On Identification of Bayesian DSGE Models

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter of interest may differ from its prior even if the parameter is unidentified. We show that this can even be the case even if the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do not suffer from this difficulty and are relatively easy to compute. The first applies to DSGE models where the parameters can be partitioned into those that are known to be identified and the rest where it is not known whether they are identified. In such cases the marginal posterior of an unidentified parameter will equal the posterior expectation of the prior for that parameter conditional on the identified parameters. The second indicator is more generally applicable and considers the rate at which the posterior precision gets updated as the sample size (T) is increased. For identified parameters the posterior precision rises with T, whilst for an unidentified parameter its posterior precision may be updated but its rate of update will be slower than T. This result assumes that the identified parameters are pT-consistent, but similar differential rates of updates for identified and unidentified parameters can be established in the case of super consistent estimators. These results are illustrated by means of simple DSGE models.

Bayesian Model Averaging in the Instrumental Variable Regression Model

This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid statistical problems associated with standard model selection procedures, we develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is very exible and can be easily adapted to analyze any of the di¤erent priors that have been proposed in the Bayesian instrumental variables literature. We show how to calculate the probability of any relevant restriction (e.g. the posterior probability that over-identifying restrictions hold) and discuss diagnostic checking using the posterior distribution of discrepancy vectors. We illustrate our methods in a returns-to-schooling application.

Forecasting with Medium and Large Bayesian VARs

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors which have been used with small VARs, discuss the issues which arise when they are used with medium and large VARs and examine their forecast performance using a US macroeconomic data set containing 168 variables. We nd that Bayesian VARs do tend to forecast better than factor methods and provide an extensive comparison of the strengths and weaknesses of various approaches. Our empirical results show the importance of using forecast metrics which use the entire predictive density, instead of using only point forecasts.

A bayesian spatial individual effects probit model of the 2010 UK general election

The Conservative Party emerged from the 2010 United Kingdom General Election as the largest single party, but their support was not geographically uniform. In this paper, we estimate a hierarchical Bayesian spatial probit model that tests for the presence of regional voting effects. This model allows for the estimation of individual region-specic effects on the probability of Conservative Party success, incorporating information on the spatial relationships between the regions of the mainland United Kingdom. After controlling for a range of important covariates, we find that these spatial relationships are significant and that our individual region-specic effects estimates provide additional evidence of North-South variations in Conservative Party support.

Bayesian forecasting with highly correlated predictors

This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that by acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.

Design and evaluation of a solid sampler for the monitoring of airborne 1,6-hexamethylene diisocyanate (HDI) and its prepolymers in 2-component spray painting

An active, solvent-free solid sampler was developed for the collection of 1,6-hexamethylene diisocyanate (HDI) aerosol and prepolymers. The sampler was made of a filter impregnated with 1-(2-methoxyphenyl)piperazine contained in a filter holder. Interferences with HDI were observed when a set of cellulose acetate filters and a polystyrene filter holder were used; a glass fiber filter and polypropylene filter cassette gave better results. The applicability of the sampling and analytical procedure was validated with a test chamber, constructed for the dynamic generation of HDI aerosol and prepolymers in commercial two-component spray paints (Desmodur(R) N75) used in car refinishing. The particle size distribution, temporal stability, and spatial uniformity of the simulated aerosol were established in order to test the sample. The monitoring of aerosol concentrations was conducted with the solid sampler paired to the reference impinger technique (impinger flasks contained 10 mL of 0.5 mg/mL 1-(2-methoxyphenyl)piperazine in toluene) under a controlled atmosphere in the test chamber. Analyses of derivatized HDI and prepolymers were carried out by using high-performance liquid chromatography and ultraviolet detection. The correlation between the solvent-free and the impinger techniques appeared fairly good (Y = 0.979X - 0.161; R = 0.978), when the tests were conducted in the range of 0.1 to 10 times the threshold limit value (TLV) for HDI monomer and up to 60-mu-g/m3 (3 U.K. TLVs) for total -N = C = O groups.

