SEMIPARAMETRIC BAYESIAN ANALYSIS OF SIMULTANEOUS SYSTEMS WITH AN APPLICATION TO JAPANESE MEAT DEMAND

This paper motivates and applies a variant of the Bayesian Bootstrap Multivariate Regression by Heckelei and Mittelhammer (2003) to a Japanese meat demand specification with endogenous regressors. The methodology is first given an alternative and more elegants motivation and then extended to incorporate microtheoretic restrictions and to apply in the context of a simultaneous equation models. The results of the application are compared to results based on an earlier approach used by Heckelei, Mittelhammer, and Wahl (1996).Demand and Price Analysis,

Equation of state for Universe from similarity symmetries

In this paper we proposed to use the group of analysis of symmetries of the dynamical system to describe the evolution of the Universe. This methods is used in searching for the unknown equation of state. It is shown that group of symmetries enforce the form of the equation of state for noninteracting scaling multifluids. We showed that symmetries give rise the equation of state in the form $p=-\Lambda+w_{1}\rho(a)+w_{2}a^{\beta}+0$ and energy density $\rho=\Lambda+\rho_{01}a^{-3(1+w)}+\rho_{02}a^{\beta}+\rho_{03}a^{-3}$, which is commonly used in cosmology. The FRW model filled with scaling fluid (called homological) is confronted with the observations of distant type Ia supernovae. We found the class of model parameters admissible by the statistical analysis of SNIa data. We showed that the model with scaling fluid fits well to supernovae data. We found that $\Omega_{\text{m},0} \simeq 0.4$ and $n \simeq -1$ ($\beta = -3n$), which can correspond to (hyper) phantom fluid, and to a high density universe. However if we assume prior that $\Omega_{\text{m},0}=0.3$ then the favoured model is close to concordance $\Lambda$CDM model. Our results predict that in the considered model with scaling fluids distant type Ia supernovae should be brighter than in $\Lambda$CDM model, while intermediate distant SNIa should be fainter than in $\Lambda$CDM model. We also investigate whether the model with scaling fluid is actually preferred by data over $\Lambda$CDM model. As a result we find from the Akaike model selection criterion prefers the model with noninteracting scaling fluid.Comment: accepted for publication versio

Post-selection point and interval estimation of signal sizes in Gaussian samples

We tackle the problem of the estimation of a vector of means from a single vector-valued observation $y$. Whereas previous work reduces the size of the estimates for the largest (absolute) sample elements via shrinkage (like James-Stein) or biases estimated via empirical Bayes methodology, we take a novel approach. We adapt recent developments by Lee et al (2013) in post selection inference for the Lasso to the orthogonal setting, where sample elements have different underlying signal sizes. This is exactly the setup encountered when estimating many means. It is shown that other selection procedures, like selecting the $K$ largest (absolute) sample elements and the Benjamini-Hochberg procedure, can be cast into their framework, allowing us to leverage their results. Point and interval estimates for signal sizes are proposed. These seem to perform quite well against competitors, both recent and more tenured. Furthermore, we prove an upper bound to the worst case risk of our estimator, when combined with the Benjamini-Hochberg procedure, and show that it is within a constant multiple of the minimax risk over a rich set of parameter spaces meant to evoke sparsity.Comment: 27 pages, 13 figure

Endogenous Persistence in an Estimated DSGE Model under Imperfect Information

We provide a tool for estimating DSGE models by BayesianMaximum-likelihood methods under very general information assumptions. This framework is applied to a New Keynesian model where we compare the standard approach, that assumes an informational asymmetry between private agents and the econometrician, with an assumption of informational symmetry. For the former, private agents observe all state variables including shocks, whereas the econometrician uses only data for output, inflation and interest rates. For the latter both agents have the same imperfect information set and this corresponds to what we term the 'informational consistency principle'. We first assume rational expectations and then generalize the model to allow some households and firms to form expectations adaptively. We find that in terms of model posterior probabilities, impulse responses, second moments and autocorrelations, the assumption of informational symmetry by rational agents significantly improves the model fit. We also find qualified empirical support for the heterogenous expectations model. JEL Classification: C11, C52, E12, E32.Imperfect Information, DSGE Model, Rational versus Adaptive Expectations, Bayesian Estimation

Endogenous Persistence in an Estimated DSGE Model under Imperfect Information

We provide a tool for estimating DSGE models by Bayesian Maximum-likelihood meth?ods under very general information assumptions. This framework is applied to a New Keynesian model where we compare the standard approach, that assumes an informa?tional asymmetry between private agents and the econometrician, with an assumption of informational symmetry. For the former, private agents observe all state variables including shocks, whereas the econometrician uses only data for output, inflation and interest rates. For the latter both agents have the same imperfect information set and this corresponds to what we term the ¡®informational consistency principle¡¯. We first assume rational expectations and then generalize the model to allow some households and firms to form expectations adaptively. We find that in terms of model posterior probabilities, impulse responses, second moments and autocorrelations, the assumption of informational symmetry by rational agents significantly improves the model fit. We also find qualified empirical support for the heterogenous expectations model.Imperfect Information, DSGE Model, Rational versus Adaptive Expectations, Bayesian Estimation.

"Substituability between Mobile and Fixed Telephones: Evidence and Implications for India"

Substitutability between mobile and fixed phones is an important consequence of India's telecom sector's deregulation since 1991. This paper tests for substitutability between mobile and fixed phones, based on a binary logit model and using the household sample survey data from the Karnataka State in South India. Estimated cross price elasticity offers empirical evidence for substitutability rather than complementarity between fixed and mobile phone services. This evidence is symmetric in mobile and fixed phone models. The empirical results have implications for on-going policy discussion on subsidization by the Access Deficit Charge and for changing the bases for Universal Service Obligation.