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- Ankargren, Sebastian, et al.
(författare)
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Estimating Large Mixed-Frequency Bayesian VAR Models
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the mixed-frequency data warrant an additional step in the already computationally challenging Markov Chain Monte Carlo algorithm used to sample from the posterior distribution of the parameters. We suggest the use of a factor stochastic volatility model to capture a time-varying error covariance structure. Because the factor stochastic volatility model renders the equations of the VAR conditionally independent, settling for this particular stochastic volatility model comes with major computational benefits. First, we are able to improve upon the mixed-frequency simulation smoothing step by leveraging a univariate and adaptive filtering algorithm. Second, the regression parameters can be sampled equation-by-equation in parallel. These computational features of the model alleviate the computational burden and make it possible to move the mixed-frequency VAR to the high-dimensional regime. We illustrate the model by an application to US data using our mixed-frequency VAR with 20, 34 and 119 variables.
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| 2. |
- Ankargren, Sebastian, et al.
(författare)
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Simulation smoothing for nowcasting with large mixed-frequency VARs
- 2021
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Ingår i: Econometrics and Statistics. - : Elsevier. - 2452-3062. ; 19, s. 97-113
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Tidskriftsartikel (refereegranskat)abstract
- There is currently an increasing interest in large vector autoregressive (VAR) models. VARs are popular tools for macro-economic forecasting and use of larger models has been demonstrated to often improve the forecasting ability compared to more traditional small-scale models. Mixed-frequency VARs deal with data sampled at different frequencies while remaining within the realms of VARs. Estimation of mixed-frequency VARs makes use of simulation smoothing, but using the standard procedure these models quickly become prohibitive in nowcasting situations as the size of the model grows. We propose two algorithms that alleviate the computational efficiency of the simulation smoothing algorithm. Our preferred choice is an adaptive algorithm, which augments the state vector as necessary to sample also monthly variables that are missing at the end of the sample. For large VARs, we find considerable improvements in speed using our adaptive algorithm. The algorithm therefore provides a crucial building block for bringing the mixed-frequency VARs to the high-dimensional regime.
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| 3. |
- Johansson, Per, et al.
(författare)
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Causal inferences and real-world evidence : A comparative effectiveness evaluation of abiraterone acetate against enzalutamide
- 2023
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Ingår i: PLOS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 18:10
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Tidskriftsartikel (refereegranskat)abstract
- Regulatory authorities are recognizing the need for real-world evidence (RWE) as a complement to randomized controlled trials in the approval of drugs. However, RWE needs to be fit for regulatory purposes. There is an ongoing discussion regarding whether pre-publication of a protocol on appropriate repositories, e.g. ClinicalTrials.gov, would increase the quality of RWE or not. This paper illustrates that an observational study based on a pre-published protocol can entail the same level of detail as a protocol for a randomized experiment. The strategy is exemplified by designing a comparative effectiveness evaluation of abiraterone acetate against enzalutamide in clinical practice. These two cancer drugs are prescribed to patients with advanced prostate cancer. Two complementary designs, including pre-analysis plans, were published before data on outcomes and proxy-outcomes were obtained. The underlying assumptions are assessed and both analyses show an increased mortality risk from being prescribed abiraterone acetate compared to enzalutamide.
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| 4. |
- Johansson, Per, et al.
(författare)
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Study protocol for a comparative effectiveness evaluation of abiraterone acetate against enzalutamide : a longitudinal study based on Swedish administrative registers
- 2021
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Ingår i: BMJ Open. - : BMJ Publishing Group Ltd. - 2044-6055. ; 11:10
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Tidskriftsartikel (refereegranskat)abstract
- Introduction This paper presents a study protocol for a comparative effectiveness evaluation of abiraterone acetate against enzalutamide in clinical practice, two cancer drugs given to patients suffering from advanced prostate cancer.Method and analysis The protocol designs a comparative-effectiveness analysis of abiraterone acetate against enzalutamide. With the substantial number of covariates a two-step procedure is suggested in choosing relevant covariates in the matching design. In the first step, an exploratory factor analysis reduces the dimension of a large set of continuous covariates to nine factors. In the second step, we reduce the dimension of the covariates, interactions and second order terms for the continuous covariates using propensity score estimation. The final design makes use of a genetic matching algorithm. The study protocol provides a detailed statistical analysis plan of the analysis sample derived from the matching design. The analysis will make use of linear regression and robust inference adjusted for multisignificance testing.Discussion As in a randomised experiment the focus is on the design of the assignment to treatment. This allows the publication of this preanalysis plan before having access to outcome data. This means that the p values will be correct if the maintained assumption of uncounfoundedness is valid. Given that is p-hacking is substantial problem in empirical research, this is a substantial strength of this study. However, while design yields, balance on the observed covariates one cannot discard the possibility that unobserved confounders are not balanced. For that reason, sensitivity tests for the maintained assumption of uncounfoundedness are presented.Ethics and dissemination The study was approved by the Regional Ethical Review Board in Uppsala, Sweden (Dnr 2017/482). Results will be published in a peer-reviewed journal and distributed to relevant stakeholders in healthcare.
