Model Switching and Model Averaging in Time- Varying Parameter Regression Models

This paper investigates the usefulness of switching Gaussian state space models as a tool for implementing dynamic model selecting (DMS) or averaging (DMA) in time-varying parameter regression models. DMS methods allow for model switching, where a different model can be chosen at each point in time. Thus, they allow for the explanatory variables in the time-varying parameter regression model to change over time. DMA will carry out model averaging in a time-varying manner. We compare our exact approach to DMA/DMS to a popular existing procedure which relies on the use of forgetting factor approximations. In an application, we use DMS to select different predictors in an in ation forecasting application. We also compare different ways of implementing DMA/DMS and investigate whether they lead to similar results.

On the time-varying relationship between EMU sovereign spreads and their determinants

We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant heterogeneity across countries, both in terms of the risk factors determining spreads over time as well as in terms of the magnitude of their impact on spreads. Our findings suggest that the relationship between euro area sovereign risk and the underlying fundamentals is strongly timevarying, turning from inactive to active since the onset of the global financial crisis and further intensifying during the sovereign debt crisis. As a general rule, the set of financial and macro spreads’ determinants in the euro area is rather unstable but generally becomes richer and stronger in significance as the crisis evolves.

Contagious Illiquidity I: Contagion through Time

This paper is an investigation into the dynamics of asset markets with adverse selection a la Akerlof (1970). The particular question asked is: can market failure at some later date precipitate market failure at an earlier date? The answer is yes: there can be "contagious illiquidity" from the future back to the present. The mechanism works as follows. If the market is expected to break down in the future, then agents holding assets they know to be lemons (assets with low returns) will be forced to hold them for longer - they cannot quickly resell them. As a result, the effective difference in payoff between a lemon and a good asset is greater. But it is known from the static Akerlof model that the greater the payoff differential between lemons and non-lemons, the more likely is the market to break down. Hence market failure in the future is more likely to lead to market failure today. Conversely, if the market is not anticipated to break down in the future, assets can be readily sold and hence an agent discovering that his or her asset is a lemon can quickly jettison it. In effect, there is little difference in payoff between a lemon and a good asset. The logic of the static Akerlof model then runs the other way: the small payoff differential is unlikely to lead to market breakdown today. The conclusion of the paper is that the nature of today's market - liquid or illiquid - hinges critically on the nature of tomorrow's market, which in turn depends on the next day's, and so on. The tail wags the dog.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

A Case of Framing Effects: The Elicitation of Time Preferences.

We compare three methods for the elicitation of time preferences in an experimental setting: the Becker-DeGroot-Marschak procedure (BDM); the second price auction; and the multiple price list format. The first two methods have been used rarely to elicit time preferences. All methods used are perfectly equivalent from a decision theoretic point of view, and they should induce the same ‘truthful’ revelation i dominant strategies. In spite of this, we find that framing does matter: the money discount rates elicited with the multiple price list tend to be higher than those elicited with the other two methods. In addition, our results shed some light on attitudes towards time, and they permit a broad classification of subjects depending on how the size of the elicited values varies with the time horizon.

Comparison of time-lapse GPR data collected under natural and forced infiltration conditions to estimate vadose zone hydraulic parameters

Time-lapse crosshole ground-penetrating radar (GPR) data, collected while infiltration occurs, can provide valuable information regarding the hydraulic properties of the unsaturated zone. In particular, the stochastic inversion of such data provides estimates of parameter uncertainties, which are necessary for hydrological prediction and decision making. Here, we investigate the effect of different infiltration conditions on the stochastic inversion of time-lapse, zero-offset-profile, GPR data. Inversions are performed using a Bayesian Markov-chain-Monte-Carlo methodology. Our results clearly indicate that considering data collected during a forced infiltration test helps to better refine soil hydraulic properties compared to data collected under natural infiltration conditions

Time Varying Dimension Models

Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying dimension (TVD) models where the dimension of the model can change over time, allowing for the model to automatically choose a more parsimonious TVP representation, or to switch between different parsimonious representations. Our TVD models all fall in the category of dynamic mixture models. We discuss the properties of these models and present methods for Bayesian inference. An application involving US inflation forecasting illustrates and compares the different TVD models. We find our TVD approaches exhibit better forecasting performance than several standard benchmarks and shrink towards parsimonious specifications.

