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.

Comparative effectiveness studies to improve clinical outcomes in end stage renal disease: the DEcIDE patient outcomes in end stage renal disease study.

BACKGROUND: Evidence is lacking to inform providers' and patients' decisions about many common treatment strategies for patients with end stage renal disease (ESRD). METHODS/DESIGN: The DEcIDE Patient Outcomes in ESRD Study is funded by the United States (US) Agency for Health Care Research and Quality to study the comparative effectiveness of: 1) antihypertensive therapies, 2) early versus later initiation of dialysis, and 3) intravenous iron therapies on clinical outcomes in patients with ESRD. Ongoing studies utilize four existing, nationally representative cohorts of patients with ESRD, including (1) the Choices for Healthy Outcomes in Caring for ESRD study (1041 incident dialysis patients recruited from October 1995 to June 1999 with complete outcome ascertainment through 2009), (2) the Dialysis Clinic Inc (45,124 incident dialysis patients initiating and receiving their care from 2003-2010 with complete outcome ascertainment through 2010), (3) the United States Renal Data System (333,308 incident dialysis patients from 2006-2009 with complete outcome ascertainment through 2010), and (4) the Cleveland Clinic Foundation Chronic Kidney Disease Registry (53,399 patients with chronic kidney disease with outcome ascertainment from 2005 through 2009). We ascertain patient reported outcomes (i.e., health-related quality of life), morbidity, and mortality using clinical and administrative data, and data obtained from national death indices. We use advanced statistical methods (e.g., propensity scoring and marginal structural modeling) to account for potential biases of our study designs. All data are de-identified for analyses. The conduct of studies and dissemination of findings are guided by input from Stakeholders in the ESRD community. DISCUSSION: The DEcIDE Patient Outcomes in ESRD Study will provide needed evidence regarding the effectiveness of common treatments employed for dialysis patients. Carefully planned dissemination strategies to the ESRD community will enhance studies' impact on clinical care and patients' outcomes.

Adrenergic receptors. Models for regulation of signal transduction processes.

Adrenergic receptors are prototypic models for the study of the relations between structure and function of G protein-coupled receptors. Each receptor is encoded by a distinct gene. These receptors are integral membrane proteins with several striking structural features. They consist of a single subunit containing seven stretches of 20-28 hydrophobic amino acids that represent potential membrane-spanning alpha-helixes. Many of these receptors share considerable amino acid sequence homology, particularly in the transmembrane domains. All of these macromolecules share other similarities that include one or more potential sites of extracellular N-linked glycosylation near the amino terminus and several potential sites of regulatory phosphorylation that are located intracellularly. By using a variety of techniques, it has been demonstrated that various regions of the receptor molecules are critical for different receptor functions. The seven transmembrane regions of the receptors appear to form a ligand-binding pocket. Cysteine residues in the extracellular domains may stabilize the ligand-binding pocket by participating in disulfide bonds. The cytoplasmic domains contain regions capable of interacting with G proteins and various kinases and are therefore important in such processes as signal transduction, receptor-G protein coupling, receptor sequestration, and down-regulation. Finally, regions of these macromolecules may undergo posttranslational modifications important in the regulation of receptor function. Our understanding of these complex relations is constantly evolving and much work remains to be done. Greater understanding of the basic mechanisms involved in G protein-coupled, receptor-mediated signal transduction may provide leads into the nature of certain pathophysiological states.

Structural basis of beta-adrenergic receptor subtype specificity studied with chimeric beta 1/beta 2-adrenergic receptors.

The beta 1- and beta 2-adrenergic receptors are two structurally related, but pharmacologically distinguishable, receptor subtypes, both of which activate adenylyl cyclase in a catecholamine-dependent manner through the guanine nucleotide-binding regulatory protein Gs. The receptors are approximately 50% identical in amino acid sequence and each is characterized by the presence of seven putative transmembrane domains. To elucidate the structural basis for the pharmacological distinctions between these two receptor subtypes, we constructed a series of chimeric beta 1/beta 2-adrenergic receptor genes and expressed them by injection of RNA into Xenopus laevis oocytes. The pharmacological properties of the expressed chimeric receptor proteins were assessed by radioligand binding and adenylyl cyclase assays utilizing subtype-selective agonists and antagonists. Our data indicate that transmembrane region IV is largely responsible for determining beta 1 vs. beta 2 properties with respect to agonist binding (relative affinities for epinephrine and norepinephrine). Transmembrane regions VI and VII play an important role in determining binding of beta 1 vs. beta 2 selective antagonists. However, a number of the other transmembrane regions also contribute, to a lesser extent, to the determination of beta-adrenergic receptor subtype specificity for agonists and antagonists. Thus, several of the membrane-spanning regions appear to be involved in the determination of receptor subtype specificity, presumably by formation of a ligand-binding pocket, with determinants for agonist and antagonist binding being distinguishable.

Bayesian Gaussian Copula Factor Models for Mixed Data.

Gaussian factor models have proven widely useful for parsimoniously characterizing dependence in multivariate data. There is a rich literature on their extension to mixed categorical and continuous variables, using latent Gaussian variables or through generalized latent trait models acommodating measurements in the exponential family. However, when generalizing to non-Gaussian measured variables the latent variables typically influence both the dependence structure and the form of the marginal distributions, complicating interpretation and introducing artifacts. To address this problem we propose a novel class of Bayesian Gaussian copula factor models which decouple the latent factors from the marginal distributions. A semiparametric specification for the marginals based on the extended rank likelihood yields straightforward implementation and substantial computational gains. We provide new theoretical and empirical justifications for using this likelihood in Bayesian inference. We propose new default priors for the factor loadings and develop efficient parameter-expanded Gibbs sampling for posterior computation. The methods are evaluated through simulations and applied to a dataset in political science. The models in this paper are implemented in the R package bfa.

