Asset pricing in created markets

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system. © 2007 American Agricultural Economics Association.

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.

Similar T-cell immune responses induced by group M consensus env immunogens with wild-type or minimum consensus variable regions.

Consensus HIV-1 genes can decrease the genetic distances between candidate immunogens and field virus strains. To ensure the functionality and optimal presentation of immunologic epitopes, we generated two group-M consensus env genes that contain variable regions either from a wild-type B/C recombinant virus isolate (CON6) or minimal consensus elements (CON-S) in the V1, V2, V4, and V5 regions. C57BL/6 and BALB/c mice were primed twice with CON6, CON-S, and subtype control (92UG37_A and HXB2/Bal_B) DNA and boosted with recombinant vaccinia virus (rVV). Mean antibody titers against 92UG37_A, 89.6_B, 96ZM651_C, CON6, and CON-S Env protein were determined. Both CON6 and CON-S induced higher mean antibody titers against several of the proteins, as compared with the subtype controls. However, no significant differences were found in mean antibody titers in animals immunized with CON6 or CON-S. Cellular immune responses were measured by using five complete Env overlapping peptide sets: subtype A (92UG37_A), subtype B (MN_B, 89.6_B and SF162_B), and subtype C (Chn19_C). The intensity of the induced cellular responses was measured by using pooled Env peptides; T-cell epitopes were identified by using matrix peptide pools and individual peptides. No significant differences in T-cell immune-response intensities were noted between CON6 and CON-S immunized BALB/c and C57BL/6 mice. In BALB/c mice, 10 and eight nonoverlapping T-cell epitopes were identified in CON6 and CON-S, whereas eight epitopes were identified in 92UG37_A and HXB2/BAL_B. In C57BL/6 mice, nine and six nonoverlapping T-cell epitopes were identified after immunization with CON6 and CON-S, respectively, whereas only four and three were identified in 92UG37_A and HXB2/BAL_B, respectively. When combined together from both mouse strains, 18 epitopes were identified. The group M artificial consensus env genes, CON6 and CON-S, were equally immunogenic in breadth and intensity for inducing humoral and cellular immune responses.

Bayesian variable selection in structured high-dimensional covariate spaces with applications in genomics

We consider the problem of variable selection in regression modeling in high-dimensional spaces where there is known structure among the covariates. This is an unconventional variable selection problem for two reasons: (1) The dimension of the covariate space is comparable, and often much larger, than the number of subjects in the study, and (2) the covariate space is highly structured, and in some cases it is desirable to incorporate this structural information in to the model building process. We approach this problem through the Bayesian variable selection framework, where we assume that the covariates lie on an undirected graph and formulate an Ising prior on the model space for incorporating structural information. Certain computational and statistical problems arise that are unique to such high-dimensional, structured settings, the most interesting being the phenomenon of phase transitions. We propose theoretical and computational schemes to mitigate these problems. We illustrate our methods on two different graph structures: the linear chain and the regular graph of degree k. Finally, we use our methods to study a specific application in genomics: the modeling of transcription factor binding sites in DNA sequences. © 2010 American Statistical Association.

Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem

This paper studies the multiplicity-correction effect of standard Bayesian variable-selection priors in linear regression. Our first goal is to clarify when, and how, multiplicity correction happens automatically in Bayesian analysis, and to distinguish this correction from the Bayesian Ockham's-razor effect. Our second goal is to contrast empirical-Bayes and fully Bayesian approaches to variable selection through examples, theoretical results and simulations. Considerable differences between the two approaches are found. In particular, we prove a theorem that characterizes a surprising aymptotic discrepancy between fully Bayes and empirical Bayes. This discrepancy arises from a different source than the failure to account for hyperparameter uncertainty in the empirical-Bayes estimate. Indeed, even at the extreme, when the empirical-Bayes estimate converges asymptotically to the true variable-inclusion probability, the potential for a serious difference remains. © Institute of Mathematical Statistics, 2010.

A dimensionless number for understanding the evolutionary dynamics of antigenically variable RNA viruses.

Antigenically variable RNA viruses are significant contributors to the burden of infectious disease worldwide. One reason for their ubiquity is their ability to escape herd immunity through rapid antigenic evolution and thereby to reinfect previously infected hosts. However, the ways in which these viruses evolve antigenically are highly diverse. Some have only limited diversity in the long-run, with every emergence of a new antigenic variant coupled with a replacement of the older variant. Other viruses rapidly accumulate antigenic diversity over time. Others still exhibit dynamics that can be considered evolutionary intermediates between these two extremes. Here, we present a theoretical framework that aims to understand these differences in evolutionary patterns by considering a virus's epidemiological dynamics in a given host population. Our framework, based on a dimensionless number, probabilistically anticipates patterns of viral antigenic diversification and thereby quantifies a virus's evolutionary potential. It is therefore similar in spirit to the basic reproduction number, the well-known dimensionless number which quantifies a pathogen's reproductive potential. We further outline how our theoretical framework can be applied to empirical viral systems, using influenza A/H3N2 as a case study. We end with predictions of our framework and work that remains to be done to further integrate viral evolutionary dynamics with disease ecology.