Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Association between DNA damage response and repair genes and risk of invasive serous ovarian cancer.

BACKGROUND: We analyzed the association between 53 genes related to DNA repair and p53-mediated damage response and serous ovarian cancer risk using case-control data from the North Carolina Ovarian Cancer Study (NCOCS), a population-based, case-control study. METHODS/PRINCIPAL FINDINGS: The analysis was restricted to 364 invasive serous ovarian cancer cases and 761 controls of white, non-Hispanic race. Statistical analysis was two staged: a screen using marginal Bayes factors (BFs) for 484 SNPs and a modeling stage in which we calculated multivariate adjusted posterior probabilities of association for 77 SNPs that passed the screen. These probabilities were conditional on subject age at diagnosis/interview, batch, a DNA quality metric and genotypes of other SNPs and allowed for uncertainty in the genetic parameterizations of the SNPs and number of associated SNPs. Six SNPs had Bayes factors greater than 10 in favor of an association with invasive serous ovarian cancer. These included rs5762746 (median OR(odds ratio)(per allele) = 0.66; 95% credible interval (CI) = 0.44-1.00) and rs6005835 (median OR(per allele) = 0.69; 95% CI = 0.53-0.91) in CHEK2, rs2078486 (median OR(per allele) = 1.65; 95% CI = 1.21-2.25) and rs12951053 (median OR(per allele) = 1.65; 95% CI = 1.20-2.26) in TP53, rs411697 (median OR (rare homozygote) = 0.53; 95% CI = 0.35 - 0.79) in BACH1 and rs10131 (median OR( rare homozygote) = not estimable) in LIG4. The six most highly associated SNPs are either predicted to be functionally significant or are in LD with such a variant. The variants in TP53 were confirmed to be associated in a large follow-up study. CONCLUSIONS/SIGNIFICANCE: Based on our findings, further follow-up of the DNA repair and response pathways in a larger dataset is warranted to confirm these results.

Polymorphisms in the kinesin-like factor 1 B gene and risk of epithelial ovarian cancer in Eastern Chinese women.

The kinesin-like factor 1 B (KIF1B) gene plays an important role in the process of apoptosis and the transformation and progression of malignant cells. Genetic variations in KIF1B may contribute to risk of epithelial ovarian cancer (EOC). In this study of 1,324 EOC patients and 1,386 cancer-free female controls, we investigated associations between two potentially functional single nucleotide polymorphisms in KIF1B and EOC risk by the conditional logistic regression analysis. General linear regression model was used to evaluate the correlation between the number of variant alleles and KIF1B mRNA expression levels. We found that the rs17401966 variant AG/GG genotypes were significantly associated with a decreased risk of EOC (adjusted odds ratio (OR) = 0.81, 95 % confidence interval (CI) = 0.68-0.97), compared with the AA genotype, but no associations were observed for rs1002076. Women who carried both rs17401966 AG/GG and rs1002076 AG/AA genotypes of KIF1B had a 0.82-fold decreased risk (adjusted 95 % CI = 0.69-0.97), compared with others. Additionally, there was no evidence of possible interactions between about-mentioned co-variants. Further genotype-phenotype correlation analysis indicated that the number of rs17401966 variant G allele was significantly associated with KIF1B mRNA expression levels (P for GLM = 0.003 and 0.001 in all and Chinese subjects, respectively), with GG carriers having the lowest level of KIF1B mRNA expression. Taken together, the rs17401966 polymorphism likely regulates KIF1B mRNA expression and thus may be associated with EOC risk in Eastern Chinese women. Larger, independent studies are warranted to validate our findings.

