Large Bayesian VARMAs

Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficulties in ensuring identification and computational challenges. With the growing interest in multivariate time series models of high dimension, these problems with VARMAs become even more acute, accounting for the dominance of VARs in this field. In this paper, we develop a Bayesian approach for inference in VARMAs which surmounts these problems. It jointly ensures identification and parsimony in the context of an efficient Markov chain Monte Carlo (MCMC) algorithm. We use this approach in a macroeconomic application involving up to twelve dependent variables. We find our algorithm to work successfully and provide insights beyond those provided by VARs.

Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

Overall justice, work group identification and work outcomes:test of moderated mediation process

This study examined an integrated model of the antecedents and outcomes of organisational and overall justice using a sample of Indian Call Centre employees (n = 458). Results of structural equation modelling (SEM) revealed that the four organisational justice dimensions relate to overall justice. Further, work group identification mediated the influence of overall justice on counterproductive work behaviors, such as presenteeism and social loafing, while conscientiousness was a significant moderator between work group identification and presenteeism and social loafing. Theoretical and practical implications are discussed.

Mucopolysaccharidosis Type Ii: Identification Of 30 Novel Mutations Among Latin American Patients.

In this study, 103 unrelated South-American patients with mucopolysaccharidosis type II (MPS II) were investigated aiming at the identification of iduronate-2-sulfatase (IDS) disease causing mutations and the possibility of some insights on the genotype-phenotype correlation The strategy used for genotyping involved the identification of the previously reported inversion/disruption of the IDS gene by PCR and screening for other mutations by PCR/SSCP. The exons with altered mobility on SSCP were sequenced, as well as all the exons of patients with no SSCP alteration. By using this strategy, we were able to find the pathogenic mutation in all patients. Alterations such as inversion/disruption and partial/total deletions of the IDS gene were found in 20/103 (19%) patients. Small insertions/deletions/indels (<22 bp) and point mutations were identified in 83/103 (88%) patients, including 30 novel mutations; except for a higher frequency of small duplications in relation to small deletions, the frequencies of major and minor alterations found in our sample are in accordance with those described in the literature.

Identification Of Target Genes Using Gene Expression Profile Of Granulocytes From Patients With Chronic Myeloid Leukemia Treated With Tyrosine Kinase Inhibitors.

Differential gene expression analysis by suppression subtractive hybridization with correlation to the metabolic pathways involved in chronic myeloid leukemia (CML) may provide a new insight into the pathogenesis of CML. Among the overexpressed genes found in CML at diagnosis are SEPT5, RUNX1, MIER1, KPNA6 and FLT3, while PAN3, TOB1 and ITCH were decreased when compared to healthy volunteers. Some genes were identified and involved in CML for the first time, including TOB1, which showed a low expression in patients with CML during tyrosine kinase inhibitor treatment with no complete cytogenetic response. In agreement, reduced expression of TOB1 was also observed in resistant patients with CML compared to responsive patients. This might be related to the deregulation of apoptosis and the signaling pathway leading to resistance. Most of the identified genes were related to the regulation of nuclear factor κB (NF-κB), AKT, interferon and interleukin-4 (IL-4) in healthy cells. The results of this study combined with literature data show specific gene pathways that might be explored as markers to assess the evolution and prognosis of CML as well as identify new therapeutic targets.

High-throughput Analysis By Sp-ldi-ms For Fast Identification Of Adulterations In Commercial Balsamic Vinegars.

Balsamic vinegar (BV) is a typical and valuable Italian product, worldwide appreciated thanks to its characteristic flavors and potential health benefits. Several studies have been conducted to assess physicochemical and microbial compositions of BV, as well as its beneficial properties. Due to highly-disseminated claims of antioxidant, antihypertensive and antiglycemic properties, BV is a known target for frauds and adulterations. For that matter, product authentication, certifying its origin (region or country) and thus the processing conditions, is becoming a growing concern. Striving for fraud reduction as well as quality and safety assurance, reliable analytical strategies to rapidly evaluate BV quality are very interesting, also from an economical point of view. This work employs silica plate laser desorption/ionization mass spectrometry (SP-LDI-MS) for fast chemical profiling of commercial BV samples with protected geographical indication (PGI) and identification of its adulterated samples with low-priced vinegars, namely apple, alcohol and red/white wines.

Metals And (metallo)proteins Identification In Vitreous Humor Focusing On Post-mortem Biochemistry.

