Estimating multi-country VAR models

This paper describes a methodology to estimate the coefficients, to test specification hypothesesand to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian: a prior flexibly reduces the dimensionality of the model and puts structure on the time variations; MCMC methods are used to obtain posterior distributions; and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of MCMC routine. The transmission of certain shocks across countries is analyzed.

A structural model of Australia as a small open economy

This paper sets up and estimates a structuralmodel of Australia as a small open economyusing Bayesian techniques. Unlike other recentstudies, the paper shows that a small microfoundedmodel can capture the open economydimensions quite well. Specifically, the modelattributes a substantial fraction of the volatilityof domestic output and inflation to foreigndisturbances, close to what is suggested by unrestrictedVAR studies. The paper also investigatesthe effects of various exogenous shockson the Australian economy.

Forecasting and turning point predictions in a Bayesian panel VAR model

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.

Histoplasma capsulatum var. duboisii infection in a patient with AIDS: rapid diagnosis using polymerase chain reaction-sequencing.

We describe an original case of disseminated infection with Histoplasma capsulatum (Hc) var. duboisii in an African patient with AIDS who migrated to Switzerland. The diagnosis of histoplasmosis was suggested using direct examination of tissues and confirmed in 24 h with a panfungal polymerase chain reaction assay. The variety duboisii of Hc was established using DNA sequencing of the polymorphic genomic region OLE. Molecular tools allow diagnosis of histoplasmosis in 24 h, which is drastically shorter than culture procedures.

Structural joint inversion of time-lapse crosshole ERT and GPR traveltime data

Time-lapse geophysical monitoring and inversion are valuable tools in hydrogeology for monitoring changes in the subsurface due to natural and forced (tracer) dynamics. However, the resulting models may suffer from insufficient resolution, which leads to underestimated variability and poor mass recovery. Structural joint inversion using cross-gradient constraints can provide higher-resolution models compared with individual inversions and we present the first application to time-lapse data. The results from a synthetic and field vadose zone water tracer injection experiment show that joint 3-D time-lapse inversion of crosshole electrical resistance tomography (ERT) and ground penetrating radar (GPR) traveltime data significantly improve the imaged characteristics of the point injected plume, such as lateral spreading and center of mass, as well as the overall consistency between models. The joint inversion method appears to work well for cases when one hydrological state variable (in this case moisture content) controls the time-lapse response of both geophysical methods. Citation: Doetsch, J., N. Linde, and A. Binley (2010), Structural joint inversion of time-lapse crosshole ERT and GPR traveltime data, Geophys. Res. Lett., 37, L24404, doi: 10.1029/2010GL045482.

What explains the Great Moderation in the US? A structural analysis

This paper investigates what has caused output and inflation volatility to fall in the USusing a small scale structural model using Bayesian techniques and rolling samples. Thereare instabilities in the posterior of the parameters describing the private sector, the policyrule and the standard deviation of the shocks. Results are robust to the specification ofthe policy rule. Changes in the parameters describing the private sector are the largest,but those of the policy rule and the covariance matrix of the shocks explain the changes most.

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

Firm investment in imperfect capital markets: A structural estimation

We set up a dynamic model of firm investment in which liquidity constraintsenter explicity into the firm's maximization problem. The optimal policyrules are incorporated into a maximum likelihood procedure which estimatesthe structural parameters of the model. Investment is positively related tothe firm's internal financial position when the firm is relatively poor. This relationship disappears for wealthy firms, which can reach theirdesired level of investment. Borrowing is an increasing function of financial position for poor firms. This relationship is reversed as a firm's financial position improves, and large firms hold little debt.Liquidity constrained firms may be unused credits lines and the capacity toinvest further if they desire. However the fear that liquidity constraintswill become binding in the future induces them to invest only when internalresources increase.We estimate the structural parameters of the model and use them to quantifythe importance of liquidity constraints on firms' investment. We find thatliquidity constraints matter significantly for the investment decisions of firms. If firms can finance investment by issuing fresh equity, rather than with internal funds or debt, average capital stock is almost 35% higher overa period of 20 years. Transitory shocks to internal funds have a sustained effect on the capital stock. This effect lasts for several periods and ismore persistent for small firms than for large firms. A 10% negative shock to firm fundamentals reduces the capital stock of firms which face liquidityconstraints by almost 8% over a period as opposed to only 3.5% for firms which do not face these constraints.

Do institutional changes affect business cycles? Evidence from Europe

We study the effects that the Maastricht treaty, the creation of the ECB, andthe Euro changeover had on the dynamics of European business cycles using a panelVAR and data from ten European countries - seven from the Euro area and threeoutside of it. There are changes in the features of European business cycles and in thetransmission of shocks. They precede the three events of interest and are more linkedto a general process of European convergence and synchronization.

