scholarly journals Dealing with misspecification in structural macroeconometric models

2021 ◽  
Vol 12 (2) ◽  
pp. 313-350 ◽  
Author(s):  
Fabio Canova ◽  
Christian Matthes
Keyword(s):  
Bayesian Model Averaging ◽  
Mean Squared Error ◽  
Model Averaging ◽  
Monte Carlo Study ◽  
Likelihood Functions ◽  
Output Fluctuations ◽  
Marginal Propensity To Consume ◽  
Composite Models ◽  
Marginal Propensity ◽  
Control Procedures

We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood‐based estimators in mean squared error and composite models are superior to individual models in the Kullback–Leibler sense. We describe Bayesian quasi‐posterior computations and compare our approach to Bayesian model averaging, finite mixture, and robust control procedures. We robustify inference using the composite posterior distribution of the parameters and the pool of models. We provide estimates of the marginal propensity to consume and evaluate the role of technology shocks for output fluctuations.

scholarly journals Evaluation of Surface Upward Longwave Radiation in the CMIP6 Models with Ground and Satellite Observations

2021 ◽  
Vol 13 (21) ◽  
pp. 4464
Author(s):  
Jiawen Xu ◽  
Xiaotong Zhang ◽  
Chunjie Feng ◽  
Shuyue Yang ◽  
Shikang Guan ◽  
...  
Keyword(s):  
General Circulation ◽  
Bayesian Model Averaging ◽  
Mean Squared Error ◽  
Radiant Energy ◽  
Coupled Model ◽  
Model Averaging ◽  
Longwave Radiation ◽  
Energy System ◽  
General Circulation Models ◽  
The Individual

Surface upward longwave radiation (SULR) is an indicator of thermal conditions over the Earth’s surface. In this study, we validated the simulated SULR from 51 Coupled Model Intercomparison Project (CMIP6) general circulation models (GCMs) through a comparison with ground measurements and satellite-retrieved SULR from the Clouds and the Earth’s Radiant Energy System, Energy Balanced and Filled (CERES EBAF). Moreover, we improved the SULR estimations by a fusion of multiple CMIP6 GCMs using multimodel ensemble (MME) methods. Large variations were found in the monthly mean SULR among the 51 CMIP6 GCMs; the bias and root mean squared error (RMSE) of the individual CMIP6 GCMs at 133 sites ranged from −3 to 24 W m−2 and 22 to 38 W m−2, respectively, which were higher than those found between the CERES EBAF and GCMs. The CMIP6 GCMs did not improve the overestimation of SULR compared to the CMIP5 GCMs. The Bayesian model averaging (BMA) method showed better performance in simulating SULR than the individual GCMs and simple model averaging (SMA) method, with a bias of 0 W m−2 and an RMSE of 19.29 W m−2 for the 133 sites. In terms of the global annual mean SULR, our best estimation for the CMIP6 GCMs using the BMA method was 392 W m−2 during 2000–2014. We found that the SULR varied between 386 and 393 W m−2 from 1850 to 2014, exhibiting an increasing tendency of 0.2 W m−2 per decade (p < 0.05).

scholarly journals Inaccuracies with Multimodel Postprocessing Methods Involving Weighted, Regression-Corrected Forecasts

2016 ◽  
Vol 144 (4) ◽  
pp. 1649-1668 ◽  
Author(s):  
Daniel Hodyss ◽  
Elizabeth Satterfield ◽  
Justin McLay ◽  
Thomas M. Hamill ◽  
Michael Scheuerer
Keyword(s):  
Bayesian Model Averaging ◽  
Mean Squared Error ◽  
Low Cost ◽  
Model Averaging ◽  
Real Data ◽  
Direct Application ◽  
Weighted Regression ◽  
Ensemble Forecasts ◽  
Wave Heights ◽  
The Mean

Abstract Ensemble postprocessing is frequently applied to correct biases and deficiencies in the spread of ensemble forecasts. Methods involving weighted, regression-corrected forecasts address the typical biases and underdispersion of ensembles through a regression correction of ensemble members followed by the generation of a probability density function (PDF) from the weighted sum of kernels fit around each corrected member. The weighting step accounts for the situation where the ensemble is constructed from different model forecasts or generated in some way that creates ensemble members that do not represent equally likely states. In the present work, it is shown that an overweighting of climatology in weighted, regression-corrected forecasts can occur when one first performs a regression-based correction before weighting each member. This overweighting of climatology results in an increase in the mean-squared error of the mean of the predicted PDF. The overweighting of climatology is illustrated in a simulation study and a real-data study, where the reference is generated through a direct application of Bayes’s rule. The real-data example is a comparison of a particular method referred to as Bayesian model averaging (BMA) and a direct application of Bayes’s rule for ocean wave heights using U.S. Navy and National Weather Service global deterministic forecasts. This direct application of Bayes’s rule is shown to not overweight climatology and may be a low-cost replacement for the generally more expensive weighted, regression-correction methods.