This work describes the evaluation of metals and (metallo)proteins in vitreous humor samples and their correlations with some biological aspects in different post-mortem intervals (1-7 days), taking into account both decomposing and non-decomposing bodies. After qualitative evaluation of the samples involving 26 elements, representative metal ions (Fe, Mg and Mo) are determined by inductively coupled plasma mass spectrometry after using mini-vial decomposition system for sample preparation. A significant trend for Fe is found with post-mortem time for decomposing bodies because of a significant increase of iron concentration when comparing samples from bodies presenting 3 and 7 days post-mortem interval. An important clue to elucidate the role of metals is the coupling of liquid chromatography with inductively coupled plasma mass spectrometry for identification of metals linked to proteins, as well as mass spectrometry for the identification of those proteins involved in the post-mortem interval.

Identification Of Corynebacterium Spp. Isolated From Bovine Intramammary Infections By Matrix-assisted Laser Desorption Ionization-time Of Flight Mass Spectrometry.

Corynebacterium species (spp.) are among the most frequently isolated pathogens associated with subclinical mastitis in dairy cows. However, simple, fast, and reliable methods for the identification of species of the genus Corynebacterium are not currently available. This study aimed to evaluate the usefulness of matrix-assisted laser desorption ionization/mass spectrometry (MALDI-TOF MS) for identifying Corynebacterium spp. isolated from the mammary glands of dairy cows. Corynebacterium spp. were isolated from milk samples via microbiological culture (n=180) and were analyzed by MALDI-TOF MS and 16S rRNA gene sequencing. Using MALDI-TOF MS methodology, 161 Corynebacterium spp. isolates (89.4%) were correctly identified at the species level, whereas 12 isolates (6.7%) were identified at the genus level. Most isolates that were identified at the species level with 16 S rRNA gene sequencing were identified as Corynebacterium bovis (n=156; 86.7%) were also identified as C. bovis with MALDI-TOF MS. Five Corynebacterium spp. isolates (2.8%) were not correctly identified at the species level with MALDI-TOF MS and 2 isolates (1.1%) were considered unidentified because despite having MALDI-TOF MS scores >2, only the genus level was correctly identified. Therefore, MALDI-TOF MS could serve as an alternative method for species-level diagnoses of bovine intramammary infections caused by Corynebacterium spp.

Characterization Of Anfo Explosive By High Accuracy Esi(±)-ftms With Forensic Identification On Real Samples By Easi(-)-ms.

Ammonium nitrate fuel oil (ANFO) is an explosive used in many civil applications. In Brazil, ANFO has unfortunately also been used in criminal attacks, mainly in automated teller machine (ATM) explosions. In this paper, we describe a detailed characterization of the ANFO composition and its two main constituents (diesel and a nitrate explosive) using high resolution and accuracy mass spectrometry performed on an FT-ICR-mass spectrometer with electrospray ionization (ESI(±)-FTMS) in both the positive and negative ion modes. Via ESI(-)-MS, an ion marker for ANFO was characterized. Using a direct and simple ambient desorption/ionization technique, i.e., easy ambient sonic-spray ionization mass spectrometry (EASI-MS), in a simpler, lower accuracy but robust single quadrupole mass spectrometer, the ANFO ion marker was directly detected from the surface of banknotes collected from ATM explosion theft.

Identification of family variables in parents' groups of children with epilepsy

OBJECTIVE: To verify the effectiveness of the support group in the identification of family variables linked to epilepsy. METHOD: Pre-test were applied to parents of 21 children with benign epilepsy of childhood recently diagnosed, from 5 to 15 years, who participated in the groups at HC/Unicamp. There was a presentation of an educational video, discussion and application of the post-test 1. After six months, the post-test 2 was applied. RESULTS: The beliefs were: fear of swallowing the tongue during the seizures (76.19%) and of a future mental disease (66.67%). Facing the epilepsy, fear and sadness appeared. 76.19% of the parents presented overprotection and 90.48%, expected a new seizure. In the post-test 1, the parents affirmed that the information offered had modified the beliefs. In the post-test 2, 80.95% didn't report great doubts about epilepsy and 90.48% considered their relationship with their children better. CONCLUSIONS: The demystification of beliefs supplied from the groups influenced the family positively, prevented behavior alterations and guaranteed effective care in the attendance to the child with epilepsy.

Quality evaluation of DNA obtained from stored human saliva and its applicability to identification in Forensic Dentistry

PURPOSE: This study evaluated the quality of DNA obtained from stored human saliva and its applicability to human identification. METHODS: The saliva samples of 20 subjects, collected in the form of saliva in natura and from mouth swabs and stored at -20ºC, were analyzed. After 7 days, the DNA was extracted from the 40 saliva samples and subjected to PCR and electrophoresis. After 180 days, the technique was repeated with the 20 swab samples. RESULTS: The first-stage results indicated that DNA was successfully extracted in 97.5% of reactions, 95% of saliva in natura and 100% of swab saliva samples, with no statistically significant difference between the forms of saliva. In the second phase, the result was positive for all 20 analyzed samples (100%). Subsequently, in order to analyze the quality of the DNA obtained from human saliva, the SIX3-2 gene was tested on the 20 mouth swab samples, and the PCR products were digested using the MbO1 restriction enzyme to evaluate polymorphisms in the ADRA-2 gene, with positive results for most samples. CONCLUSION: It was concluded that the quantity and quality of DNA from saliva and the techniques employed are adequate for forensic analysis of DNA.

