scholarly journals Robust Bayesian Inference for Set‐Identified Models

Econometrica ◽  
2021 ◽  
Vol 89 (4) ◽  
pp. 1519-1556 ◽  
Author(s):  
Raffaella Giacomini ◽  
Toru Kitagawa
Keyword(s):  
Bayesian Inference ◽  
Main Idea ◽  
Reduced Form ◽  
Response Analysis ◽  
Structural Parameter ◽  
Vector Autoregressions ◽  
Finite Samples ◽  
Posterior Inference ◽  
Credible Region ◽  
Robust Bayesian Inference

This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set‐identified models by adopting a multiple‐prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set‐identified models and show that they have a well‐defined posterior interpretation in finite samples and are asymptotically valid from the frequentist perspective. The main idea is to construct a prior class that removes the source of the disagreement: the need to specify an unrevisable prior for the structural parameter given the reduced‐form parameter. The corresponding class of posteriors can be summarized by reporting the ‘posterior lower and upper probabilities’ of a given event and/or the ‘set of posterior means’ and the associated ‘robust credible region’. We show that the set of posterior means is a consistent estimator of the true identified set and the robust credible region has the correct frequentist asymptotic coverage for the true identified set if it is convex. Otherwise, the method provides posterior inference about the convex hull of the identified set. For impulse‐response analysis in set‐identified Structural Vector Autoregressions, the new tools can be used to overcome or quantify the sensitivity of standard Bayesian inference to the choice of an unrevisable prior.

Bayesian jackknife empirical likelihood

Biometrika ◽  
2019 ◽  
Vol 106 (4) ◽  
pp. 981-988
Author(s):  
Y Cheng ◽  
Y Zhao
Keyword(s):  
Bayesian Inference ◽  
Empirical Likelihood ◽  
Small Sample ◽  
New Approach ◽  
U Statistics ◽  
Posterior Inference ◽  
Jackknife Empirical Likelihood ◽  
General Tool ◽  
Control Study ◽  
Better Than

Summary Empirical likelihood is a very powerful nonparametric tool that does not require any distributional assumptions. Lazar (2003) showed that in Bayesian inference, if one replaces the usual likelihood with the empirical likelihood, then posterior inference is still valid when the functional of interest is a smooth function of the posterior mean. However, it is not clear whether similar conclusions can be obtained for parameters defined in terms of $U$-statistics. We propose the so-called Bayesian jackknife empirical likelihood, which replaces the likelihood component with the jackknife empirical likelihood. We show, both theoretically and empirically, the validity of the proposed method as a general tool for Bayesian inference. Empirical analysis shows that the small-sample performance of the proposed method is better than its frequentist counterpart. Analysis of a case-control study for pancreatic cancer is used to illustrate the new approach.

scholarly journals 3DOF Ultrasonic Motor with Two Piezoelectric Rings

Sensors ◽  
2020 ◽  
Vol 20 (3) ◽  
pp. 834 ◽  
Author(s):  
Vytautas Jūrėnas ◽  
Gražvydas Kazokaitis ◽  
Dalius Mažeika
Keyword(s):  
Numerical Simulation ◽  
Magnetic Dipole ◽  
Attitude Control ◽  
Degrees Of Freedom ◽  
High Reliability ◽  
Experimental Studies ◽  
Main Idea ◽  
Ultrasonic Motor ◽  
Response Analysis ◽  
Magnetic Sphere

A novel design of a multiple degrees of freedom (multi-DOF) piezoelectric ultrasonic motor (USM) is presented in the paper. The main idea of the motor design is to combine the magnetic sphere type rotor and two oppositely placed ring-shaped piezoelectric actuators into one mechanism. Such a structure increases impact force and allows rotation of the sphere with higher torque. The main purpose of USM development was to design a motor for attitude control systems used in small satellites. A permanent magnetic sphere with a magnetic dipole is used for orientation and positioning when the sphere is rotated to the desired position and the magnetic field synchronizes with the Earth’s magnetic dipole. Also, the proposed motor can be installed and used for robotic systems, laser beam manipulation, etc. The system has a minimal number of components, small weight, and high reliability. Numerical simulation and experimental studies were used to verify the operating principles of the USM. Numerical simulation of a piezoelectric actuator was used to perform modal frequency and harmonic response analysis. Experimental studies were performed to measure both mechanical and electrical characteristics of the piezoelectric motor.