Bayesian Networks for Probabilistic Inference and Decision Analysis in Forensic Science

Continuing developments in science and technology mean that the amounts of information forensic scientists are able to provide for criminal investigations is ever increasing. The commensurate increase in complexity creates difficulties for scientists and lawyers with regard to evaluation and interpretation, notably with respect to issues of inference and decision. Probability theory, implemented through graphical methods, and specifically Bayesian networks, provides powerful methods to deal with this complexity. Extensions of these methods to elements of decision theory provide further support and assistance to the judicial system. Bayesian Networks for Probabilistic Inference and Decision Analysis in Forensic Science provides a unique and comprehensive introduction to the use of Bayesian decision networks for the evaluation and interpretation of scientific findings in forensic science, and for the support of decision-makers in their scientific and legal tasks. Includes self-contained introductions to probability and decision theory. Develops the characteristics of Bayesian networks, object-oriented Bayesian networks and their extension to decision models. Features implementation of the methodology with reference to commercial and academically available software. Presents standard networks and their extensions that can be easily implemented and that can assist in the reader's own analysis of real cases. Provides a technique for structuring problems and organizing data based on methods and principles of scientific reasoning. Contains a method for the construction of coherent and defensible arguments for the analysis and evaluation of scientific findings and for decisions based on them. Is written in a lucid style, suitable for forensic scientists and lawyers with minimal mathematical background. Includes a foreword by Ian Evett. The clear and accessible style of this second edition makes this book ideal for all forensic scientists, applied statisticians and graduate students wishing to evaluate forensic findings from the perspective of probability and decision analysis. It will also appeal to lawyers and other scientists and professionals interested in the evaluation and interpretation of forensic findings, including decision making based on scientific information.

Hypoxia/hypoglycemia preconditioning prevents the loss of functional electrical activity in organotypic slice cultures.

In cerebral ischemic preconditioning (IPC), a first sublethal ischemia increases the resistance of neurons to a subsequent severe ischemia. Despite numerous studies, the mechanisms are not yet fully understood. Our goal is to develop an in vitro model of IPC on hippocampal organotypic slice cultures. Instead of anoxia, we chose to apply varying degrees of hypoxia that allows us various levels of insult graded from mild to severe. Cultures are exposed to combined oxygen and glucose deprivation (OGD) of varying intensities, ranging from mild to severe, assessing both the electrical activity and cell death. IPC was accomplished by exposure to the mildest ischemia condition (10% of O2 for 15 min) 24 h before the severe deprivation (5% of O2 for 30 min). Interestingly, IPC not only prevented delayed ischemic cell death 6 days after insult but also the transient loss of evoked potential response. The major interest and advantage of this system over both the acute slice preparation and primary cell cultures is the ability to simultaneously measure the delayed neuronal damage and neuronal function.

Modelling dependence in a ratemaking procedure with multivariate Poisson regression models

When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to multivariate Poisson date, mainly because of their computational di±culties. Bayesian inference based on MCMC helps to solve this problem (and also lets us derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claims. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models and their zero-inflated versions.

Decision-theoretic analysis of forensic sampling criteria using Bayesian decision networks