Comparison between cone-beam and multislice computed tomography for identification of simulated bone lesions

There are many studies that compare the accuracy of multislice (MSCT) and cone beam (CBCT) computed tomography for evaluations in the maxillofacial region. However, further studies comparing both acquisition techniques for the evaluation of simulated mandibular bone lesions are needed. The aim of this study was to compare the accuracy of MSCT and CBCT in the diagnosis of simulated mandibular bone lesions by means of cross sectional images and axial/MPR slices. Lesions with different dimensions, shape and locularity were produced in 15 dry mandibles. The images were obtained following the cross sectional and axial/MPR (Multiplanar Reconstruction) imaging protocols and were interpreted independently. CBCT and MSCT showed similar results in depicting the percentage of cortical bone involvement, with great sensitivity and specificity (p < 0.005). There were no significant intra- or inter-examiner differences between axial/MPR images and cross sectional images with regard to sensitivity and specificity. CBCT showed results similar to those of MSCT for the identification of the number of simulated bone lesions. Cross sectional slices and axial/MPR images presented high accuracy, proving useful for bone lesion diagnosis.

On-line identification of minor flavones from sugarcane juice by LC/UV/MS and post-column derivatization

This work describes the on-line characterization of minor flavones from sugarcane (Saccharum officinarum) juice by high-performance liquid chromatography coupled to diode array UV detection and mass spectrometry (LC/UV/MS) using atmospheric pressure chemical ionization-collision-induced dissociation (APCI-CID-MS/MS) and post-column derivatization using UV shift reagents. HPLC-UV analysis with shift reagents provided information about the substitution pattern in the flavonoid skeleton and, combined with MS data, these techniques allowed for the on-line identification of five "garapa" flavones: luteolin-8-C-glucosyl-7-O-glucuronide; tricin-7-O-neohesperoside-4'-O-rhamnoside; tricin-7-O-methylglucuronate-4'-O-rhamnoside; tricin-7-O-methylglucuronide; swertisin, while four other compounds were partially identified as glycosylflavones. Only swertisin (7-O-methylapigenin-6-C-glucoside) was reported previously in sugarcane molasses.

Quantification and source identification of atmospheric particulate polycyclic aromatic hydrocarbons and their dry deposition fluxes at three sites in Salvador Basin, Brazil, impacted by mobile and stationary sources

The present work has aimed to determine the 16 US EPA priority PAH atmospheric particulate matter levels present in three sites around Salvador, Bahia: (i) Lapa bus station, strongly impacted by heavy-duty diesel vehicles; (ii) Aratu harbor, impacted by an intense movement of goods, and (iii) Bananeira village on Maré Island, a non vehicle-influenced site with activities such as handcraft work and fisheries. Results indicated that BbF (0.130-6.85 ng m-3) is the PAH with highest concentration in samples from Aratu harbor and Bananeira and CRY (0.075-6.85 ng m-3) presented higher concentrations at Lapa station. PAH sources from studied sites were mainly of anthropogenic origin such as gasoline-fueled light-duty vehicles and diesel-fueled heavy-duty vehicles, discharges in the port, diesel burning from ships, dust ressuspension, indoor soot from cooking, and coal and wood combustion for energy production.

Merluccius hubbsi (Teleostei: Merlucciidae): stock identification based on reproductive biology in the south-southeast brazilian region

The Argentine hake, Merluccius hubbsi, a demersal-pelagic species found from Rio de Janeiro, Brazil to the Tierra del Fuego, Argentina, has become an important target of the Brazilian bottom-trawler fleet since 2001. Earlier studies focusing on the species have suggested that more than one stock might occur off the Brazilian coast, in accordance with environmental features. In order to evaluate this hypothesis, fish were collected from four different areas in the Brazilian waters in which the hake is distributed, during the summers and winters of 1996-2001 and 2004, the females being used to analyze and compare spatial-temporal variations in ovarian maturation. Gonad indexes were also applied for the same purpose. Results indicate a north-south spawning gradient occurring as from summer at around 21°S to winter near 34°S, leading to the identification of two distinct stocks: one located between 21°S and 29°S (Southeastern stock) and the other between 29°S and 34°S (Southern stock), this latter shared with Uruguay and Argentina. Brazilian stocks present clear signs of overexploitation, the situation calling for an urgent solution.