Essays on Microeconometrics

My dissertation has three chapters which develop and apply microeconometric tech- niques to empirically relevant problems. All the chapters examines the robustness issues (e.g., measurement error and model misspecification) in the econometric anal- ysis. The first chapter studies the identifying power of an instrumental variable in the nonparametric heterogeneous treatment effect framework when a binary treat- ment variable is mismeasured and endogenous. I characterize the sharp identified set for the local average treatment effect under the following two assumptions: (1) the exclusion restriction of an instrument and (2) deterministic monotonicity of the true treatment variable in the instrument. The identification strategy allows for general measurement error. Notably, (i) the measurement error is nonclassical, (ii) it can be endogenous, and (iii) no assumptions are imposed on the marginal distribution of the measurement error, so that I do not need to assume the accuracy of the measure- ment. Based on the partial identification result, I provide a consistent confidence interval for the local average treatment effect with uniformly valid size control. I also show that the identification strategy can incorporate repeated measurements to narrow the identified set, even if the repeated measurements themselves are endoge- nous. Using the the National Longitudinal Study of the High School Class of 1972, I demonstrate that my new methodology can produce nontrivial bounds for the return to college attendance when attendance is mismeasured and endogenous.

The second chapter, which is a part of a coauthored project with Federico Bugni, considers the problem of inference in dynamic discrete choice problems when the structural model is locally misspecified. We consider two popular classes of estimators for dynamic discrete choice models: K-step maximum likelihood estimators (K-ML) and K-step minimum distance estimators (K-MD), where K denotes the number of policy iterations employed in the estimation problem. These estimator classes include popular estimators such as Rust (1987)’s nested fixed point estimator, Hotz and Miller (1993)’s conditional choice probability estimator, Aguirregabiria and Mira (2002)’s nested algorithm estimator, and Pesendorfer and Schmidt-Dengler (2008)’s least squares estimator. We derive and compare the asymptotic distributions of K- ML and K-MD estimators when the model is arbitrarily locally misspecified and we obtain three main results. In the absence of misspecification, Aguirregabiria and Mira (2002) show that all K-ML estimators are asymptotically equivalent regardless of the choice of K. Our first result shows that this finding extends to a locally misspecified model, regardless of the degree of local misspecification. As a second result, we show that an analogous result holds for all K-MD estimators, i.e., all K- MD estimator are asymptotically equivalent regardless of the choice of K. Our third and final result is to compare K-MD and K-ML estimators in terms of asymptotic mean squared error. Under local misspecification, the optimally weighted K-MD estimator depends on the unknown asymptotic bias and is no longer feasible. In turn, feasible K-MD estimators could have an asymptotic mean squared error that is higher or lower than that of the K-ML estimators. To demonstrate the relevance of our asymptotic analysis, we illustrate our findings using in a simulation exercise based on a misspecified version of Rust (1987) bus engine problem.

The last chapter investigates the causal effect of the Omnibus Budget Reconcil- iation Act of 1993, which caused the biggest change to the EITC in its history, on unemployment and labor force participation among single mothers. Unemployment and labor force participation are difficult to define for a few reasons, for example, be- cause of marginally attached workers. Instead of searching for the unique definition for each of these two concepts, this chapter bounds unemployment and labor force participation by observable variables and, as a result, considers various competing definitions of these two concepts simultaneously. This bounding strategy leads to partial identification of the treatment effect. The inference results depend on the construction of the bounds, but they imply positive effect on labor force participa- tion and negligible effect on unemployment. The results imply that the difference- in-difference result based on the BLS definition of unemployment can be misleading

due to misclassification of unemployment.

Contributions of Dorsal/Ventral Hippocampus and Dorsolateral/Dorsomedial Striatum to Interval Timing

Humans and animals have remarkable capabilities in keeping time and using time as a guide to orient their learning and decision making. Psychophysical models of timing and time perception have been proposed for decades and have received behavioral, anatomical and pharmacological data support. However, despite numerous studies that aimed at delineating the neural underpinnings of interval timing, a complete picture of the neurobiological network of timing in the seconds-to-minutes range remains elusive. Based on classical interval timing protocols and proposing a Timing, Immersive Memory and Emotional Regulation (TIMER) test battery, the author investigates the contributions of the dorsal and ventral hippocampus as well as the dorsolateral and the dorsomedial striatum to interval timing by comparing timing performances in mice after they received cytotoxic lesions in the corresponding brain regions. On the other hand, a timing-based theoretical framework for the emergence of conscious experience that is closely related to the function of the claustrum is proposed so as to serve both biological guidance and the research and evolution of “strong” artificial intelligence. Finally, a new “Double Saturation Model of Interval Timing” that integrates the direct- and indirect- pathways of striatum is proposed to explain the set of empirical findings.