Performance of stock markets is determined by three classes of variables: macroeconomic indicators, industry & firm heterogeneity and third country effects. When assessing performance of a stock market index, impact of industry & firm heterogeneity is marginal as it is already embedded in the index through its constituent companies. This paper will therefore focus on the other two. Chinese stock market was selected as an application as their performance compared to other domestic indicators (mainly GDP growth) is considered inferior by many researchers. Using econometric framework for panel data and a Bayesian extension, the paper estimates multiple models of Chinese stock market performance examining individual determinants of it. Subsequently, it predicts development of theoretical prices of two main Chinese stock indices on two time samples until 2013. The paper then demonstrates underperformance of Chinese stock market by comparing the modeled prices to actual prices realized on the market. JEL Classification C23, C51, C53, G15, G17 Keywords underperformance, panel data, fixed effects model, Bayesian Model Averaging Author's e-mail roman_kovac@ymail.com Supervisor's e-mail karel.bata@seznam.cz

MASTER THESIS Determinants of Economic Growth: A Bayesian Model Averaging Author: Bc. Nikoloz Kudashvili Abstract The paper estimates the economic growth determinants across 72 countries using a Bayesian Model Averaging. Unlike the other studies we include debt to GDP ratio as an explanatory variable among 29 growth determinants. For given values of the other variables debt to GDP ratio up to the threshold level is positively related with the growth rate. The coefficient on the ratio has nearly 0.8 posterior inclusion probability suggesting that debt to GDP ratio is an important long term growth determinant. We find that the initial level of GDP, life expectancy and equipment investments have a strong effect on the GDP per capita growth rate together with the debt to GDP ratio.

In this paper we investigate the economic, political, institutional, and societal factors that encourage entrepreneurial activity. We do so by applying Bayesian Model Averaging, which controls for model uncertainty, to a panel data set for 33 countries. Our results indicate that the general state of macroeconomic activity, the availability of financing, the level of human capital, fiscal policies implemented and the type of economic system are the main determinants of the level of entrepreneurship. We also document a non-linear, U-shaped relation between distortionary taxation and entrepreneurial activity. Keywords: Entrepreneurship, Entrepreneurial Activity, Total Early-Stage Activity (TEA), Global Entrepreneurial Monitor (GEM), Bayesian Model Averaging (BMA), Panel Estimation. JEL Classification: B30, B53, C11, C23, J20, M13, O10, O40

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Bayesian Model Averaging (BMA) is a new area in modern applied statistics that provides data analysts with an efficient tool for discovering promising models and obtaining esti-mates of their posterior probabilities via Markov chain Monte Carlo (MCMC). These probabilities can be further used as weights for model averaged predictions and estimates of the parameters of interest. As a result, variance components due to model selection are estimated and accounted for, contrary to the practice of conventional data analysis (such as, for example, stepwise model selection). In addition, variable activation probabilities can be obtained for each variable of interest. This dissertation is aimed at connecting BMA and various ramifications of the multivari-ate technique called Reduced-Rank Regression (RRR). In particular, we are concerned with Canonical Correspondence Analysis (CCA) in ecological applications where the data are represented by a site by species abundance matrix with site-specific covariates. Our goal is to incorporate the multivariate techniques, such as Redundancy Analysis and Ca-nonical Correspondence Analysis into the general machinery of BMA, taking into account such complicating phenomena as outliers and clustering of observations within a single data-analysis strategy. Traditional implementations of model averaging are concerned with selection of variables. We extend the methodology of BMA to selection of subgroups of observations and im-plement several approaches to cluster and outlier analysis in the context of the multivari-ate regression model. The proposed algorithm of cluster analysis can accommodate re-strictions on the resulting partition of observations when some of them form sub-clusters that have to be preserved when larger clusters are formed. / Ph. D.

