Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Weighted and two-stage least squares estimation of semiparametric truncated regression models

This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based two-stage least squares estimator for this model, which can be used when some regressors are endogenous, mismeasured, or otherwise correlated with the errors. A simulation study indicates that the new estimators perform well in finite samples. Our limiting distribution theory includes a new asymptotic trimming result addressing the boundary bias in first-stage density estimation without knowledge of the support boundary. © 2007 Cambridge University Press.

Estimation of in-canopy ammonia sources and sinks in a fertilized Zea mays field.

An analytical model was developed to describe in-canopy vertical distribution of ammonia (NH(3)) sources and sinks and vertical fluxes in a fertilized agricultural setting using measured in-canopy mean NH(3) concentration and wind speed profiles. This model was applied to quantify in-canopy air-surface exchange rates and above-canopy NH(3) fluxes in a fertilized corn (Zea mays) field. Modeled air-canopy NH(3) fluxes agreed well with independent above-canopy flux estimates. Based on the model results, the urea fertilized soil surface was a consistent source of NH(3) one month following the fertilizer application, whereas the vegetation canopy was typically a net NH(3) sink with the lower portion of the canopy being a constant sink. The model results suggested that the canopy was a sink for some 70% of the estimated soil NH(3) emissions. A logical conclusion is that parametrization of within-canopy processes in air quality models are necessary to explore the impact of agricultural field level management practices on regional air quality. Moreover, there are agronomic and environmental benefits to timing liquid fertilizer applications as close to canopy closure as possible. Finally, given the large within-canopy mean NH(3) concentration gradients in such agricultural settings, a discussion about the suitability of the proposed model is also presented.

Dominant Splice Site Mutations in PIK3R1 Cause Hyper IgM Syndrome, Lymphadenopathy and Short Stature.

The purpose of this research was to use next generation sequencing to identify mutations in patients with primary immunodeficiency diseases whose pathogenic gene mutations had not been identified. Remarkably, four unrelated patients were found by next generation sequencing to have the same heterozygous mutation in an essential donor splice site of PIK3R1 (NM_181523.2:c.1425 + 1G > A) found in three prior reports. All four had the Hyper IgM syndrome, lymphadenopathy and short stature, and one also had SHORT syndrome. They were investigated with in vitro immune studies, RT-PCR, and immunoblotting studies of the mutation's effect on mTOR pathway signaling. All patients had very low percentages of memory B cells and class-switched memory B cells and reduced numbers of naïve CD4+ and CD8+ T cells. RT-PCR confirmed the presence of both an abnormal 273 base-pair (bp) size and a normal 399 bp size band in the patient and only the normal band was present in the parents. Following anti-CD40 stimulation, patient's EBV-B cells displayed higher levels of S6 phosphorylation (mTOR complex 1 dependent event), Akt phosphorylation at serine 473 (mTOR complex 2 dependent event), and Akt phosphorylation at threonine 308 (PI3K/PDK1 dependent event) than controls, suggesting elevated mTOR signaling downstream of CD40. These observations suggest that amino acids 435-474 in PIK3R1 are important for its stability and also its ability to restrain PI3K activity. Deletion of Exon 11 leads to constitutive activation of PI3K signaling. This is the first report of this mutation and immunologic abnormalities in SHORT syndrome.