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.

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

State-dependent threshold STAR models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

A comparison of input-output models: ghosh reduces to leontief (but "closing" ghosh makes it more plausible)

Ghosh's model is discussed in this paper under two alternative scenarios. In an open version we compare it with Leontief's model and prove that they reduce to each other under some specific productive conditions. We then move onto reconsidering Ghosh's model alleged implausibility and we do so reformulating the model to incorporate a closure rule. The closure solves, to some extent, the implausibility problem very clearly put out by Oosterhaven for then value-added is correctly computed and responsive to allocation changes resulting from supply shocks.

A non-possibility theorem for joint-stability in interindustry models

Joint-stability in interindustry models relates to the mutual simultaneous consistency of the demand-driven and supply-driven models of Leontief and Ghosh, respectively. Previous work has claimed joint-stability to be an acceptable assumption from the empirical viewpoint, provided only small changes in exogenous variables are considered. We show in this note, however, that the issue has deeper theoretical roots and offer an analytical demonstration that shows the impossibility of consistency between demand-driven and supply-driven models.

Resistance of the internal mammary artery to restenosis: a histomorphologic study of various porcine arteries.

BACKGROUND/AIMS: Restenosis after percutaneous transluminal angioplasty (PTA) of the internal mammary artery (IMA) grafts is much less pronounced than in other arteries and venous grafts. The aim of the study was to test whether various arteries respond differently to dilatation. METHODS: PTA of the IMA, carotid, renal and circumflex coronary (RCx) arteries was performed in 9 pigs (balloon to artery ratio of 1:1.5). After 8 weeks, angiography was repeated and vessels prepared for histological analysis. Immunohistochemical staining was done to examine proliferative activity (Ki67) and to identify the vasa vasorum of the adventitia (F VIII-RA). RESULTS: The intima-media ratio after PTA was lowest in the IMA (0.06), followed by the carotid (0.27) and renal arteries (0.49) and the RCx (0.69). Proliferation of the intima was seen at 287 degrees of the vessel circumference in the RCx, at 286 degrees in the renal and at 166 degrees in the carotid artery. No proliferative activity was seen in the IMA. The intima-adventitia ratio was lower in the IMA than in the RCx and renal arteries (p < 0.05). CONCLUSION: Intima proliferation after PTA varies between the different vessels, with best results seen in the IMA. There are differences in remodeling after PTA between muscular, muscular/elastic and elastic arteries.

Quantificació de l'error comès pels models de níxol ecològic al predir la distribució d'especies generalistes

Report for the scientific sojourn carried out at the University of California at Berkeley, from September to December 2007. Environmental niche modelling (ENM) techniques are powerful tools to predict species potential distributions. In the last ten years, a plethora of novel methodological approaches and modelling techniques have been developed. During three months, I stayed at the University of California, Berkeley, working under the supervision of Dr. David R. Vieites. The aim of our work was to quantify the error committed by these techniques, but also to test how an increase in the sample size affects the resultant predictions. Using MaxEnt software we generated distribution predictive maps, from different sample sizes, of the Eurasian quail (Coturnix coturnix) in the Iberian Peninsula. The quail is a generalist species from a climatic point of view, but an habitat specialist. The resultant distribution maps were compared with the real distribution of the species. This distribution was obtained from recent bird atlases from Spain and Portugal. Results show that ENM techniques can have important errors when predicting the species distribution of generalist species. Moreover, an increase of sample size is not necessary related with a better performance of the models. We conclude that a deep knowledge of the species’ biology and the variables affecting their distribution is crucial for an optimal modelling. The lack of this knowledge can induce to wrong conclusions.

Media exposure and internal migration-evidence from Indonesia

This paper investigates the impact of television on internal migration in Indonesia. We exploit the differential introduction of private television throughout the country and the variation in signal reception due to topography to estimate the causal effect of media exposure. Our estimates reveal important long and short run effects. An increase of one standard deviation in the number of private TV channels received in the area of residence reduces future inter-provincial migration by 1.7-2.7 percentage points, and all migration (inter and intra-provincial) by 4-7.4 percentage points. Short run effects are slightly smaller, but still sizeable and statistically significant. We also show that respondents less exposed to private TV are more likely to consider themselves among the poorest groups of the society. As we discuss in a stylized model of migration choice under imperfect information, these findings are consistent with Indonesia citizens over-estimating the net gains from internal migration.