Ecological data is often fraught with many problems such as Missing Data and Spatial Correlation. In this dissertation we use a data set collected by the Ohio EPA as motivation for studying techniques to address these problems. The data set is concerned with the benthic health of Ohio's waterways. A new method for incorporating covariate structure and missing data mechanisms into missing data analysis is considered. This method allows us to detect relationships other popular methods do not allow. We then further extend this method into model selection. In the special case where the unobserved covariates are assumed normally distributed we use the Bayesian Model Averaging method to average the models, select the highest probability model and do variable assessment. Accuracy in calculating the posterior model probabilities using the Laplace approximation and an approximation based on the Bayesian Information Criterion (BIC) are explored. It is shown that the Laplace approximation is superior to the BIC based approximation using simulation. Finally, Hierarchical Spatial Linear Models are considered for the data and we show how to combine analysis which have spatial correlation within and between clusters. / Ph. D.

Mettre en place des mesures de protection efficaces contre la dégradation et la fragmentation de l'habitat d'une espèce nécessite d'être capable de comprendre l'impact de l'environnement sur sa dynamique de population ainsi que sa sensibilité à la perte de connectivité entre les populations. Obtenir ces informations est déjà un défi en soi, qui se complique encore pour les espèces trop sensibles au dérangement pour être suivies de manière classique. Lors de ce travail, nous avons étudié la dynamique et la génétique des populations d'une chauve-souris forestière qui a subi un très fort déclin dans le nord de l'Europe, le Petit rhinolophe (Rhinolophus hipposideros), à l'aide de méthodes non-invasives (comptages, génétique non-invasive).Nos résultats ont montré que le climat et le paysage autour des colonies de maternités influence la taille et la dynamique des populations du Petit rhinolophe. Nous avons également confirmé un impact direct du paysage sur la survie des juvéniles. Enfin, nous avons observé que la diversité génétique des populations pouvait être fortement diminuée par leurs histoires démographiques et par un manque de connectivité entre les populations. Ces résultats ont des implications directes pour la conservation du Petit rhinolophe mais aussi pour le développement des analyses intégrant des données de génétique non-invasive pour la biologie de la conservation. / Efficient conservation management against habitat degradation and fragmentation of a species requires understanding how the environment impacts its population dynamics and the species’ sensitivity to connectivity loss. Acquiring sufficient knowledge about these processes is challenging for any species, and is even more complicated for species too sensitive to be studied with classical methods. During this work, we studied the population dynamics and genetics of a woodland specialized bat who has undergone a serious decline in the north of Europe, the lesser horseshoe bat (Rhinolophus hipposideros), with non-invasive methods (counts, non-invasive genetics).Our results shown that climate and landscape around maternity colonies explain population size variations and dynamics of the lesser horseshoe bat. We also confirmed a direct impact of landscape on juvenile survival. We finally observed that genetic diversity could be strongly decreased by population history and a lack of connectivity between populations. Our results have direct implications for the lesser horseshoe bat conservation but also for the development of analyses integrating non-invasive genetic data in conservation biology.

L’objectif de cette thèse est la mise en place d’un Système d’Alerte Précoce comme instrument de prévision de la survenance des crises bancaires et des crises de la dette souveraine dans 48 pays de 1977 à 2010. Il s’agit à la fois d’identifier les facteurs capables de prédire ces événements et ceux annonçant leurs interactions éventuelles. La présente étude propose une approche à la fois originale et robuste qui tient compte de l’incertitude des modèles et des paramètres par la méthode de combinaison bayésienne des modèles de régression ou Bayesian Model Averaging (BMA). Nos résultats montrent que les avoirs étrangers nets en pourcentage du total des actifs, la dette à court terme en pourcentage des réserves totales et enfin la dette publique en pourcentage du PIB ont un pouvoir prédictif élevé pour expliquer les crises de la dette souveraine pour plusieurs pays. De plus, la croissance de l’activité et du crédit bancaire, le degré de libéralisation financière et le poids de la dette extérieure sont des signaux décisifs des crises bancaires. Notre approche offre le meilleur compromis entre les épisodes manqués et les fausses alertes. Enfin, nous étudions le lien entre les crises bancaires et les crises de la dette souveraine pour 62 pays de 1970 à 2011, en développant une approche basée sur un modèle Vecteur Auto-Régressif (VAR). Nos estimations montrent une relation significative et bidirectionnelle entre les deux types d’évènements. / The main purpose of this thesis is the development of an Early Warning System to predict banking and sovereign debt crises in 48 countries from 1977 to 2010. We are interested in identifying both factors that predict these events and those announcing their possible interactions. In particular, our empirical works provide an original and robust approach accounting for model and parameter uncertainty by means of the Bayesian Model Averaging method. Our results show that: Net foreign assets to total assets, short term debt to total reserves, and public debt to GDP have a high predictive power to signal sovereign debt crises in many countries. Furthermore, the growth rates of economic activity and credit, financial liberalization, and the external indebtedness are decisive signals of banking crises. Our approach offers the best compromise between missed episodes and false alarms. Finally, we study the link between banking and sovereign debt crises for 62 countries from 1970 to 2011 by developing an approach based on a Vector Autoregressive model (VAR). Our estimates show a significant two-way relationship between the two types of events.

