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.

Computing Markov-Perfect Optimal Policies in Business-Cycle Models

Time-inconsistency is an essential feature of many policy problems (Kydland and Prescott, 1977). This paper presents and compares three methods for computing Markov-perfect optimal policies in stochastic nonlinear business cycle models. The methods considered include value function iteration, generalized Euler-equations, and parameterized shadow prices. In the context of a business cycle model in which a scal authority chooses government spending and income taxation optimally, while lacking the ability to commit, we show that the solutions obtained using value function iteration and generalized Euler equations are somewhat more accurate than that obtained using parameterized shadow prices. Among these three methods, we show that value function iteration can be applied easily, even to environments that include a risk-sensitive scal authority and/or inequality constraints on government spending. We show that the risk-sensitive scal authority lowers government spending and income-taxation, reducing the disincentive households face to accumulate wealth.

Structured and unstructured continuous models for Wolbachia infections

We introduce and investigate a series of models for an infection of a diplodiploid host species by the bacterial endosymbiont Wolbachia. The continuous models are characterized by partial vertical transmission, cytoplasmic incompatibility and fitness costs associated with the infection. A particular aspect of interest is competitions between mutually incompatible strains. We further introduce an age-structured model that takes into account different fertility and mortality rates at different stages of the life cycle of the individuals. With only a few parameters, the ordinary differential equation models exhibit already interesting dynamics and can be used to predict criteria under which a strain of bacteria is able to invade a population. Interestingly, but not surprisingly, the age-structured model shows significant differences concerning the existence and stability of equilibrium solutions compared to the unstructured model.

PSMA-Specific CAR-Engineered T Cells Eradicate Disseminated Prostate Cancer in Preclinical Models.

Immunology-based interventions have been proposed as a promising curative chance to effectively attack postoperative minimal residual disease and distant metastatic localizations of prostate tumors. We developed a chimeric antigen receptor (CAR) construct targeting the human prostate-specific membrane antigen (hPSMA), based on a novel and high affinity specific mAb. As a transfer method, we employed last-generation lentiviral vectors (LV) carrying a synthetic bidirectional promoter capable of robust and coordinated expression of the CAR molecule, and a bioluminescent reporter gene to allow the tracking of transgenic T cells after in vivo adoptive transfer. Overall, we demonstrated that CAR-expressing LV efficiently transduced short-term activated PBMC, which in turn were readily stimulated to produce cytokines and to exert a relevant cytotoxic activity by engagement with PSMA+ prostate tumor cells. Upon in vivo transfer in tumor-bearing mice, CAR-transduced T cells were capable to completely eradicate a disseminated neoplasia in the majority of treated animals, thus supporting the translation of such approach in the clinical setting.

The role of fixed delays in neuronal rate models

Fixed delays in neuronal interactions arise through synaptic and dendritic processing. Previous work has shown that such delays, which play an important role in shaping the dynamics of networks of large numbers of spiking neurons with continuous synaptic kinetics, can be taken into account with a rate model through the addition of an explicit, fixed delay. Here we extend this work to account for arbitrary symmetric patterns of synaptic connectivity and generic nonlinear transfer functions. Specifically, we conduct a weakly nonlinear analysis of the dynamical states arising via primary instabilities of the stationary uniform state. In this way we determine analytically how the nature and stability of these states depend on the choice of transfer function and connectivity. While this dependence is, in general, nontrivial, we make use of the smallness of the ratio in the delay in neuronal interactions to the effective time constant of integration to arrive at two general observations of physiological relevance. These are: 1 - fast oscillations are always supercritical for realistic transfer functions. 2 - Traveling waves are preferred over standing waves given plausible patterns of local connectivity.

A well-posedness theory in measures for some kinetic models of collective motion

We present existence, uniqueness and continuous dependence results for some kinetic equations motivated by models for the collective behavior of large groups of individuals. Models of this kind have been recently proposed to study the behavior of large groups of animals, such as flocks of birds, swarms, or schools of fish. Our aim is to give a well-posedness theory for general models which possibly include a variety of effects: an interaction through a potential, such as a short-range repulsion and long-range attraction; a velocity-averaging effect where individuals try to adapt their own velocity to that of other individuals in their surroundings; and self-propulsion effects, which take into account effects on one individual that are independent of the others. We develop our theory in a space of measures, using mass transportation distances. As consequences of our theory we show also the convergence of particle systems to their corresponding kinetic equations, and the local-in-time convergence to the hydrodynamic limit for one of the models.

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.

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.

Theoretical aspects of graph models for MANETs

We survey the main theoretical aspects of models for Mobile Ad Hoc Networks (MANETs). We present theoretical characterizations of mobile network structural properties, different dynamic graph models of MANETs, and finally we give detailed summaries of a few selected articles. In particular, we focus on articles dealing with connectivity of mobile networks, and on articles which show that mobility can be used to propagate information between nodes of the network while at the same time maintaining small transmission distances, and thus saving energy.