Work and health : remodelling perspectives of working life research, as proposed by Järvholm et al. (2009)

Järvholm and Co-workers (2009) proposed a conceptual model for research on working life. Models are powerful communication and decision tools. This model is strongly unidirectional and does not cover the mentioned interactions in the arguments.With help of a genealogy of work and of health it is shown that work and health are interactive and have to be analysed on the background of society.Key words: research model, work, health, occupational health, society, interaction, discussion paperRemodellierung der von Järvholm et al. (2009) vorgeschlagenen Forschungsperspektiven in Arbeit und GesundheitJärvholm und Kollegen stellten 2009 ein konzeptionelles Modell für die Forschung im Bereich Arbeit und Gesundheit vor. Modelle stellen kraftvolle Kommunikations- und Entscheidungsinstrumente dar. Die Einflussfaktoren im Modell verlaufen jedoch nur in einer Richtung und bilden die interaktiven Argumente im Text nicht ab. Mit Hilfe einer Genealogie der Begriffe Arbeit und Gesundheit wird aufgezeigt, dass Arbeit und Gesundheit sich gegenseitig beeinflussen und nur vor dem Hintergrund der jeweiligen gesellschaftlichen Kontextfaktoren zu analysieren sind.Introduction : After an interesting introduction about the objectives of research on working life, Järvholm and Co-workers (2009) manage to define a conceptual model for working life research out of a small survey of Occupational Safety and Health (OSH) definitions. The strong point of their model is the entity 'working life' including personal development, as well as career paths and aging. Yet, the model Järvholm et al. (2009) propose is strangely unidirectional; the arrows point from the population to working life, from there to health and to disease, as well as to productivity and economic resources. The diagram only shows one feed-back loop: between economic resources and health. We all know that having a chronic disease condition influences work and working capacity. Economic resources have a strong influence on work, too. Having personal economic resources will influence the kind of work someone accepts and facilitate access to continuous professional education. A third observation is that society is not present in the model, although this is less the case in the arguments. In fact, there is an incomprehensible gap between the arguments brought forth by Järvholm and co-workers and their reductionist model.Switzerland has a very low coverage of occupational health specialists. Switzerland is a long way from fulfilling the WHO's recommendations on workers' access to OSH services as described in its Global plan of action. The Institute for Work and Health (IST) in Lausanne is the only organisation which covers the major domains of OSH research that are occupational medicine, occupational hygiene, ergonomic and psychosocial research. As the country's sole occupational health institution we are forced to reflect the objectives of working life research so as not to waste the scare resources available.I will set out below a much shortened genealogy of work and of health, with the aim of extending Järvholm et al's (2009) analyses on the perspectives of working life research in two directions. Firstly towards the interactive nature of work and health and the integration of society, and secondly towards the question of what working life means or where working life could be situated.Work, as we know it today - paid work regulated by a contract as the basis for sustaining life and as a base for social rights - was born in modern era. Therefore I will start my genealogy in the pre-modern era, focus on the important changes that occurred during industrial revolution and the modern era and end in 2010 taking into account the enormous transformations of the past 20-30 years. I will put aside some 810 years of advances in science and technology that have expanded the world's limits and human understanding, and restrict my genealogy to work and to health/body implicating also the societal realm. [Author]

Toxicity at three years with and without irradiation of the internal mammary and medial supraclavicular lymph node chain in stage I to III breast cancer (EORTC trial 22922/10925).

INTRODUCTION: The EORTC 22922/10925 trial investigated the potential survival benefit and toxicity of elective irradiation of the internal mammary and medial supraclavicular (IM-MS) nodes Accrual completed in January 2004 and first results are expected in 2012. We present the toxicity reported until year 3 after treatment. PATIENTS AND METHODS: At each visit, toxicity was reported but severity was not graded routinely. Toxicity rates and performance status (PS) changes at three years were compared by chi(2) tests and logistic regression models in all the 3,866 of 4,004 patients eligible to the trial who received the allocated treatment. RESULTS: Only lung (fibrosis; dyspnoea; pneumonitis; any lung toxicities) (4.3% vs. 1.3%; p < 0.0001) but not cardiac toxicity (0.3% vs. 0.4%; p = 0.55) significantly increased with IM-MS treatment. No significant worsening of the PS was observed (p = 0.79), suggesting that treatment-related toxicity does not impair patient's daily activities. CONCLUSIONS: IM-MS irradiation seems well tolerated and does not significantly impair WHO PS at three years. A follow-up period of at least 10 years is needed to determine whether cardiac toxicity is increased after radiotherapy.

