is supported by our finding that inflation persistence as well as policy neutral rate typically decreased after the adoption of inflation targeting.

Central and Cortical Gray Mater Segmentation of Magnetic Resonance Images of the Fetal Brain

Motivation. The study of human brain development in itsearly stage is today possible thanks to in vivo fetalmagnetic resonance imaging (MRI) techniques. Aquantitative analysis of fetal cortical surfacerepresents a new approach which can be used as a markerof the cerebral maturation (as gyration) and also forstudying central nervous system pathologies [1]. However,this quantitative approach is a major challenge forseveral reasons. First, movement of the fetus inside theamniotic cavity requires very fast MRI sequences tominimize motion artifacts, resulting in a poor spatialresolution and/or lower SNR. Second, due to the ongoingmyelination and cortical maturation, the appearance ofthe developing brain differs very much from thehomogenous tissue types found in adults. Third, due tolow resolution, fetal MR images considerably suffer ofpartial volume (PV) effect, sometimes in large areas.Today extensive efforts are made to deal with thereconstruction of high resolution 3D fetal volumes[2,3,4] to cope with intra-volume motion and low SNR.However, few studies exist related to the automatedsegmentation of MR fetal imaging. [5] and [6] work on thesegmentation of specific areas of the fetal brain such asposterior fossa, brainstem or germinal matrix. Firstattempt for automated brain tissue segmentation has beenpresented in [7] and in our previous work [8]. Bothmethods apply the Expectation-Maximization Markov RandomField (EM-MRF) framework but contrary to [7] we do notneed from any anatomical atlas prior. Data set &Methods. Prenatal MR imaging was performed with a 1-Tsystem (GE Medical Systems, Milwaukee) using single shotfast spin echo (ssFSE) sequences (TR 7000 ms, TE 180 ms,FOV 40 x 40 cm, slice thickness 5.4mm, in plane spatialresolution 1.09mm). Each fetus has 6 axial volumes(around 15 slices per volume), each of them acquired inabout 1 min. Each volume is shifted by 1 mm with respectto the previous one. Gestational age (GA) ranges from 29to 32 weeks. Mother is under sedation. Each volume ismanually segmented to extract fetal brain fromsurrounding maternal tissues. Then, in-homogeneityintensity correction is performed using [9] and linearintensity normalization is performed to have intensityvalues that range from 0 to 255. Note that due tointra-tissue variability of developing brain someintensity variability still remains. For each fetus, ahigh spatial resolution image of isotropic voxel size of1.09 mm is created applying [2] and using B-splines forthe scattered data interpolation [10] (see Fig. 1). Then,basal ganglia (BS) segmentation is performed on thissuper reconstructed volume. Active contour framework witha Level Set (LS) implementation is used. Our LS follows aslightly different formulation from well-known Chan-Vese[11] formulation. In our case, the LS evolves forcing themean of the inside of the curve to be the mean intensityof basal ganglia. Moreover, we add local spatial priorthrough a probabilistic map created by fitting anellipsoid onto the basal ganglia region. Some userinteraction is needed to set the mean intensity of BG(green dots in Fig. 2) and the initial fitting points forthe probabilistic prior map (blue points in Fig. 2). Oncebasal ganglia are removed from the image, brain tissuesegmentation is performed as described in [8]. Results.The case study presented here has 29 weeks of GA. Thehigh resolution reconstructed volume is presented in Fig.1. The steps of BG segmentation are shown in Fig. 2.Overlap in comparison with manual segmentation isquantified by the Dice similarity index (DSI) equal to0.829 (values above 0.7 are considered a very goodagreement). Such BG segmentation has been applied on 3other subjects ranging for 29 to 32 GA and the DSI hasbeen of 0.856, 0.794 and 0.785. Our segmentation of theinner (red and blue contours) and outer cortical surface(green contour) is presented in Fig. 3. Finally, torefine the results we include our WM segmentation in theFreesurfer software [12] and some manual corrections toobtain Fig.4. Discussion. Precise cortical surfaceextraction of fetal brain is needed for quantitativestudies of early human brain development. Our workcombines the well known statistical classificationframework with the active contour segmentation forcentral gray mater extraction. A main advantage of thepresented procedure for fetal brain surface extraction isthat we do not include any spatial prior coming fromanatomical atlases. The results presented here arepreliminary but promising. Our efforts are now in testingsuch approach on a wider range of gestational ages thatwe will include in the final version of this work andstudying as well its generalization to different scannersand different type of MRI sequences. References. [1]Guibaud, Prenatal Diagnosis 29(4) (2009). [2] Rousseau,Acad. Rad. 13(9), 2006, [3] Jiang, IEEE TMI 2007. [4]Warfield IADB, MICCAI 2009. [5] Claude, IEEE Trans. Bio.Eng. 51(4) (2004). [6] Habas, MICCAI (Pt. 1) 2008. [7]Bertelsen, ISMRM 2009 [8] Bach Cuadra, IADB, MICCAI 2009.[9] Styner, IEEE TMI 19(39 (2000). [10] Lee, IEEE Trans.Visual. And Comp. Graph. 3(3), 1997, [11] Chan, IEEETrans. Img. Proc, 10(2), 2001 [12] Freesurfer,http://surfer.nmr.mgh.harvard.edu.

