Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted‐average least squares (WALS) is a recent model‐average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications. 相似文献
This article combines cointegrated VAR modelling with basic neoclassical production microeconomics in a new way that tests for, and illuminates the empirical nature of, the monthly US pork processing sector’s factor demand for slaughtered pork. Statistical evidence strongly suggests that the US pork processing sector has a Hicksian Cobb–Douglas slaughtered pork demand that arises from applying Shephard’s lemma to the sector’s cost function and that US pork processors treat slaughtered pork and related futures positions as close factor substitutes. In the wake of major and ongoing futures market events and trends, this study establishes and statistically tests a theoretical link between futures price movements and impacts on the underlying slaughtered pork market through monthly formation of US pork processors’ factor demand for slaughtered pork. Evidence suggests that demand agents shift between demands for the two substitutes based on movements in the slaughter/futures price ratio that results in a market-stabilizing cushion against sharp pork price movements such as those observed in the late-1990s. Statistical and diagnostic evidence suggests that our modelled non-experimental data and estimated Hicksian demand that arose from the cointegrated VAR model’s cointegration space met Haavelmo’s setting of passive variables and associated ceteris paribus conditions. 相似文献
Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in macroeconomics, however, many candidate explanatory variables are available and the number of possible models becomes too large for DMA to be applied in its original form. We propose a new method for this situation which allows us to perform DMA without considering the whole model space, but using a subset of models and dynamically optimizing the choice of models at each point in time. This yields a dynamic form of Occam׳s window. We evaluate the method in the context of the problem of nowcasting GDP in the Euro area. We find that its forecasting performance compares well with that of other methods. 相似文献
Objective: The objective of this study was to assess the cost of hypoglycemic events among insulin-treated patients with diabetes and the potential cost savings to a hypothetical US health plan and employer of reducing hypoglycemic events with a device intervention.
Methods: A cost-calculator model was developed to estimate the direct costs of hypoglycemic events, accounting for diabetes type, age, and event severity. Model inputs were derived from published incidence rates of hypoglycemic events and direct medical costs. Assumed intervention efficacy was based on published studies of an emerging technology which yielded 72.2% (LGS Trial; ACTRN12610000024044) and 31.8% (ASPIRE Trial; NCT01497938) reductions in severe and non-severe hypoglycemic events, respectively. Model outcomes—including the number of severe (requiring medical assistance) and non-severe events, and direct/indirect medical costs (excluding intervention costs)—were evaluated over a 1-year period for a hypothetical health plan and employer perspectives.
Results: In a health plan with 10 million enrollees, patients without the intervention would have experienced 0.09 and 14.60 severe and non-severe hypoglycemic events per patient per year (PPPY), respectively (vs 0.02 severe and 9.96 non-severe events with the intervention). This translated into total direct medical cost savings of $45 million ($177 PPPY) for the health plan. For an employer with 100,000 employees, the intervention would have yielded additional savings of $492 PPPY in indirect costs.
Conclusion: Insulin-treated patients experience hypoglycemic events, which are associated with substantial direct and indirect medical costs. The cost savings of reducing hypoglycemic events need to be weighed against the costs of using diabetes device interventions. 相似文献