Selecting Predictors by Using Bayesian Model Averaging in Bridge Models

2012 ◽  
Author(s):  
Lorenzo Bencivelli ◽  
Massimiliano Giuseppe Marcellino ◽  
Gianluca Moretti
Keyword(s):  
Bayesian Model ◽  
Bayesian Model Averaging ◽  
Model Averaging ◽  
Bridge Models

scholarly journals Extrapolating Parametric Survival Models in Health Technology Assessment Using Model Averaging: A Simulation Study

2021 ◽  
Vol 41 (4) ◽  
pp. 476-484
Author(s):  
Daniel Gallacher ◽  
Peter Kimani ◽  
Nigel Stallard
Keyword(s):  
Survival Time ◽  
Survival Data ◽  
Mean Squared Error ◽  
Model Averaging ◽  
Information Criterion ◽  
Health Technology ◽  
Weighted Averaging ◽  
Health Technologies ◽  
Mean Survival Time ◽  
Restricted Mean Survival Time

Previous work examined the suitability of relying on routine methods of model selection when extrapolating survival data in a health technology appraisal setting. Here we explore solutions to improve reliability of restricted mean survival time (RMST) estimates from trial data by assessing model plausibility and implementing model averaging. We compare our previous methods of selecting a model for extrapolation using the Akaike information criterion (AIC) and Bayesian information criterion (BIC). Our methods of model averaging include using equal weighting across models falling within established threshold ranges for AIC and BIC and using BIC-based weighted averages. We apply our plausibility assessment and implement model averaging to the output of our previous simulations, where 10,000 runs of 12 trial-based scenarios were examined. We demonstrate that removing implausible models from consideration reduces the mean squared error associated with the restricted mean survival time (RMST) estimate from each selection method and increases the percentage of RMST estimates that were within 10% of the RMST from the parameters of the sampling distribution. The methods of averaging were superior to selecting a single optimal extrapolation, aside from some of the exponential scenarios where BIC already selected the exponential model. The averaging methods with wide criterion-based thresholds outperformed BIC-weighted averaging in the majority of scenarios. We conclude that model averaging approaches should feature more widely in the appraisal of health technologies where extrapolation is influential and considerable uncertainty is present. Where data demonstrate complicated underlying hazard rates, funders should account for the additional uncertainty associated with these extrapolations in their decision making. Extended follow-up from trials should be encouraged and used to review prices of therapies to ensure a fair price is paid.

scholarly journals KBoost: a new method to infer gene regulatory networks from gene expression data

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Luis F. Iglesias-Martinez ◽  
Barbara De Kegel ◽  
Walter Kolch
Keyword(s):  
Breast Cancer ◽  
Gene Regulatory Networks ◽  
Regulatory Networks ◽  
Bayesian Model Averaging ◽  
Model Averaging ◽  
R Package ◽  
Breast Cancer Patients ◽  
Sources Of Information ◽  
Cancer Subtypes ◽  
Gene Regulatory

AbstractReconstructing gene regulatory networks is crucial to understand biological processes and holds potential for developing personalized treatment. Yet, it is still an open problem as state-of-the-art algorithms are often not able to process large amounts of data within reasonable time. Furthermore, many of the existing methods predict numerous false positives and have limited capabilities to integrate other sources of information, such as previously known interactions. Here we introduce KBoost, an algorithm that uses kernel PCA regression, boosting and Bayesian model averaging for fast and accurate reconstruction of gene regulatory networks. We have benchmarked KBoost against other high performing algorithms using three different datasets. The results show that our method compares favorably to other methods across datasets. We have also applied KBoost to a large cohort of close to 2000 breast cancer patients and 24,000 genes in less than 2 h on standard hardware. Our results show that molecularly defined breast cancer subtypes also feature differences in their GRNs. An implementation of KBoost in the form of an R package is available at: https://github.com/Luisiglm/KBoost and as a Bioconductor software package.

scholarly journals Identification of Mortality Risks in the Advancement of Old Age: Application of Proportional Hazard Models Based on the Stepwise Variable Selection and the Bayesian Model Averaging Approach

Nutrients ◽  
2021 ◽  
Vol 13 (4) ◽  
pp. 1098
Author(s):  
Ewelina Łukaszyk ◽  
Katarzyna Bień-Barkowska ◽  
Barbara Bień
Keyword(s):  
Vitamin D ◽  
Mortality Rate ◽  
Plasma Level ◽  
Variable Selection ◽  
Lymphocyte Count ◽  
Bayesian Model ◽  
Bayesian Model Averaging ◽  
Multivariable Analysis ◽  
Model Averaging ◽  
Nutritional Risk Index

Identifying factors that affect mortality requires a robust statistical approach. This study’s objective is to assess an optimal set of variables that are independently associated with the mortality risk of 433 older comorbid adults that have been discharged from the geriatric ward. We used both the stepwise backward variable selection and the iterative Bayesian model averaging (BMA) approaches to the Cox proportional hazards models. Potential predictors of the mortality rate were based on a broad range of clinical data; functional and laboratory tests, including geriatric nutritional risk index (GNRI); lymphocyte count; vitamin D, and the age-weighted Charlson comorbidity index. The results of the multivariable analysis identified seven explanatory variables that are independently associated with the length of survival. The mortality rate was higher in males than in females; it increased with the comorbidity level and C-reactive proteins plasma level but was negatively affected by a person’s mobility, GNRI and lymphocyte count, as well as the vitamin D plasma level.

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