Impact of coverage-dependent marginal costs on optimal HPV vaccination strategies.

The effectiveness of vaccinating males against the human papillomavirus (HPV) remains a controversial subject. Many existing studies conclude that increasing female coverage is more effective than diverting resources into male vaccination. Recently, several empirical studies on HPV immunization have been published, providing evidence of the fact that marginal vaccination costs increase with coverage. In this study, we use a stochastic agent-based modeling framework to revisit the male vaccination debate in light of these new findings. Within this framework, we assess the impact of coverage-dependent marginal costs of vaccine distribution on optimal immunization strategies against HPV. Focusing on the two scenarios of ongoing and new vaccination programs, we analyze different resource allocation policies and their effects on overall disease burden. Our results suggest that if the costs associated with vaccinating males are relatively close to those associated with vaccinating females, then coverage-dependent, increasing marginal costs may favor vaccination strategies that entail immunization of both genders. In particular, this study emphasizes the necessity for further empirical research on the nature of coverage-dependent vaccination costs.

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.

Using Helix-coil Models to Study Protein Unfolded States

An abstract of a thesis devoted to using helix-coil models to study unfolded states.\\

Research on polypeptide unfolded states has received much more attention in the last decade or so than it has in the past. Unfolded states are thought to be implicated in various

misfolding diseases and likely play crucial roles in protein folding equilibria and folding rates. Structural characterization of unfolded states has proven to be

much more difficult than the now well established practice of determining the structures of folded proteins. This is largely because many core assumptions underlying

folded structure determination methods are invalid for unfolded states. This has led to a dearth of knowledge concerning the nature of unfolded state conformational

distributions. While many aspects of unfolded state structure are not well known, there does exist a significant body of work stretching back half a century that

has been focused on structural characterization of marginally stable polypeptide systems. This body of work represents an extensive collection of experimental

data and biophysical models associated with describing helix-coil equilibria in polypeptide systems. Much of the work on unfolded states in the last decade has not been devoted

specifically to the improvement of our understanding of helix-coil equilibria, which arguably is the most well characterized of the various conformational equilibria

that likely contribute to unfolded state conformational distributions. This thesis seeks to provide a deeper investigation of helix-coil equilibria using modern

statistical data analysis and biophysical modeling techniques. The studies contained within seek to provide deeper insights and new perspectives on what we presumably

know very well about protein unfolded states. \\

Chapter 1 gives an overview of recent and historical work on studying protein unfolded states. The study of helix-coil equilibria is placed in the context

of the general field of unfolded state research and the basics of helix-coil models are introduced.\\

Chapter 2 introduces the newest incarnation of a sophisticated helix-coil model. State of the art modern statistical techniques are employed to estimate the energies

of various physical interactions that serve to influence helix-coil equilibria. A new Bayesian model selection approach is utilized to test many long-standing

hypotheses concerning the physical nature of the helix-coil transition. Some assumptions made in previous models are shown to be invalid and the new model

exhibits greatly improved predictive performance relative to its predecessor. \\

Chapter 3 introduces a new statistical model that can be used to interpret amide exchange measurements. As amide exchange can serve as a probe for residue-specific

properties of helix-coil ensembles, the new model provides a novel and robust method to use these types of measurements to characterize helix-coil ensembles experimentally

and test the position-specific predictions of helix-coil models. The statistical model is shown to perform exceedingly better than the most commonly used

method for interpreting amide exchange data. The estimates of the model obtained from amide exchange measurements on an example helical peptide

also show a remarkable consistency with the predictions of the helix-coil model. \\

Chapter 4 involves a study of helix-coil ensembles through the enumeration of helix-coil configurations. Aside from providing new insights into helix-coil ensembles,

this chapter also introduces a new method by which helix-coil models can be extended to calculate new types of observables. Future work on this approach could potentially

allow helix-coil models to move into use domains that were previously inaccessible and reserved for other types of unfolded state models that were introduced in chapter 1.

Mixtures of g-priors in Generalized Linear Models

Mixtures of Zellner's g-priors have been studied extensively in linear models and have been shown to have numerous desirable properties for Bayesian variable selection and model averaging. Several extensions of g-priors to Generalized Linear Models (GLMs) have been proposed in the literature; however, the choice of prior distribution of g and resulting properties for inference have received considerably less attention. In this paper, we extend mixtures of g-priors to GLMs by assigning the truncated Compound Confluent Hypergeometric (tCCH) distribution to 1/(1+g) and illustrate how this prior distribution encompasses several special cases of mixtures of g-priors in the literature, such as the Hyper-g, truncated Gamma, Beta-prime, and the Robust prior. Under an integrated Laplace approximation to the likelihood, the posterior distribution of 1/(1+g) is in turn a tCCH distribution, and approximate marginal likelihoods are thus available analytically. We discuss the local geometric properties of the g-prior in GLMs and show that specific choices of the hyper-parameters satisfy the various desiderata for model selection proposed by Bayarri et al, such as asymptotic model selection consistency, information consistency, intrinsic consistency, and measurement invariance. We also illustrate inference using these priors and contrast them to others in the literature via simulation and real examples.