Forecasting Inflation Using Dynamic Model Averaging

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.

Forecasting Inflation Using Dynamic Model Averaging

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.

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.

A Dynamic Model of Hand-and-Foot Syndrome in Patients Receiving Capecitabine

For the purpose of developing a longitudinal model to predict hand-and-foot syndrome (HFS) dynamics in patients receiving capecitabine, data from two large phase III studies were used. Of 595 patients in the capecitabine arms, 400 patients were randomly selected to build the model, and the other 195 were assigned for model validation. A score for risk of developing HFS was modeled using the proportional odds model, a sigmoidal maximum effect model driven by capecitabine accumulation as estimated through a kinetic-pharmacodynamic model and a Markov process. The lower the calculated creatinine clearance value at inclusion, the higher was the risk of HFS. Model validation was performed by visual and statistical predictive checks. The predictive dynamic model of HFS in patients receiving capecitabine allows the prediction of toxicity risk based on cumulative capecitabine dose and previous HFS grade. This dose-toxicity model will be useful in developing Bayesian individual treatment adaptations and may be of use in the clinic.

A dynamic model with on-line identification for rotary sugar drying processes

A dynamic modelling methodology, which combines on-line variable estimation and parameter identification with physical laws to form an adaptive model for rotary sugar drying processes, is developed in this paper. In contrast to the conventional rate-based models using empirical transfer coefficients, the heat and mass transfer rates are estimated by using on-line measurements in the new model. Furthermore, a set of improved sectional solid transport equations with localized parameters is developed in this work to reidentified on-line using measurement data, the model is able to closely track the dynamic behaviour of rotary drying processes within a broad range of operational conditions. This adaptive model is validated against experimental data obtained from a pilot-scale rotary sugar dryer. The proposed modelling methodology can be easily incorporated into nonlinear model based control schemes to form a unified modelling and control framework.place the global correlation for the computation of solid retention time. Since a number of key model variables and parameters are identified on-line using measurement data, the model is able to closely track the dynamic behaviour of rotary drying processes within a broad range of operational conditions. This adaptive model is validated against experimental data obtained from a pilot-scale rotary sugar dryer. The proposed modelling methodology can be easily incorporated into nonlinear model based control schemes to form a unified modelling and control framework.

A generalised dynamic model for char particle gasification with structure evolution and peripheral fragmentation

A generalised model for the prediction of single char particle gasification dynamics, accounting for multi-component mass transfer with chemical reaction, heat transfer, as well as structure evolution and peripheral fragmentation is developed in this paper. Maxwell-Stefan analysis is uniquely applied to both micro and macropores within the framework of the dusty-gas model to account for the bidisperse nature of the char, which differs significantly from the conventional models that are based on a single pore type. The peripheral fragmentation and random-pore correlation incorporated into the model enable prediction of structure/reactivity relationships. The occurrence of chemical reaction within the boundary layer reported by Biggs and Agarwal (Chem. Eng. Sci. 52 (1997) 941) has been confirmed through an analysis of CO/CO2 product ratio obtained from model simulations. However, it is also quantitatively observed that the significance of boundary layer reaction reduces notably with the reduction of oxygen concentration in the flue gas, operational pressure and film thickness. Computations have also shown that in the presence of diffusional gradients peripheral fragmentation occurs in the early stages on the surface, after which conversion quickens significantly due to small particle size. Results of the early commencement of peripheral fragmentation at relatively low overall conversion obtained from a large number of simulations agree well with experimental observations reported by Feng and Bhatia (Energy & Fuels 14 (2000) 297). Comprehensive analysis of simulation results is carried out based on well accepted physical principles to rationalise model prediction. (C) 2001 Elsevier Science Ltd. AH rights reserved.

Spectral solution for the air stripping pollutants removal dynamic model with non linear steady state conditions

This work deals with the numerical simulation of air stripping process for the pre-treatment of groundwater used in human consumption. The model established in steady state presents an exponential solution that is used, together with the Tau Method, to get a spectral approach of the solution of the system of partial differential equations associated to the model in transient state.

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.

Baysian Model Averaging, Learning and Model Selection

Agents have two forecasting models, one consistent with the unique rational expectations equilibrium, another that assumes a time-varying parameter structure. When agents use Bayesian updating to choose between models in a self-referential system, we find that learning dynamics lead to selection of one of the two models. However, there are parameter regions for which the non-rational forecasting model is selected in the long-run. A key structural parameter governing outcomes measures the degree of expectations feedback in Muth's model of price determination.

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

A dynamic model for stem cell homeostasis and patterning in Arabidopsis meristems.

Plants maintain stem cells in their meristems as a source for new undifferentiated cells throughout their life. Meristems are small groups of cells that provide the microenvironment that allows stem cells to prosper. Homeostasis of a stem cell domain within a growing meristem is achieved by signalling between stem cells and surrounding cells. We have here simulated the origin and maintenance of a defined stem cell domain at the tip of Arabidopsis shoot meristems, based on the assumption that meristems are self-organizing systems. The model comprises two coupled feedback regulated genetic systems that control stem cell behaviour. Using a minimal set of spatial parameters, the mathematical model allows to predict the generation, shape and size of the stem cell domain, and the underlying organizing centre. We use the model to explore the parameter space that allows stem cell maintenance, and to simulate the consequences of mutations, gene misexpression and cell ablations.

Growth, convergence and public investment : a bayesian model averaging approach

The aim of this paper is twofold. First, we study the determinants of economic growth among a wide set of potential variables for the Spanish provinces (NUTS3). Among others, we include various types of private, public and human capital in the group of growth factors. Also,we analyse whether Spanish provinces have converged in economic terms in recent decades. Thesecond objective is to obtain cross-section and panel data parameter estimates that are robustto model speci¯cation. For this purpose, we use a Bayesian Model Averaging (BMA) approach.Bayesian methodology constructs parameter estimates as a weighted average of linear regression estimates for every possible combination of included variables. The weight of each regression estimate is given by the posterior probability of each model.

Growth, convergence and public investment : a bayesian model averaging approach

The aim of this paper is twofold. First, we study the determinants of economic growth among a wide set of potential variables for the Spanish provinces (NUTS3). Among others, we include various types of private, public and human capital in the group of growth factors. Also,we analyse whether Spanish provinces have converged in economic terms in recent decades. Thesecond objective is to obtain cross-section and panel data parameter estimates that are robustto model speci¯cation. For this purpose, we use a Bayesian Model Averaging (BMA) approach.Bayesian methodology constructs parameter estimates as a weighted average of linear regression estimates for every possible combination of included variables. The weight of each regression estimate is given by the posterior probability of each model.

A dynamic model of keratinocyte stem cell renewal and differentiation: role of the p21WAF1/Cip1 and Notch1 signaling pathways.

We present here a dynamic model of functional equilibrium between keratinocyte stem cells, transit amplifying populations and cells that are reversibly versus irreversibly committed to differentiation. According to this model, the size of keratinocyte stem cell populations can be controlled at multiple levels, including relative late steps in the sequence of events leading to terminal differentiation and by the influences of a heterogeneous extra-cellular environment. We discuss how work in our laboratory, on the interconnection between the cyclin/CDK inhibitor p21WAF1/Cip1 and the Notch1 signaling pathways, provides strong support to this dynamic model of stem cell versus committed and/or differentiated keratinocyte populations.