Sampling issues represent a topic of ongoing interest to the forensic science community essentially because of their crucial role in laboratory planning and working protocols. For this purpose, forensic literature described thorough (Bayesian) probabilistic sampling approaches. These are now widely implemented in practice. They allow, for instance, to obtain probability statements that parameters of interest (e.g., the proportion of a seizure of items that present particular features, such as an illegal substance) satisfy particular criteria (e.g., a threshold or an otherwise limiting value). Currently, there are many approaches that allow one to derive probability statements relating to a population proportion, but questions on how a forensic decision maker - typically a client of a forensic examination or a scientist acting on behalf of a client - ought actually to decide about a proportion or a sample size, remained largely unexplored to date. The research presented here intends to address methodology from decision theory that may help to cope usefully with the wide range of sampling issues typically encountered in forensic science applications. The procedures explored in this paper enable scientists to address a variety of concepts such as the (net) value of sample information, the (expected) value of sample information or the (expected) decision loss. All of these aspects directly relate to questions that are regularly encountered in casework. Besides probability theory and Bayesian inference, the proposed approach requires some additional elements from decision theory that may increase the efforts needed for practical implementation. In view of this challenge, the present paper will emphasise the merits of graphical modelling concepts, such as decision trees and Bayesian decision networks. These can support forensic scientists in applying the methodology in practice. How this may be achieved is illustrated with several examples. The graphical devices invoked here also serve the purpose of supporting the discussion of the similarities, differences and complementary aspects of existing Bayesian probabilistic sampling criteria and the decision-theoretic approach proposed throughout this paper.

Bayesian classification criterion for forensic multivariate data

This study presents a classification criteria for two-class Cannabis seedlings. As the cultivation of drug type cannabis is forbidden in Switzerland, law enforcement authorities regularly ask laboratories to determine cannabis plant's chemotype from seized material in order to ascertain that the plantation is legal or not. In this study, the classification analysis is based on data obtained from the relative proportion of three major leaf compounds measured by gas-chromatography interfaced with mass spectrometry (GC-MS). The aim is to discriminate between drug type (illegal) and fiber type (legal) cannabis at an early stage of the growth. A Bayesian procedure is proposed: a Bayes factor is computed and classification is performed on the basis of the decision maker specifications (i.e. prior probability distributions on cannabis type and consequences of classification measured by losses). Classification rates are computed with two statistical models and results are compared. Sensitivity analysis is then performed to analyze the robustness of classification criteria.

Advanced mapping of environmental data: Geostatistics, Machine Learning and Bayesian Maximum Entropy

This book combines geostatistics and global mapping systems to present an up-to-the-minute study of environmental data. Featuring numerous case studies, the reference covers model dependent (geostatistics) and data driven (machine learning algorithms) analysis techniques such as risk mapping, conditional stochastic simulations, descriptions of spatial uncertainty and variability, artificial neural networks (ANN) for spatial data, Bayesian maximum entropy (BME), and more.

Detection of nandrolone metabolites in urine after a football game in professional and amateur players: a Bayesian comparison.

Nandrolone (19-nortestosterone) is a widely used anabolic steroid in sports where strength plays an essential role. Once nandrolone has been metabolised, two major metabolites are excreted in urine, 19-norandrosterone (NA) and 19-noretiocholanolone (NE). In 1997, in France, quite a few sportsmen had concentrations of 19-norandrosterone very close to the IOC cut off limit (2ng/ml). At that time, a debate took place about the capability of the human male body to produce by itself these metabolites without any intake of nandrolone or related compounds. The International Football Federation (FIFA) was very concerned with this problematic, especially because the World Cup was about to start in France. In this respect, a statistical study was held with all football players from the first and second divisions of the Swiss Football National League. All players gave a urine sample after effort and around 6% of them showed traces of 19-norandrosterone. These results were compared with amateur football players (control group) and around 6% of them had very small amounts of 19-norandrosterone and/or 19-noretiocholanolone in urine after effort, whereas none of them had detectable traces of one or the other metabolite before effort. The origin of these compounds in urine after a strenuous physical activity is still unknown, but three hypotheses can be put forward. First, an endogenous production of nandrolone metabolites takes place. Second, nandrolone metabolites are released from the fatty tissues after an intake of nandrolone, some related compounds or some contaminated nutritive supplements. Finally, the sportsmen may have taken something during or just before the football game.

A protocol for preparing GFP-labeled neurons previously imaged in vivo and in slice preparations for light and electron microscopic analysis.