Hierarchical Shrinkage in Time-Varying Parameter Models

In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time-varying parameter models. Our approach allows for the coefficient on each predictor to be: i) time varying, ii) constant over time or iii) shrunk to zero. The econometric methodology decides automatically which category each coefficient belongs in. Our empirical results indicate the benefits of such an approach.

Investigation of field and diffusion time dependence of the diffusion-weighted signal at ultrahigh magnetic fields.

Over the last decade, there has been a significant increase in the number of high-magnetic-field MRI magnets. However, the exact effect of a high magnetic field strength (B0 ) on diffusion-weighted MR signals is not yet fully understood. The goal of this study was to investigate the influence of different high magnetic field strengths (9.4 T and 14.1 T) and diffusion times (9, 11, 13, 15, 17 and 24 ms) on the diffusion-weighted signal in rat brain white matter. At a short diffusion time (9 ms), fractional anisotropy values were found to be lower at 14.1 T than at 9.4 T, but this difference disappeared at longer diffusion times. A simple two-pool model was used to explain these findings. The model describes the white matter as a first hindered compartment (often associated with the extra-axonal space), characterized by a faster orthogonal diffusion and a lower fractional anisotropy, and a second restricted compartment (often associated with the intra-axonal space), characterized by a slower orthogonal diffusion (i.e. orthogonal to the axon direction) and a higher fractional anisotropy. Apparent T2 relaxation time measurements of the hindered and restricted pools were performed. The shortening of the pseudo-T2 value from the restricted compartment with B0 is likely to be more pronounced than the apparent T2 changes in the hindered compartment. This study suggests that the observed differences in diffusion tensor imaging parameters between the two magnetic field strengths at short diffusion time may be related to differences in the apparent T2 values between the pools. Copyright © 2013 John Wiley & Sons, Ltd.

Faire la ville juste : une analyse "in itinere" de la maîtrise publique d'ouvrage du projet urbain Carré de Soie (métropole lyonnaise)