Groundwater is a major source of water supply, and aquifers form major storage reservoirs as well as water conveyance systems, worldwide. The viability of groundwater as a source of water to the world's population is threatened by overexploitation and contamination. The rational management of water resource systems requires an understanding of their response to existing and planned schemes of exploitation, pollution prevention and/or remediation. Such understanding requires the collection of data to help characterize the system and monitor its response to existing and future stresses. It also requires incorporating such data in models of system makeup, water flow and contaminant transport. As the collection of subsurface characterization and monitoring data is costly, it is imperative that the design of corresponding data collection schemes is cost-effective. A major benefit of new data is its potential to help improve one's understanding of the system, in large part through a reduction in model predictive uncertainty and corresponding risk of failure. Traditionally, value-of-information or data-worth analyses have relied on a single conceptual-mathematical model of site hydrology with prescribed parameters. Yet there is a growing recognition that ignoring model and parameter uncertainties render model predictions prone to statistical bias and underestimation of uncertainty. This has led to a recent emphasis on conducting hydrologic analyses and rendering corresponding predictions by means of multiple models. We develop a theoretical framework of data worth analysis considering model uncertainty, parameter uncertainty and potential sample value uncertainty. The framework entails Bayesian Model Averaging (BMA) with emphasis on its Maximum Likelihood version (MLBMA). An efficient stochastic optimization method, called Differential Evolution Method (DEM), is explored to aid in the design of optimal sampling schemes aiming at maximizing data worth. A synthetic case entailing generated log hydraulic conductivity random fields is used to illustrate the procedure. The proposed data worth analysis framework is applied to field pneumatic permeability data collected from unsaturated fractured tuff at the Apache Leap Research Site (ALRS) near Superior, Arizona.

We develop and test a probabilistic real-time streamflow-forecasting platform, Multimodel and Multiproduct Streamflow Forecasting (MMSF), that uses information provided by a suite of hydrologic models and satellite precipitation products (SPPs). The SPPs are bias-corrected before being used as inputs to the hydrologic models, and model calibration is carried out independently for each of the model-product combinations (MPCs). Forecasts generated from the calibrated models are further bias-corrected to compensate for the deficiencies within the models, and then probabilistically merged using a variety of model averaging techniques. Use of bias-corrected SPPs in streamflow forecasting applications can overcome several issues associated with sparsely gauged basins and enable robust forecasting capabilities. Bias correction of streamflow significantly improves the forecasts in terms of accuracy and precision for all different cases considered. Results show that the merging of individual forecasts from different MPCs provides additional improvements. All the merging techniques applied in this study produce similar results, however, the Inverse Weighted Averaging (IVA) proves to be slightly superior in most cases. We demonstrate the implementation of the MMSF platform for real-time streamflow monitoring and forecasting in the Mara River basin of Africa (Kenya & Tanzania) in order to provide improved monitoring and forecasting tools to inform water management decisions.