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| 7. |
- Jonéus, Paulina, 1989-
(författare)
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Design and analysis with observational data : Protocols and modeling with the aim of causal inference
- 2023
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of six papers that study the design and analysis with observational data.There is a growing interest in using real-world evidence (RWE) for regulatory purposes. The belief is that observational data can make drug developmentmore efficient and speed up patient access to new drugs. Paper I presents a study protocol for a comparative effectiveness evaluation of two recently reimbursed hormonal treatments (NHTs) given to patients with advanced prostate cancer. The study protocol aims to present the study design, which is done without access to outcome data. Paper II presents the results from the same comparative effectiveness evaluation in clinical practice. The study shows the strength of using a matched sample and IV strategies simultaneously, even though a lack of precision using the IV analysis can be noticed.Paper III presents a study protocol from one of a few comparative effectiveness evaluations of the NHTs against Standard of Care (SoC). Almost no patients were prescribed any of the two drugs before June 2015, as the drugs were yet to be reimbursed, creating a possibility of using historical controls. Paper IV presents the results from the comparative effectiveness evaluation. We cannot rule out that the difference in mortality maybe due to confounding. However, using a bounding strategy of the effect, we do not have sufficient evidence to show that NHT reduces mortality compared to SoC.In Paper V, we investigate how high-dimensional data on healthcare consumption can be used when adjusting for imbalances between groups in an observational study. Our method employs a two-level neural attention model, where it is possible to include high-dimensional daily health data.Paper VI introduces the smooth transition duration model. This model allows for analysis of policy changes when the outcome of interest is the duration until some event and when the policy change introduces different regimes, i.e., before and after the change and in the proposed model, we allow for the change between regimes to be gradual.
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| 9. |
- Jonéus, Paulina, et al.
(författare)
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Novel hormonal therapy versus standard of care : a registry-based comparative effectiveness evaluation for mCRPC-patients
- 2024
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Ingår i: PLOS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 19:2
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Tidskriftsartikel (refereegranskat)abstract
- BackgroundThis paper presents results from one of the few comparative effectiveness evaluations of novel antiandrogen medications (NHT) against standard of care (SoC) for patients suffering from metastatic castrate-resistant prostate cancer (mCRPC).MethodsThe design and the analysis are published in a protocol before accessing outcome data. Two groups of patients are balanced on hundreds of important covariates measured before the prostate cancer diagnosis and up to the date of the prescription. While the design yields balance on the observed covariates, one cannot discard the possibility that unobserved confounders are not balanced. The unconfoundedness assumption is assessed by estimating placebo regressions on two health measures, not included in the design but added together with the outcome data after protocol publication.ResultsWe find a substantial (64 percent) increase in mortality for patients prescribed with NHT rather than SoC. However, based on the results from one of the two placebo regressions, we cannot rule out that the difference in mortality may be due to confounding. Using a bounding strategy of the effect, we can, however, rule out that NHT reduces mortality compared to SoC. Under an empirical valid assumption that most mCRPC patients who die suffer from bone metastases, we have a strong indication of increased skeleton-related events in patients if prescribed NHT against SoC.ConclusionsGenerally, the SoC for this group of patients is docetaxel. Given the substantially higher costs of many of the NHT, the finding of no positive effects from NHT on both mortality and SRE is important. More comparative studies, including studies analysing quality of life outcomes, are thus needed.
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| 10. |
- Jonéus, Paulina, et al.
(författare)
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The deregulation of the Queensland electricity market and a smooth transition duration model
- 2021
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper, we introduce the smooth transition duration model, designed to model the dependence of duration on explanatory variables, allowing the duration time to vary with smooth transitions over different regimes. The proposed model is a generalization of parametric survival regression models and makes it possible to detect a non-linear behaviour when the response of interest is duration time until some event occurs. A Lagrange multiplier (LM) test of the null hypothesis of linearity is derived together with the maximum likelihood estimators of the smooth transition duration model. The practical use of the introduced model is exemplified by assessing the time between abnormal price increases in the electricity spot prices in Queensland, Australia. A deregulation might have led to a change in the behaviour of the market participants and the smooth transition duration model is used to detect and examine such possible transitions. The results show a clear support of a gradual change in the appearance of abnormal price increases.
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