Ichthyosen : Pathophysiologische Modelle der epidermalen Differenzierung [The ichthyoses : Pathophysiological models of epidermal differentiation].

The ichthyoses are a heterogeneous group of monogenetically inherited disorders of cornification, and characterized clinically by scaling or hyperkeratosis. Historically, they were classified by clinical features and inheritance patterns. As a result of the recent molecular biological revolution, the ichthyoses are now recognized as comprising many diverse entities. Importantly, identical phenotypes may be caused by mutations in multiple genes, while mutations in a single gene may result in multiple and sometimes widely divergent phenotypes. The considerable complexity of this clinically and genetically heterogeneous group of disorders has prompted the need for a new classification. A classification that uses terminology based on a combination of the clinical and molecular genetic details, for instance loricrin keratoderma, is desirable. In this chapter we will use in principle the nosology adopted recently by an international group of experts at the First Ichthyosis Consensus Conference in Sorèz, France.

Efficacité du counseling d'orientation: impacts de l'alliance de travail et du contexte psychosocial

La problématique centrale de cette thèse de doctorat est l'efficacité de l'accompagnement à l'orientation. Elle renvoie en particulier à la multiplicité des types d'interventions ainsi qu'aux tensions entre les finalités de l'orientation qui rendent improbable une mesure univoque et objective de l'efficacité des pratiques. Le «mythe » de l'efficacité trouve notamment sa source dans le persistent monopole du modèle de l'appariement qui a largement influencé le développement de la discipline. Le manuscrit est basé sur deux études empiriques. Premièrement, « voies professionnelles » est une étude longitudinale visant l'évaluation de l'efficacité d'un service de counseling d'orientation au travers de mesures intraindividuelles. Les résultats immédiats (pre-post) indiquent une forte diminution de l'indécision vocationnelle des consultants ainsi qu'une augmentation de leur bien-être. Les résultats longitudinaux sur un an indiquent une évolution positive des difficultés plus ancrées ainsi qu'un fort taux d'implémentation des projets professionnels. La qualité de l'alliance de travail démontre un impact positif sur l'efficacité de la démarche. Deuxièmement, l'étude « orientation et genre » a permis de mettre en évidence un effet d'interaction entre le sexe et le niveau scolaire d'élèves en fin de scolarité sur leurs profils d'intérêts professionnels. Ce résultat affecte en particulier les jeunes filles dans une filière à exigences élémentaires car ces deux identités psychosociales semblent restreindre doublement les options professionnelles envisageables. Les deux études ont permis de soulever cinq implications centrales : (1) La distinction entre les aspects cognitifs et émotionnels de l'indécision vocationnelle est importante. En particulier, la préparation au choix est un construit qui nécessite clarification ; (2) Les processus de transitions professionnelles ainsi que leur accompagnement doivent être considérés dans leur dimension temporelle ; (3) L'interconnexion des différentes sphères de vie est centrale dans les processus d'orientation et leur accompagnement ; (4) L'efficacité du conseil en orientation est affectée par la qualité des aspects relationnels ; (5) La complexité des pratiques et de leurs finalités confronte l'orientation à son rôle envers des identités psychosociales fragilisées. - The central issue of this doctoral thesis is the effectiveness of career counseling and guidance. In particular, this refers to the many types of career interventions as well as the tensions between their objectives. Those aspects make it unlikely to get an unambiguous and objective measure of the effectiveness of career practices. The "myth of efficiency" is particularly rooted in the persistent monopoly of person-environment fit models, which greatly influenced the development of the discipline. This manuscript is based on two empirical studies. First, "career paths" is a longitudinal study looking at the effectiveness of a career counseling service through intraindividual measures. Pre-post impacts showed a significant decrease in clients' vocational indecision as well as a moderate increase in their well-being. The one year-longitudinal results highlighted significant decreases in more constant decision-making difficulties with a high proportion of clients having implemented their professional projects. The quality of the working alliance had a positive impact on the effectiveness of the intervention. The second study, "vocational development and gender" highlighted an interaction effect between late schoolchildren's gender and school level on their professional interests profile. This result particularly affected girls at a low school level, because these psychosocial identities were a double restraint in restricting career options. The two studies raised five central implications: (1) The distinction between cognitive and emotional aspects of vocational indecision is important. In particular, readiness to make a choice is a construct that requires clarification; (2) career transitions processes as well as supporting these transitions, should be considered in their temporal dimension (3) the interconnection of different spheres of life is central to vocational development and career guidance and counseling; (4) the effectiveness of career counseling is affected by the quality of the relational aspects in the intervention; (5) and the complexity of career interventions and their objectives forces practitioners to consider their role and responsibilities towards clients with marginalized psychosocial identities.