scholarly journals Vector Autoregressions

2001 ◽  
Vol 15 (4) ◽  
pp. 101-115 ◽  
Author(s):  
James H Stock ◽  
Mark W Watson
Keyword(s):  
Interest Rate ◽  
Policy Analysis ◽  
Reduced Form ◽  
Vector Autoregressions ◽  
Short Term ◽  
Price Inflation ◽  
Structural Inference ◽  
Data Description ◽  
Var Analysis ◽  
Structural Vars

This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy analysis. The paper begins with a review of VAR analysis, highlighting the differences between reduced-form VARs, recursive VARs and structural VARs. A three variable VAR that includes the unemployment rate, price inflation and the short term interest rate is used to show how VAR methods are used for the four tasks. The paper concludes that VARs have proven to be powerful and reliable tools for data description and forecasting, but have been less useful for structural inference and policy analysis.

Common time variation of parameters in reduced-form macroeconomic models

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Dalibor Stevanovic
Keyword(s):  
Time Variation ◽  
Reduced Form ◽  
Time Varying ◽  
Vector Autoregressions ◽  
Macroeconomic Models ◽  
Variation Of Parameters ◽  
Common Time ◽  
Time Varying Parameter ◽  
Low Dimension ◽  
Structural Vector

AbstractStandard time varying parameter (TVP) models usually assume independent stochastic processes. In this paper, I show that the number of underlying sources of parameters’ time variation is likely to be small, and provide empirical evidence for factor structure amongst TVPs of popular macroeconomic models. In order to test for the presence of low dimension sources of time variation in parameters and estimate their magnitudes, I develop the factor time varying parameter (Factor-TVP) framework and apply it to [Primiceri, G.E. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,”

THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST

2009 ◽  
Vol 26 (2) ◽  
pp. 369-382 ◽  
Author(s):  
Patrik Guggenberger
Keyword(s):  
Least Squares ◽  
Hypothesis Test ◽  
Ordinary Least Squares ◽  
Reduced Form ◽  
Structural Parameter ◽  
Ratio Test ◽  
Two Stage ◽  
Weak Instruments ◽  
Asymptotic Size ◽  
The Impact

This paper investigates the asymptotic size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural parameter vector is tested, using a t-statistic that is based on either the ordinary least squares (OLS) or the two-stage least squares estimator (2SLS), depending on the outcome of the Hausman pretest. The asymptotic size of the two-stage test is derived in a model where weak instruments are ruled out by imposing a positive lower bound on the strength of the instruments. The asymptotic size equals 1 for empirically relevant choices of the parameter space. The size distortion is caused by a discontinuity of the asymptotic distribution of the test statistic in the correlation parameter between the structural and reduced form error terms. The Hausman pretest does not have sufficient power against correlations that are local to zero while the OLS-based t-statistic takes on large values for such nonzero correlations. Instead of using the two-stage procedure, the recommendation then is to use a t-statistic based on the 2SLS estimator or, if weak instruments are a concern, the conditional likelihood ratio test by Moreira (2003).

Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany / Bankkredite und geldpolitische Transmission: Eine VECM Analyse für Deutschland

2004 ◽  
Vol 224 (5) ◽  
Author(s):  
Oliver Hülsewig ◽  
Peter Winker ◽  
Andreas Worms
Keyword(s):  
Monetary Policy ◽  
Identification Problem ◽  
Bank Lending ◽  
Bank Loan ◽  
Reduced Form ◽  
Response Analysis ◽  
Credit Channel ◽  
Long Run ◽  
Short Run ◽  
The Impact

