Bayesian estimates of equation system parameters, An application of integration by Monte Carlo

Monte Carlo (MC) is used to draw parameter values from a distribution defined on the structural parameter space of an equation system. Making use of the prior density, the likelihood, and Bayes' Theorem it is possible to estimate posterior moments of both structural and reduced form parameters. The MC method allows a rather liberal choice of prior distributions. The number of elementary operations to be preformed need not be an explosive function of the number of parameters involved. The method overcomes some existing difficulties of applying Bayesian methods to medium size models. The method is applied to a small scale macro model. The prior information used stems from considerations regarding short and long run behavior of the model and form extraneous observations on empirical long term ratios of economic variables. Likelihood contours for several parameter combinations are plotted, and some marginal posterior densities are assessed by MC

Further experience in Bayesian analysis using Monte Carlo Integration

An earlier paper [Kloek and Van Dijk (1978)] is extended in three ways. First, Monte Carlo integration is performed in a nine-dimensional parameter space of Klein's model I [Klein (1950)]. Second, Monte Carlo is used as a tool for the elicitation of a uniform prior on a finite region by making use of several types of prior information. Third, special attention is given to procedures for the construction of importance functions which make use of nonlinear optimization methods. *1 This paper started as a revision of Van Dijk and Kloek (1978). In the course of the work our ideas developed to such an extent that the final result is an almost completely new paper. We are indebted to a referee for a number of very useful suggestions. We also wish to thank A.S. Louter and G. den Broeder of the Econometric Institute for their help in preparing the necessary computer programs

Efficient estimation of income distribution parameters

The parameters of several families of distributions are estimated by means of minimum χ2; use is made of random samples taken from Dutch income-earning groups in 1973. The numerical search routine used, is the Complex method due to Box. The χ2 function is evaluated by standard numerical integration procedures. The lognormal and the Gamma families are rejected because of a poor fit. The log t and the log Pearson IV families are introduced. This results in a considerable improvement of χ2 critical levels. The generalized Gamma and the Champernowne function describe the income distribution reasonably well in some cases

Vijftig jaar Econometrie: de waarde van het model

Een halve eeuw geleden werd in Rotterdam het Econometrisch Instituut opgericht. Naar aanleiding van dit jubileum kijken we naar hoe het gebruik van modellen in de econometrie is geevolueerd

Stock Selection, Style Rotation, and Risk

Using US data from June 1984 to July 1999, we show that the impact of firm-specific characteristics like size and book-to-price on future excess stock returns varies considerably over time. The impact can be either positive or negative at different times. This time variation is partially predictable. We investigate whether the partial predictability signals security mispricing or risk compensation by formulating alternative modeling strategies. The strategies are compared empirically, In particular, we allow for a state-dependent choice of investment styles rather than a once-and-for-all choice for a particular style, for example based on high book-to-price ratios or small market cap values. Using alternative ways to correct for risk, we find significant and robust excess returns to style rotating investment strategies. Business cycle oriented approaches exhibit the best overall performance. Purely statistical models for style rotation or fixed investment styles reveal less robust behavior

ALA- and ALA-hexylester-induced protoporphyrin IX fluorescence and distribution in multicell tumour spheroids

Synthesis of protoporphyrin IX (PpIX) in intact murine mammary cancer cell spheroids is reported from optical sections obtained using a laser scanning confocal fluorescence microscope. EMT6 spheroids 275–350 μ m in diameter were incubated in 0.1–15 mM aminolevulinic acid (ALA) or 0.001–2 mM ALA-hexylester (h-ALA) to test the ability of both pro-drugs to diffuse into the spheroids and induce PpIX production. Spheroids incubated with ALA show significant fluorescence nonuniformity for all concentrations, with the outermost cells exhibiting greater porphyrin fluorescence. Comparable levels of fluorescence throughout the optical section are achieved with approximately 100-fold lower h-ALA concentrations, indicating that the interior cells maintain esterase activity and porphyrin synthesis and that h-ALA diffuses efficiently to the spheroid interior. Fluorescence gradients are less pronounced with h-ALA incubation, in part because of apparent saturation of esterase activity in the spheroid perimeter. Proliferating (Ki67 positive) and quiescent cell populations exhibit remarkably different h-ALA concentration dependencies. The incubation concentration resulting in maximum fluorescence with ALA is 10 mM, while the optimal concentration for h-ALA is 200-fold lower at 0.05 mM. Exceeding these optimal concentrations for both pro-drugs leads to an overall loss of fluorescence. © 2001 Cancer Research Campaign http://www.bjcancer.co

ALA and ALA hexyl ester in free and liposomal formulations for the photosensitisation of tumour organ cultures

In spite of the wide range of tumours successfully treated with 5-aminolevulinic acid mediated photodynamic therapy, the fact that 5-aminolevulinic acid has low lipid solubility, limits its clinical application. More lipophilic 5-aminolevulinic acid prodrugs and the use of liposomal carriers are two approaches aimed at improving 5-aminolevulinic acid transmembrane access. In this study we used both 5-aminolevulinic acid and its hexyl ester in their free and encapsulated formulations to compare their corresponding endogenous synthesis of porphyrins. Employing murine tumour cultures, we found that neither the use of hexyl ester nor the entrappment of either 5-aminolevulinic acid or hexyl ester into liposomes increase the rate of tumour porphyrin synthesis. By light and electronic microscopy it was demonstrated that exposure of tumour explants to either free or liposomal 5-aminolevulinic acid and subsequent illumination induces the same type of subcellullar damage. Mitochondria, endoplasmic reticulum and plasma membrane are the structures mostly injured in the early steps of photodynamic treatment. In a later stage, cytoplasmic and nuclear disintegration are observed. By electronic microscopy the involvement of the endocytic pathway in the incorporation of liposomal 5-aminolevulinic acid into the cells was shown

Time Varying Parameter Models for Inflation and Exchange Rates

Een van de onderwerpen binnen de Econometrie is het zoeken naar de structuur die schuil gaat achter macroeconomische reeksen. Dit proefschrift gaat in op twee van der gelijke reeksen, namelijk inflatie en wisselkoers reeksen. Uiteraard zijn dergelijke reeksen al vele malen geanalyseerd, met wisselend resultaat. In dit proefschrift wordt gepoogd op nieuwe wijze de data te analyseren, waarbij speciaal aandacht is voor modellen met tijdsvariÄerende parameters. Uit de gereedschapskist van de econometrie worden diverse technieken tevoorschijn gehaald die de beste (lees: meest gedetailleerde, waarheidsgetrou we) beschrijving beloven te leveren van de structuren die aan d