Dans certaines portions des agglomérations (poches de pauvreté de centre-ville, couronnes suburbaines dégradées, espaces périurbains sans aménité), un cumul entre des inégalités sociales (pauvreté, chômage, etc.) et environnementales (exposition au bruit, aux risques industriels, etc.) peut être observé. La persistance de ces inégalités croisées dans le temps indique une tendance de fond : la capacité d'accéder à un cadre de vie de qualité n'est pas équitablement partagée parmi les individus. Ce constat interroge : comment se créent ces inégalités ? Comment infléchir cette tendance et faire la ville plus juste ?¦Apporter des réponses à cette problématique nécessite d'identifier les facteurs de causalités qui entrent en jeu dans le système de (re)production des inégalités urbaines. Le fonctionnement des marchés foncier et immobilier, la « tyrannie des petites décisions » et les politiques publiques à incidence spatiale sont principalement impliqués. Ces dernières, agissant sur tous les éléments du système, sont placées au coeur de ce travail. On va ainsi s'intéresser précisément à la manière dont les collectivités publiques pilotent la production de la ville contemporaine, en portant l'attention sur la maîtrise publique d'ouvrage (MPO) des grands projets urbains.¦Poser la question de la justice dans la fabrique de la ville implique également de questionner les référentiels normatifs de l'action publique : à quelle conception de la justice celle-ci doit- elle obéir? Quatre perspectives (radicale, substantialiste, procédurale et intégrative) sont caractérisées, chacune se traduisant par des principes d'action différenciés. Une méthodologie hybride - empruntant à la sociologie des organisations et à l'analyse des politiques publiques - vient clore le volet théorique, proposant par un détour métaphorique d'appréhender le projet urbain comme une pièce de théâtre dont le déroulement dépend du jeu d'acteurs.¦Cette méthodologie est utilisée dans le volet empirique de la recherche, qui consiste en une analyse de la MPO d'un projet urbain en cours dans la première couronne de l'agglomération lyonnaise : le Carré de Soie. Trois grands objectifs sont poursuivis : descriptif (reconstruire le scénario), analytique (évaluer la nature de la pièce : conte de fée, tragédie ou match d'improvisation ?) et prescriptif (tirer la morale de l'histoire). La description de la MPO montre le déploiement successif de quatre stratégies de pilotage, dont les implications sur les temporalités, le contenu du projet (programmes, morphologies) et les financements publics vont être déterminantes. Sur la base de l'analyse, plusieurs recommandations peuvent être formulées - importance de l'anticipation et de l'articulation entre planification et stratégie foncière notamment - pour permettre à la sphère publique de dominer le jeu et d'assurer la production de justice par le projet urbain (réalisation puis entretien des équipements et espaces publics, financement de logements de qualité à destination d'un large éventail de populations, etc.). Plus généralement, un décalage problématique peut être souligné entre les territoires stratégiques pour le développement de l'agglomération et les capacités de portage limitées des communes concernées. Ce déficit plaide pour le renforcement des capacités d'investissement de la structure intercommunale.¦La seule logique du marché (foncier, immobilier) mène à la polarisation sociale et à la production d'inégalités urbaines. Faire la ville juste nécessite une forte volonté des collectivités publiques, laquelle doit se traduire aussi bien dans l'ambition affichée - une juste hiérarchisation des priorités dans le développement urbain - que dans son opérationnalisation - une juste maîtrise publique d'ouvrage des projets urbains.¦Inner-city neighborhoods, poor outskirts, and peri-urban spaces with no amenities usually suffer from social and environmental inequalities, such as poverty, unemployment, and exposure to noise and industrial hazards. The observed persistence of these inequalities over time points to an underlying trend - namely, that access to proper living conditions is fundamentally unequal, thus eliciting the question of how such inequalities are effected and how this trend can be reversed so as to build a more equitable city.¦Providing answers to such questions requires that the causal factors at play within the system of (re)production of urban inequalities be identified. Real estate markets, "micromotives and macrobehavior", and public policies that bear on space are mostly involved. The latter are central in that they act on all the elements of the system. This thesis therefore focuses on the way public authorities shape the production of contemporary cities, by studying the public project ownership of major urban projects.¦The study of justice within the urban fabric also implies that the normative frames of reference of public action be questioned: what conception of justice should public action refer to? This thesis examines four perspectives (radical, substantialist, procedural, and integrative) each of which results in different principles of action. This theoretical part is concluded by a hybrid methodology that draws from sociology of organizations and public policy analysis and that suggests that the urban project may be understood as a play, whose outcome hinges on the actors' acting.¦This methodology is applied to the empirical analysis of the public project ownership of an ongoing urban project in the Lyon first-ring suburbs: the Carré de Soie. Three main objectives are pursued: descriptive (reconstructing the scenario), analytical (assessing the nature of the play - fairy tale, tragedy or improvisation match), and prescriptive (drawing the moral of the story). The description of the public project ownership shows the successive deployment of four control strategies, whose implications on deadlines, project content (programs, morphologies), and public funding are significant. Building on the analysis, several recommendations can be made to allow the public sphere to control the process and ensure the urban project produces equity (most notably, anticipation and articulation of planning and real- estate strategy, as well as provision and maintenance of equipment and public spaces, funding of quality housing for a wide range of populations, etc.). More generally, a gap can be highlighted between those territories that are strategic to the development of the agglomeration and the limited resources of the municipalities involved. This deficit calls for strengthening the investment abilities of the intermunicipal structure.¦By itself, the real-estate market logic brings about social polarization and urban inequalities. Building an equitable city requires a strong will on the part of public authorities, a will that must be reflected both in the stated ambition - setting priorities of urban development equitably - and in its implementation managing urban public projects fairly.

A first attempt of geographically-distributed Multi-scale integrated analysis of societal and ecosystem metabolism (MuSIASEM): mapping human time and energy throughput in metropolitan Barcelona

This study presents a first attempt to extend the “Multi-scale integrated analysis of societal and ecosystem metabolism (MuSIASEM)” approach to a spatial dimension using GIS techniques in the Metropolitan area of Barcelona. We use a combination of census and commercial databases along with a detailed land cover map to create a layer of Common Geographic Units that we populate with the local values of human time spent in different activities according to MuSIASEM hierarchical typology. In this way, we mapped the hours of available human time, in regards to the working hours spent in different locations, putting in evidence the gradients in spatial density between the residential location of workers (generating the work supply) and the places where the working hours are actually taking place. We found a strong three-modal pattern of clumps of areas with different combinations of values of time spent on household activities and on paid work. We also measured and mapped spatial segregation between these two activities and put forward the conjecture that this segregation increases with higher energy throughput, as the size of the functional units must be able to cope with the flow of exosomatic energy. Finally, we discuss the effectiveness of the approach by comparing our geographic representation of exosomatic throughput to the one issued from conventional methods.