SummaryThis paper explores the existence of the credit channel in the transmission of monetary policy in Germany on the basis of a structural analysis of aggregate bank loan data. The empirical analysis is carried out in a vector error correction model (VECM), which allows to identify long-run cointegration relationships that can be interpreted as loan supply and loan demand equations. In this way, the fundamental identification problem inherent in reduced form approaches based on aggregate data is explicitly adressed. The short-run dynamics of the VECM is investigated by means of impulse response analysis, which sets out the impact of a monetary policy shock on the variables in the system. Empirical evidence consistent with the existence of a credit channel operating in Germany alongside the interest rate channel can be reported.

scholarly journals Robust Bayesian Inference of Generalized Pareto Distribution

2016 ◽  
Vol 11 (2) ◽  
pp. 1061-1074
Author(s):  
Fatiha Mokrani ◽  
Hocine Fellag ◽  
Abdelhakim Necir
Keyword(s):  
Bayesian Inference ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Generalized Pareto ◽  
Robust Bayesian Inference

scholarly journals Structural Identification of Masonry Residential Buildings Considering Wall Openings

2020 ◽  
Author(s):  
Burak Toydemir ◽  
Ali Koçak
Keyword(s):  
Numerical Models ◽  
Residential Buildings ◽  
Ambient Vibration ◽  
Response Analysis ◽  
Structural Parameter ◽  
Model Parameters ◽  
Masonry Structures ◽  
Total Strength ◽  
Wall Openings

Although one-story residential masonry structures are thought not to be vulnerable to seismic actions, many heavily damaged and/or collapsed instances of these types of structures have been observed in the past strong earthquake events. Hence, the evaluation of their safety requires much attention in terms of more precise numerical models. In-situ vibration tests together with laboratory tests on masonry specimens provide valuable information for structural parameter identification that can be used to develop accurate numerical models. These numerical models then can be used for evaluation of the response and seismic safety. While many specific methods and parameters can be adopted in numerical modeling, linear material properties of a structure are expedient in response analysis. Hence, an equation to be used to determine the homogenized linear model parameters for masonry walls with openings is proposed in this study. The equation has been developed based on the percentage of the openings on the wall. The effect of wall openings on the stiffness and the total strength of one-story masonry structures have been evaluated by using the experimental data and the calibrated finite element models. In-situ ambient vibration and material tests have been conducted on three masonry buildings with identical materials and the results from these experiments were used to verify the accuracy of the formulation.

scholarly journals Multi-DOF Ultrasonic Actuators for Laser Beam Positioning

2019 ◽  
Vol 2019 ◽  
pp. 1-13 ◽  
Author(s):  
Ramutis Bansevicius ◽  
Dalius Mazeika ◽  
Vytautas Jurenas ◽  
Genadijus Kulvietis ◽  
Asta Drukteiniene
Keyword(s):  
Laser Beam ◽  
Piezoelectric Actuator ◽  
Degrees Of Freedom ◽  
Main Idea ◽  
Piezoelectric Transducers ◽  
Response Analysis ◽  
Numerical Verification ◽  
Physical Prototype ◽  
Harmonic Response Analysis ◽  
Output Characteristics

A novel design concept of multi-degree-of-freedom (multi-DOF) piezoelectric actuator is introduced in the paper. The main idea is to connect two identical piezoelectric transducers by hyperelastic material in order to increase the total number of degrees-of-freedom of the system. Such design principle also allows to separate vibrations of two piezoelectric transducers and to control them independently. The ring- and cylinder-type piezoelectric transducers were used to design two multi-DOF ultrasonic actuators for precise laser beam positioning. Reflecting mirror is mounted on the top of the actuator and is preloaded by magnetic force. Both disc- and cylinder-type actuators can realize up to six degrees-of-freedom, i.e., to rotate the mirror about three axes employing one transducer and to position mirror in the plane by using another transducer. Bidirectional rotation and translation motion of the mirror are obtained by switching excitation signals between different electrodes of the transducers. Both the numerical simulation and physical prototype were used to verify operating principle of the actuators. Numerical investigation of the piezoelectric actuator was performed to investigate modal-frequency and harmonic response analysis while experimental study was performed to measure electrical and mechanical output characteristics of the piezoelectric actuator. A mathematical model of contacting force control was proposed, and numerical verification was performed when the mirror need to be rotated according to the specific motion trajectory.

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