Anàlisi de models d'ensenyament-aprenentatge de competències no tècniques als estudis d'Enginyeria en informàtica

Actualment a l'Estat espanyol s'està implantant el Pla Bolonya per incorporar-se a l'Espai Europeu d'Estudis Superiors (l'EEES). Com a un dels principals objectius, l'EEES pretén homogeneïtzar els estudis i de manera concreta les competències adquirides per qualsevol estudiant independentment d'on hagi realitzat els seus estudis. Per això, existeixen iniciatives europees (com el projecte Tuning) que treballen per definir competències per a totes les titulacions universitàries.El projecte presenta l'anàlisi realitzat sobre vint Universitats de diferents continents per identificar models d'ensenyament-aprenentatge de competències no tècniques. La recerca es centra addicionalment en la competència comunicativa escrita.La font principal de dades ha estat la informació proporcionada a les pàgines Web de les universitats i molt especialment els seus plans d'estudi.

Two-sided learning in new keynesian models: dynamics, (lack of) convergence and the value of information

This paper investigates the role of learning by private agents and the central bank (two-sided learning) in a New Keynesian framework in which both sides of the economy have asymmetric and imperfect knowledge about the true data generating process. We assume that all agents employ the data that they observe (which may be distinct for different sets of agents) to form beliefs about unknown aspects of the true model of the economy, use their beliefs to decide on actions, and revise these beliefs through a statistical learning algorithm as new information becomes available. We study the short-run dynamics of our model and derive its policy recommendations, particularly with respect to central bank communications. We demonstrate that two-sided learning can generate substantial increases in volatility and persistence, and alter the behavior of the variables in the model in a signifficant way. Our simulations do not converge to a symmetric rational expectations equilibrium and we highlight one source that invalidates the convergence results of Marcet and Sargent (1989). Finally, we identify a novel aspect of central bank communication in models of learning: communication can be harmful if the central bank's model is substantially mis-specified

From deep seated slope deformation to rock avalanche: Destabilization and transportation models of the Sierre landslide (Switzerland)

Sackung is a widespread post-glacial morphological feature affecting Alpine mountains and creating characteristic geomorphological expression that can be detected from topography. Over long time evolution, internal deformation can lead to the formation of rapidly moving phenomena such as a rock-slide or rock avalanche. In this study, a detailed description of the Sierre rock-avalanche (SW Switzerland) is presented. This convex-shaped postglacial instability is one of the larger rock-avalanche in the Alps, involving more than 1.5 billion m3 with a run-out distance of about 14 km and extremely low Fahrböschung angle. This study presents comprehensive analyses of the structural and geological characteristics leading to the development of the Sierre rock-avalanche. In particular, by combining field observations, digital elevation model analyses and numerical modelling, the strong influence of both ductile and brittle tectonic structures on the failure mechanism and on the failure surface geometry is highlighted. The detection of pre-failure deformation indicates that the development of the rock avalanche corresponds to the last evolutionary stage of a pre-existing deep seated gravitational slope instability. These analyses accompanied by the dating and the characterization of rock avalanche deposits, allow the proposal of a destabilization model that clarifies the different phases leading to the development of the Sierre rock avalanche.

Bayesian nash equilibrium in ''linear'' cournot models with private information about costs

Calculating explicit closed form solutions of Cournot models where firms have private information about their costs is, in general, very cumbersome. Most authors consider therefore linear demands and constant marginal costs. However, within this framework, the nonnegativity constraint on prices (and quantities) has been ignored or not properly dealt with and the correct calculation of all Bayesian Nash equilibria is more complicated than expected. Moreover, multiple symmetric and interior Bayesianf equilibria may exist for an open set of parameters. The reason for this is that linear demand is not really linear, since there is a kink at zero price: the general ''linear'' inverse demand function is P (Q) = max{a - bQ, 0} rather than P (Q) = a - bQ.