In vivo imaging of green fluorescent protein (GFP)-labeled neurons in the intact brain is being used increasingly to study neuronal plasticity. However, interpreting the observed changes as modifications in neuronal connectivity needs information about synapses. We show here that axons and dendrites of GFP-labeled neurons imaged previously in the live mouse or in slice preparations using 2-photon laser microscopy can be analyzed using light and electron microscopy, allowing morphological reconstruction of the synapses both on the imaged neurons, as well as those in the surrounding neuropil. We describe how, over a 2-day period, the imaged tissue is fixed, sliced and immuno-labeled to localize the neurons of interest. Once embedded in epoxy resin, the entire neuron can then be drawn in three dimensions (3D) for detailed morphological analysis using light microscopy. Specific dendrites and axons can be further serially thin sectioned, imaged in the electron microscope (EM) and then the ultrastructure analyzed on the serial images.

Quantitative integration of geophysical and hydraulic data : from the local towards the regional scale range

Des progrès significatifs ont été réalisés dans le domaine de l'intégration quantitative des données géophysique et hydrologique l'échelle locale. Cependant, l'extension à de plus grandes échelles des approches correspondantes constitue encore un défi majeur. Il est néanmoins extrêmement important de relever ce défi pour développer des modèles fiables de flux des eaux souterraines et de transport de contaminant. Pour résoudre ce problème, j'ai développé une technique d'intégration des données hydrogéophysiques basée sur une procédure bayésienne de simulation séquentielle en deux étapes. Cette procédure vise des problèmes à plus grande échelle. L'objectif est de simuler la distribution d'un paramètre hydraulique cible à partir, d'une part, de mesures d'un paramètre géophysique pertinent qui couvrent l'espace de manière exhaustive, mais avec une faible résolution (spatiale) et, d'autre part, de mesures locales de très haute résolution des mêmes paramètres géophysique et hydraulique. Pour cela, mon algorithme lie dans un premier temps les données géophysiques de faible et de haute résolution à travers une procédure de réduction déchelle. Les données géophysiques régionales réduites sont ensuite reliées au champ du paramètre hydraulique à haute résolution. J'illustre d'abord l'application de cette nouvelle approche dintégration des données à une base de données synthétiques réaliste. Celle-ci est constituée de mesures de conductivité hydraulique et électrique de haute résolution réalisées dans les mêmes forages ainsi que destimations des conductivités électriques obtenues à partir de mesures de tomographic de résistivité électrique (ERT) sur l'ensemble de l'espace. Ces dernières mesures ont une faible résolution spatiale. La viabilité globale de cette méthode est testée en effectuant les simulations de flux et de transport au travers du modèle original du champ de conductivité hydraulique ainsi que du modèle simulé. Les simulations sont alors comparées. Les résultats obtenus indiquent que la procédure dintégration des données proposée permet d'obtenir des estimations de la conductivité en adéquation avec la structure à grande échelle ainsi que des predictions fiables des caractéristiques de transports sur des distances de moyenne à grande échelle. Les résultats correspondant au scénario de terrain indiquent que l'approche d'intégration des données nouvellement mise au point est capable d'appréhender correctement les hétérogénéitées à petite échelle aussi bien que les tendances à gande échelle du champ hydraulique prévalent. Les résultats montrent également une flexibilté remarquable et une robustesse de cette nouvelle approche dintégration des données. De ce fait, elle est susceptible d'être appliquée à un large éventail de données géophysiques et hydrologiques, à toutes les gammes déchelles. Dans la deuxième partie de ma thèse, j'évalue en détail la viabilité du réechantillonnage geostatique séquentiel comme mécanisme de proposition pour les méthodes Markov Chain Monte Carlo (MCMC) appliquées à des probmes inverses géophysiques et hydrologiques de grande dimension . L'objectif est de permettre une quantification plus précise et plus réaliste des incertitudes associées aux modèles obtenus. En considérant une série dexemples de tomographic radar puits à puits, j'étudie deux classes de stratégies de rééchantillonnage spatial en considérant leur habilité à générer efficacement et précisément des réalisations de la distribution postérieure bayésienne. Les résultats obtenus montrent que, malgré sa popularité, le réechantillonnage séquentiel est plutôt inefficace à générer des échantillons postérieurs indépendants pour des études