Département du Var : Divisé par les Contributions Indirectes en directions d'Arrondissements Recettes Sédentaires Recettes Ambulantes à cheval Recettes Ambulantes à pied & Recettes Buralistes

Échelle(s) : [ca 1:263 000], Echelle de 40000 Mètres

Inflation dynamics: A structural econometric analysis

We develop and estimate a structural model of inflation that allowsfor a fraction of firms that use a backward looking rule to setprices. The model nests the purely forward looking New KeynesianPhillips curve as a particular case. We use measures of marginalcosts as the relevant determinant of inflation, as the theorysuggests, instead of an ad-hoc output gap. Real marginal costsare a significant and quantitatively important determinant ofinflation. Backward looking price setting, while statisticallysignificant, is not quantitatively important. Thus, we concludethat the New Keynesian Phillips curve provides a good firstapproximation to the dynamics of inflation.

Structural covariance of superficial white matter in mild Alzheimer's disease compared to normal aging.

INTRODUCTION: Interindividual variations in regional structural properties covary across the brain, thus forming networks that change as a result of aging and accompanying neurological conditions. The alterations of superficial white matter (SWM) in Alzheimer's disease (AD) are of special interest, since they follow the AD-specific pattern characterized by the strongest neurodegeneration of the medial temporal lobe and association cortices. METHODS: Here, we present an SWM network analysis in comparison with SWM topography based on the myelin content quantified with magnetization transfer ratio (MTR) for 39 areas in each hemisphere in 15 AD patients and 15 controls. The networks are represented by graphs, in which nodes correspond to the areas, and edges denote statistical associations between them. RESULTS: In both groups, the networks were characterized by asymmetrically distributed edges (predominantly in the left hemisphere). The AD-related differences were also leftward. The edges lost due to AD tended to connect nodes in the temporal lobe to other lobes or nodes within or between the latter lobes. The newly gained edges were mostly confined to the temporal and paralimbic regions, which manifest demyelination of SWM already in mild AD. CONCLUSION: This pattern suggests that the AD pathological process coordinates SWM demyelination in the temporal and paralimbic regions, but not elsewhere. A comparison of the MTR maps with MTR-based networks shows that although, in general, the changes in network architecture in AD recapitulate the topography of (de)myelination, some aspects of structural covariance (including the interhemispheric asymmetry of networks) have no immediate reflection in the myelination pattern.

Cis-trans interactions of cell surface receptors: biological roles and structural basis.

Cell surface receptors bind ligands expressed on other cells (in trans) in order to communicate with neighboring cells. However, an increasing number of cell surface receptors are found to also interact with ligands expressed on the same cell (in cis). These observations raise questions regarding the biological role of such cis interactions. Specifically, it is important to know whether cis and trans binding have distinct functional effects and, if so, how a single cell discriminates between interactions in cis versus trans. Further, what are the structural features that allow certain cell surface receptors to engage ligand both on the same as well as on an apposed cell membrane? Here, we summarize known examples of receptors that display cis-trans binding and discuss the emerging diversity of biological roles played by these unconventional two-way interactions, along with their structural basis.

Non-stationary job search when jobs are not forever: A structural estimation

This paper considers a job search model where the environment is notstationary along the unemployment spell and where jobs do not lastforever. Under this circumstance, reservation wages can be lower thanwithout separations, as in a stationary environment, but they can alsobe initially higher because of the non-stationarity of the model. Moreover,the time-dependence of reservation wages is stronger than with noseparations. The model is estimated structurally using Spanish data forthe period 1985-1996. The main finding is that, although the decrease inreservation wages is the main determinant of the change in the exit ratefrom unemployment for the first four months, later on the only effect comesfrom the job offer arrival rate, given that acceptance probabilities areroughly equal to one.

What is what?: A simple time-domain test of long-memory vs. structural breaks

This paper proposes a new time-domain test of a process being I(d), 0 < d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here is based on the t-ratio (or the infimum of a sequence of t-ratios) of the estimated coefficient on yt-1 in an OLS regression of ?dyt on a simple transformation of the above-mentioned deterministic components and yt-1, possibly augmented by a suitable number of lags of ?dyt to account for serial correlation in the error terms. The case where d = 1 coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the break date is known or unknown, respectively. The statistic is labelled as the SB-FDF (Structural Break-Fractional Dickey- Fuller) test, since it is based on the same principles as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and finite sample properties are analyzed, and two empirical applications are provided.