Body mass index, abdominal adiposity and blood pressure: consistency of their association across developing and developed countries.

BACKGROUND: Obesity is increasing worldwide because developing countries are adopting Western high-fat foods and sedentary lifestyles. In parallel, in many of them, hypertension is rising more rapidly, particularly with age, than in Western countries. OBJECTIVE: To assess the relationship between adiposity and blood pressure (BP) in a developing country with high average BP (The Seychelles, Indian Ocean, population mainly of African origin) in comparison to a developed country with low average BP (Switzerland, population mainly of Caucasian origin). DESIGN: Cross-sectional health examination surveys based on population random samples. SETTING: The main Seychelles island (Mahé) and two Swiss regions (Vaud-Fribourg and Ticino). SUBJECTS: Three thousand one hundred and sixteen adults (age range 35-64) untreated for hypertension. MEASUREMENTS: Body mass index (BMI), waist circumference (WC), waist-to-hip ratio (WHR), systolic and diastolic blood pressure (SBP and DBP, mean of two measures). METHODS: Scatterplot smoothing techniques and gender-specific linear regression models. RESULTS: On average, SBP and DBP were found to increase linearly over the whole variation range of BMI, WHR and WC. A modest, but statistically significant linear association was found between each indicator of adiposity and BP levels in separate regression models controlling for age. The regression coefficients were not significantly different between the Seychelles and the two Swiss regions, but were generally higher in women than in men. For the latter, a gain of 1.7 kg/m(2) in BMI, of 4.5 cm in WC or of 3.4% in WHR corresponded to an elevation of 1 mmHg in SBP. For women, corresponding figures were 1.25 kg/m(2), 2.5 cm and 1.8% respectively. Regression coefficients for age reflected a higher effect of this variable on both SBP and DBP in the Seychelles than in Switzerland. CONCLUSION: These findings suggest a stable linear relation of adiposity with BP, independent of age and body fat distribution, across developed and developing countries. The more rapid increase of BP with age observed in the latter countries are likely to reflect higher genetic susceptibility and/or higher cumulative exposure to another risk factor than adiposity.

Spatial distribution of Schistosoma mansoni infection before and after chemotherapy with two praziquantel doses in a community of Pernambuco, Brazil

Praziquantel chemotherapy has been the focus of the Schistosomiasis Control Program in Brazil for the past two decades. Nevertheless, information on the impact of selective chemotherapy against Schistosoma mansoni infection under the conditions confronted by the health teams in endemic municipalities remains scarce. This paper compares the spatial pattern of infection before and after treatment with either a 40 mg/kg or 60 mg/kg dose of praziquantel by determining the intensity of spatial cluster among patients at 180 and 360 days after treatment. The spatial-temporal distribution of egg-positive patients was analysed in a Geographic Information System using the kernel smoothing technique. While all patients became egg-negative after 21 days, 17.9% and 30.9% reverted to an egg-positive condition after 180 and 360 days, respectively. Both the prevalence and intensity of infection after treatment were significantly lower in the 60 mg/kg than in the 40 mg/kg treatment group. The higher intensity of the kernel in the 40 mg/kg group compared to the 60 mg/kg group, at both 180 and 360 days, reflects the higher number of reverted cases in the lower dose group. Auxiliary, preventive measures to control transmission should be integrated with chemotherapy to achieve a more enduring impact.

Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

Clustering compositional data trajectories

Our essay aims at studying suitable statistical methods for the clustering ofcompositional data in situations where observations are constituted by trajectories ofcompositional data, that is, by sequences of composition measurements along a domain.Observed trajectories are known as “functional data” and several methods have beenproposed for their analysis.In particular, methods for clustering functional data, known as Functional ClusterAnalysis (FCA), have been applied by practitioners and scientists in many fields. To ourknowledge, FCA techniques have not been extended to cope with the problem ofclustering compositional data trajectories. In order to extend FCA techniques to theanalysis of compositional data, FCA clustering techniques have to be adapted by using asuitable compositional algebra.The present work centres on the following question: given a sample of compositionaldata trajectories, how can we formulate a segmentation procedure giving homogeneousclasses? To address this problem we follow the steps described below.First of all we adapt the well-known spline smoothing techniques in order to cope withthe smoothing of compositional data trajectories. In fact, an observed curve can bethought of as the sum of a smooth part plus some noise due to measurement errors.Spline smoothing techniques are used to isolate the smooth part of the trajectory:clustering algorithms are then applied to these smooth curves.The second step consists in building suitable metrics for measuring the dissimilaritybetween trajectories: we propose a metric that accounts for difference in both shape andlevel, and a metric accounting for differences in shape only.A simulation study is performed in order to evaluate the proposed methodologies, usingboth hierarchical and partitional clustering algorithm. The quality of the obtained resultsis assessed by means of several indices

Psychiatric Status across Body Mass Index in a Mediterranean Spanish Population.

BACKGROUND Mental and body weight disorders are among the major global health challenges, and their comorbidity may play an important role in treatment and prevention of both pathologies. A growing number of studies have examined the relationship between psychiatric status and body weight, but our knowledge is still limited. OBJECTIVE The present study aims to investigate the cross-sectional relationships of psychiatric status and body mass index (BMI) in Málaga, a Mediterranean city in the South of Spain. MATERIALS AND METHODS A total of 563 participants were recruited from those who came to his primary care physician, using a systematic random sampling, non-proportional stratified by BMI categories. Structured clinical interviews were used to assess current Axes-I and II mental disorders according to the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition, Text Revision (DSM-IV-TR). BMI was calculated as weight (Kg) divided by square of height in meters (m2). Logistic regression was used to investigate the association between BMI and the presence of any mental disorder. BMI was introduced in the models using restricted cubic splines. RESULTS We found that high BMI values were directly associated with mood and adjustment disorders, and low BMI values were directly associated with avoidant and dependent personality disorders (PDs). We observed an inverse relationship between low BMI values and cluster A PDs. There were not significant relationships between anxiety or substance-related disorders and BMI. CONCLUSION Psychiatric status and BMI are related in a Mediterranean Spanish population. A multidisciplinary approach to both pathologies becomes increasingly more necessary.

From severance pay to self-insurance: Effects of severance payments savings accounts in Colombia

In 1990 Colombia replaced its traditional system of severance paymentswith a new system of severance payments savings accounts (SPSAs). Althoughseverance payments often are justified on the grounds that they provideinsurance against earnings loss, they also increase costs for employersand distort employment decisions. The impact of severance payments dependslargely on how much of the costs to employers can be shifted to workers.The theoretical analysis in this paper shows that, in contrast to atraditional system of severance payments, the system of SPSAs facilitatesthe shifting of severance payments costs to workers in the form of lowerwages. Empirical results using the Colombian National Household Surveysindicate that the introduction of SPSAs shifted around 80% of the totalseverance payments contributions to wages and had a positive effect onweekly hours. Results using the 1997 Colombian Living Standards MeasurementSurvey suggest that, although SPSAs in part replaced employer insurancewith self-insurance, SPSAs continue to play a consumption smoothing rolefor the non-employed.