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In this article, we aim to show that most of the recent multifactor specifications of the term structure can be traced back to a common general equilibrium model, based on an economy of the Cox, Ingersoll and Ross type. This base model of the term structure has a very general form and includes both square root and Gaussian dynamics of the underlying state variables. We establish a direct link among the state variables used in the different specifications of many multifactor models and analyse the structure of the resultant implied relationships. This technique has relevant implications from a practical point of view, as it can allow one to recover from the estimated coefficients of one model the implied value of the coefficients of other models. Moreover, it provides a way of recovering from the term structure the values of such unobservable variables as the real short rate and the expected inflation rate.(J.E.L.: E43, G12).

Preface -- Contents -- Acronyms -- 1 Bayesian Analysis in Health Economics -- 1.1 Introduction -- 1.2 Bayesian Inference and Computation -- 1.2.1 Bayesian Ideas -- 1.2.2 Specifying a Bayesian Model -- 1.2.3 Bayesian Computation -- 1.3 Basics of Health Economic Evaluation -- 1.4 Doing Bayesian Analysis and Health Economic Evaluation in R -- 1.4.1 Pre-processing the Data -- 1.4.2 Building and Coding the Analysis Model -- 1.4.3 Running the Model -- 1.4.4 Post-processing the Results -- 1.4.5 Performing the Decision Analysis -- 1.4.6 Using BCEA -- References -- 2 Case Studies -- 2.1 Introduction -- 2.2 Preliminaries: Computer Configuration -- 2.2.1 MS Windows Users -- 2.2.2 Linux or Mac OS Users -- 2.3 Vaccine -- 2.3.1 (Bayesian) Statistical Model -- 2.3.2 Economic Model -- 2.4 Smoking Cessation -- 2.4.1 (Bayesian) Statistical Model -- 2.4.2 Economic Model -- References -- 3 BCEA---A R Package for Bayesian Cost-Effectiveness Analysis -- 3.1 Introduction -- 3.2 Economic Analysis: The bcea Function -- 3.2.1 Example: Vaccine -- 3.2.2 Example: Smoking -- 3.3 Basic Health Economic Evaluation: The summary Command -- 3.4 Cost-Effectiveness Plane -- 3.4.1 The ceplane.plot Function -- 3.4.2 ggplot Version of the Cost-Effectiveness Plane -- 3.4.3 Advanced Options for ceplane.plot -- 3.5 Expected Incremental Benefit -- 3.6 Contour Plots -- 3.7 Health Economic Evaluation for Multiple Comparators and the Efficiency Frontier -- References -- 4 Probabilistic Sensitivity Analysis Using BCEA -- 4.1 Introduction -- 4.2 Probabilistic Sensitivity Analysis for Parameter Uncertainty -- 4.2.1 Summary Tables -- 4.2.2 Cost-Effectiveness Acceptability Curve -- 4.3 Value of Information Analysis -- 4.3.1 Expected Value of Perfect Information -- 4.3.2 Expected Value of Perfect Partial Information -- 4.3.3 Approximation Methods for the Computation of the EVPPI