Learning-induced plasticity in human audition: Objects, time, and space.

The human auditory system is comprised of specialized but interacting anatomic and functional pathways encoding object, spatial, and temporal information. We review how learning-induced plasticity manifests along these pathways and to what extent there are common mechanisms subserving such plasticity. A first series of experiments establishes a temporal hierarchy along which sounds of objects are discriminated along basic to fine-grained categorical boundaries and learned representations. A widespread network of temporal and (pre)frontal brain regions contributes to object discrimination via recursive processing. Learning-induced plasticity typically manifested as repetition suppression within a common set of brain regions. A second series considered how the temporal sequence of sound sources is represented. We show that lateralized responsiveness during the initial encoding phase of pairs of auditory spatial stimuli is critical for their accurate ordered perception. Finally, we consider how spatial representations are formed and modified through training-induced learning. A population-based model of spatial processing is supported wherein temporal and parietal structures interact in the encoding of relative and absolute spatial information over the initial ∼300ms post-stimulus onset. Collectively, these data provide insights into the functional organization of human audition and open directions for new developments in targeted diagnostic and neurorehabilitation strategies.

Scene classifier for real time road detection

L’objectiu principal del projecte és el de classificar escenes de carretera en funció del contingut de les imatges per així poder fer un desglossament sobre quin tipus de situació tenim en el moment. És important que fixem els paràmetres necessaris en funció de l’escenari en què ens trobem per tal de treure el màxim rendiment possible a cada un dels algoritmes. La seva funcionalitat doncs, ha de ser la d’avís i suport davant els diferents escenaris de conducció. És a dir, el resultat final ha de contenir un algoritme o aplicació capaç de classificar les imatges d’entrada en diferents tipus amb la màxima eficiència espacial i temporal possible. L’algoritme haurà de classificar les imatges en diferents escenaris. Els algoritmes hauran de ser parametritzables i fàcilment manejables per l’usuari. L’eina utilitzada per aconseguir aquests objectius serà el MATLAB amb les toolboxs de visió i xarxes neuronals instal·lades.

Influence of short time exposure to an insect growth regulator, hexaflumuron, on mortality and adult emergence of vector mosquitoes

Hexaflumuron, an insect growth regulator (IGR), was found to greatly affect the development of immatures and emergence of adults of three species of vector mosquitoes, Culex quinquefasciatus, Aedes aegypti and Anopheles stephensi, when larvae were subjected to short time exposure of < or = 1h. This IGR could completely prevent adult emergence even at a minimum exposure time of 10 min at 0.001, 0.01 and 0.1 mg/l. On treatment, larval and pupal mortality as well as varying degrees of morphogenetic abnormalities were induced in immatures and adults of the three species. Four weeks of control achieved in a slow moving sullage canal breeding Culex quinquefasciatus indicates that this IGR can be of use in such breeding habitats.

How to set up and apply reference levels in fluoroscopy at a national level.

A nationwide survey was launched to investigate the use of fluoroscopy and establish national reference levels (RL) for dose-intensive procedures. The 2-year investigation covered five radiology and nine cardiology departments in public hospitals and private clinics, and focused on 12 examination types: 6 diagnostic and 6 interventional. A total of 1,000 examinations was registered. Information including the fluoroscopy time (T), the number of frames (N) and the dose-area product (DAP) was provided. The data set was used to establish the distributions of T, N and the DAP and the associated RL values. The examinations were pooled to improve the statistics. A wide variation in dose and image quality in fixed geometry was observed. As an example, the skin dose rate for abdominal examinations varied in the range of 10 to 45 mGy/min for comparable image quality. A wide variability was found for several types of examinations, mainly complex ones. DAP RLs of 210, 125, 80, 240, 440 and 110 Gy cm2 were established for lower limb and iliac angiography, cerebral angiography, coronary angiography, biliary drainage and stenting, cerebral embolization and PTCA, respectively. The RL values established are compared to the data published in the literature.