Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Search for the Higgs boson produced in association with Z→ℓ+ℓ- using the matrix element method at CDF II

We present a search for associated production of the standard model (SM) Higgs boson and a $Z$ boson where the $Z$ boson decays to two leptons and the Higgs decays to a pair of $b$ quarks in $p\bar{p}$ collisions at the Fermilab Tevatron. We use event probabilities based on SM matrix elements to construct a likelihood function of the Higgs content of the data sample. In a CDF data sample corresponding to an integrated luminosity of 2.7 fb$^{-1}$ we see no evidence of a Higgs boson with a mass between 100 GeV$/c^2$ and 150 GeV$/c^2$. We set 95% confidence level (C.L.) upper limits on the cross-section for $ZH$ production as a function of the Higgs boson mass $m_H$; the limit is 8.2 times the SM prediction at $m_H = 115$ GeV$/c^2$.

Measurement of the WW+WZ production cross section using a matrix element technique in lepton+jets events

We present a measurement of the $WW+WZ$ production cross section observed in a final state consisting of an identified electron or muon, two jets, and missing transverse energy. The measurement is carried out in a data sample corresponding to up to 4.6~fb$^{-1}$ of integrated luminosity at $\sqrt{s} = 1.96$ TeV collected by the CDF II detector. Matrix element calculations are used to separate the diboson signal from the large backgrounds. The $WW+WZ$ cross section is measured to be $17.4\pm3.3$~pb, in agreement with standard model predictions. A fit to the dijet invariant mass spectrum yields a compatible cross section measurement.

Top Quark Mass Measurement in the lepton+jets Channel Using a Matrix Element Method and in situ Jet Energy Calibration

A precision measurement of the top quark mass m_t is obtained using a sample of ttbar events from ppbar collisions at the Fermilab Tevatron with the CDF II detector. Selected events require an electron or muon, large missing transverse energy, and exactly four high-energy jets, at least one of which is tagged as coming from a b quark. A likelihood is calculated using a matrix element method with quasi-Monte Carlo integration taking into account finite detector resolution and jet mass effects. The event likelihood is a function of m_t and a parameter DJES to calibrate the jet energy scale /in situ/. Using a total of 1087 events, a value of m_t = 173.0 +/- 1.2 GeV/c^2 is measured.

Top quark mass measurement in the lepton plus jets channel using a modified matrix element method

We report a measurement of the top quark mass, m_t, obtained from ppbar collisions at sqrt(s) = 1.96 TeV at the Fermilab Tevatron using the CDF II detector. We analyze a sample corresponding to an integrated luminosity of 1.9 fb^-1. We select events with an electron or muon, large missing transverse energy, and exactly four high-energy jets in the central region of the detector, at least one of which is tagged as coming from a b quark. We calculate a signal likelihood using a matrix element integration method, with effective propagators to take into account assumptions on event kinematics. Our event likelihood is a function of m_t and a parameter JES that determines /in situ/ the calibration of the jet energies. We use a neural network discriminant to distinguish signal from background events. We also apply a cut on the peak value of each event likelihood curve to reduce the contribution of background and badly reconstructed events. Using the 318 events that pass all selection criteria, we find m_t = 172.7 +/- 1.8 (stat. + JES) +/- 1.2 (syst.) GeV/c^2.

Top quark mass measurement in the tt̅ all hadronic channel using a matrix element technique in pp̅ collisions at √s=1.96 TeV

We present a measurement of the top quark mass in the all-hadronic channel (\tt $\to$ \bb$q_{1}\bar{q_{2}}q_{3}\bar{q_{4}}$) using 943 pb$^{-1}$ of \ppbar collisions at $\sqrt {s} = 1.96$ TeV collected at the CDF II detector at Fermilab (CDF). We apply the standard model production and decay matrix-element (ME) to $\ttbar$ candidate events. We calculate per-event probability densities according to the ME calculation and construct template models of signal and background. The scale of the jet energy is calibrated using additional templates formed with the invariant mass of pairs of jets. These templates form an overall likelihood function that depends on the top quark mass and on the jet energy scale (JES). We estimate both by maximizing this function. Given 72 observed events, we measure a top quark mass of 171.1 $\pm$ 3.7 (stat.+JES) $\pm$ 2.1 (syst.) GeV/$c^{2}$. The combined uncertainty on the top quark mass is 4.3 GeV/$c^{2}$.

The role of inflammation and matrix proteins in airway remodelling

Asthma is a chronic inflammatory disorder of the airways. Remodelling in asthma is defined as the structural changes seen in the airways of asthmatics in comparison to healthy controls. Progressive loss of lung function also seen in asthma might be caused by remodelling. The research aims of this thesis were to investigate inflammation and remodelling in the airways of different types of asthmatics and smokers. The association between inflammation and remodelling was also examined in a mouse model of allergic airway inflammation. Healthy smokers showed increased numbers of macrophages in the BAL with no changes in the inflammatory cells in biopsies. Macrophages seemed to be quite quiescent, since mRNA expression for a wide variety of inflammatory mediators, especially chemokines CCL3, CCL4, CCL5 and CCL20, secreted by macrophages was significantly lower than in healthy non-smokers. Attenuated macrophage activity in the airway lumen may render smokers more susceptible to airway infections and have an impact on the development of other airway pathology. Patients with diisocyanate-induced asthma (DIA) on inhaled corticosteroids (ICS) who still had non-specific bronchial hyperreactivity (NSBHR) at the end of the follow-up showed increased expression of TNF-α, IL-6 and IL-15 mRNA in BAL cells compared to those without NSBHR. In addition to being markers for poor prognosis and possible slight glucocorticoid resistance, these cytokines might aid in guiding the treatment of DIA. The increase in the thickness of tenascin-C layer in the bronchial basement membrane (BM) was much less than usually seen in other types of asthma, which might not make tenascin-C a good marker for DIA. OVA-induced tenascin-C expression in the lung was attenuated in STAT4-/- mice with impaired Th1-type immunity compared to WT mice. Interestingly, STAT6-/- mice with impaired Th2-type immunity showed tenascin-C expression levels similar to those of WT mice. The clearest difference between these two knockout strains in response to OVA was that STAT4-/- mice exhibited no upregulation of IFN-γ and TNF-α mRNA expression. Thus, tenascin-C expression was unexpectedly more related to Th1 type reactions. In vitro studies confirmed the results. Human fibroblasts stimulated by TNF-α and IFN-γ showed increased expression of tenascin-C. Patients with newly diagnosed asthma showed increased expression of laminin α2 in the bronchial BM in comparison to patients with asthma symptoms only and healthy controls. Both patients with asthma and those with only asthma symptoms showed increased expression of the laminin β2 chain in comparison to controls. Thus, laminin α2 expression differentiated patients with clinical asthma from patients with symptoms only. Furthermore, the expression of laminin α2 and β2 was associated with NSBHR, linking very specific remodelling events to clinical findings.