de cas synthétiques réalistes, notamment pour le cas assez communs et importants où il existe de fortes corrélations spatiales entre le modèle et les paramètres. Pour résoudre ce problème, j'ai développé un nouvelle approche de perturbation basée sur une déformation progressive. Cette approche est flexible en ce qui concerne le nombre de paramètres du modèle et lintensité de la perturbation. Par rapport au rééchantillonage séquentiel, cette nouvelle approche s'avère être très efficace pour diminuer le nombre requis d'itérations pour générer des échantillons indépendants à partir de la distribution postérieure bayésienne. - Significant progress has been made with regard to the quantitative integration of geophysical and hydrological data at the local scale. However, extending corresponding approaches beyond the local scale still represents a major challenge, yet is critically important for the development of reliable groundwater flow and contaminant transport models. To address this issue, I have developed a hydrogeophysical data integration technique based on a two-step Bayesian sequential simulation procedure that is specifically targeted towards larger-scale problems. The objective is to simulate the distribution of a target hydraulic parameter based on spatially exhaustive, but poorly resolved, measurements of a pertinent geophysical parameter and locally highly resolved, but spatially sparse, measurements of the considered geophysical and hydraulic parameters. To this end, my algorithm links the low- and high-resolution geophysical data via a downscaling procedure before relating the downscaled regional-scale geophysical data to the high-resolution hydraulic parameter field. I first illustrate the application of this novel data integration approach to a realistic synthetic database consisting of collocated high-resolution borehole measurements of the hydraulic and electrical conductivities and spatially exhaustive, low-resolution electrical conductivity estimates obtained from electrical resistivity tomography (ERT). The overall viability of this method is tested and verified by performing and comparing flow and transport simulations through the original and simulated hydraulic conductivity fields. The corresponding results indicate that the proposed data integration procedure does indeed allow for obtaining faithful estimates of the larger-scale hydraulic conductivity structure and reliable predictions of the transport characteristics over medium- to regional-scale distances. The approach is then applied to a corresponding field scenario consisting of collocated high- resolution measurements of the electrical conductivity, as measured using a cone penetrometer testing (CPT) system, and the hydraulic conductivity, as estimated from electromagnetic flowmeter and slug test measurements, in combination with spatially exhaustive low-resolution electrical conductivity estimates obtained from surface-based electrical resistivity tomography (ERT). The corresponding results indicate that the newly developed data integration approach is indeed capable of adequately capturing both the small-scale heterogeneity as well as the larger-scale trend of the prevailing hydraulic conductivity field. The results also indicate that this novel data integration approach is remarkably flexible and robust and hence can be expected to be applicable to a wide range of geophysical and hydrological data at all scale ranges. In the second part of my thesis, I evaluate in detail the viability of sequential geostatistical resampling as a proposal mechanism for Markov Chain Monte Carlo (MCMC) methods applied to high-dimensional geophysical and hydrological inverse problems in order to allow for a more accurate and realistic quantification of the uncertainty associated with the thus inferred models. Focusing on a series of pertinent crosshole georadar tomographic examples, I investigated two classes of geostatistical resampling strategies with regard to their ability to efficiently and accurately generate independent realizations from the Bayesian posterior distribution. The corresponding results indicate that, despite its popularity, sequential resampling is rather inefficient at drawing independent posterior samples for realistic synthetic case studies, notably for the practically common and important scenario of pronounced spatial correlation between model parameters. To address this issue, I have developed a new gradual-deformation-based perturbation approach, which is flexible with regard to the number of model parameters as well as the perturbation strength. Compared to sequential resampling, this newly proposed approach was proven to be highly effective in decreasing the number of iterations required for drawing independent samples from the Bayesian posterior distribution.