On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

An EM-based Semi-Parametric Mixture Model Approach to the Regression Analysis of Competing-Risks Data

We consider a mixture model approach to the regression analysis of competing-risks data. Attention is focused on inference concerning the effects of factors on both the probability of occurrence and the hazard rate conditional on each of the failure types. These two quantities are specified in the mixture model using the logistic model and the proportional hazards model, respectively. We propose a semi-parametric mixture method to estimate the logistic and regression coefficients jointly, whereby the component-baseline hazard functions are completely unspecified. Estimation is based on maximum likelihood on the basis of the full likelihood, implemented via an expectation-conditional maximization (ECM) algorithm. Simulation studies are performed to compare the performance of the proposed semi-parametric method with a fully parametric mixture approach. The results show that when the component-baseline hazard is monotonic increasing, the semi-parametric and fully parametric mixture approaches are comparable for mildly and moderately censored samples. When the component-baseline hazard is not monotonic increasing, the semi-parametric method consistently provides less biased estimates than a fully parametric approach and is comparable in efficiency in the estimation of the parameters for all levels of censoring. The methods are illustrated using a real data set of prostate cancer patients treated with different dosages of the drug diethylstilbestrol. Copyright (C) 2003 John Wiley Sons, Ltd.

Analysis of the free vibration of rectangular plates with central cut-outs using the discrete Ritz method

We present an analysis of the free vibration of plates with internal discontinuities due to central cut-outs. A numerical formulation for a basic L-shaped element which is divided into appropriate sub-domains that are dependent upon the location of the cut-out is used as the basic building element. Trial functions formed to satisfy certain boundary conditions are employed to define the transverse deflection of each sub-domain. Mathematical treatments in terms of the continuities in displacement, slope, moment, and higher derivatives between the adjacent sub-domains are enforced at the interconnecting edges. The energy functional results, from the proper assembly of the coupled strain and kinetic energy contributions of each sub-domain, are minimized via the Ritz procedure to extract the vibration frequencies and. mode shapes of the plates. The procedures are demonstrated by considering plates with central cut-outs that are subjected to two types of boundary conditions. (C) 2003 Elsevier Ltd. All rights reserved.

A mathematical model for estimating the extent of solute- and water-flux heterogeneity in multiple sample percolation experiments

Multiple sampling is widely used in vadose zone percolation experiments to investigate the extent in which soil structure heterogeneities influence the spatial and temporal distributions of water and solutes. In this note, a simple, robust, mathematical model, based on the beta-statistical distribution, is proposed as a method of quantifying the magnitude of heterogeneity in such experiments. The model relies on fitting two parameters, alpha and zeta to the cumulative elution curves generated in multiple-sample percolation experiments. The model does not require knowledge of the soil structure. A homogeneous or uniform distribution of a solute and/or soil-water is indicated by alpha = zeta = 1, Using these parameters, a heterogeneity index (HI) is defined as root 3 times the ratio of the standard deviation and mean. Uniform or homogeneous flow of water or solutes is indicated by HI = 1 and heterogeneity is indicated by HI > 1. A large value for this index may indicate preferential flow. The heterogeneity index relies only on knowledge of the elution curves generated from multiple sample percolation experiments and is, therefore, easily calculated. The index may also be used to describe and compare the differences in solute and soil-water percolation from different experiments. The use of this index is discussed for several different leaching experiments. (C) 1999 Elsevier Science B.V. All rights reserved.

Long range forecasts of the numbers of Helicoverpa punctigera and H-armigera (Lepidoptera : Noctuidae) in Australia using the Southern Oscillation Index and the Sea Surface Temperature

The use of long-term forecasts of pest pressure is central to better pest management. We relate the Southern Oscillation Index (SOI) and the Sea Surface Temperature (SST) to long-term light-trap catches of the two key moth pests of Australian agriculture, Helicoverpa punctigera (Wallengren) and H. armigera (Hubner), at Narrabri, New South Wales over 11 years, and for H. punctigera only at Turretfield, South Australia over 22 years. At Narrabri, the size of the first spring generation of both species was significantly correlated with the SOI in certain months, sometimes up to 15 months before the date of trapping. Differences in the SOI and SST between significant months were used to build composite variables in multiple regressions which gave fitted values of the trap catches to less than 25% of the observed values. The regressions suggested that useful forecasts of both species could be made 6-15 months ahead. The influence of the two weather variables on trap catches of H. punctigera at Turretfield were not as strong as at Narrabri, probably because the SOI was not as strongly related to rainfall in southern Australia as it is in eastern Australia. The best fits were again given by multiple regressions with SOI plus SST variables, to within 40% of the observed values. The reliability of both variables as predictors of moth numbers may be limited by the lack of stability in the SOI-rainfall correlation over the historical record. As no other data set is available to test the regressions, they can only be tested by future use. The use of long-term forecasts in pest management is discussed, and preliminary analyses of other long sets of insect numbers suggest that the Southern Oscillation Index may be a useful predictor of insect numbers in other parts of the world.

Performance impacts of appraisal and coping with stress in workplace settings: The role of affect and emotional intelligence

We review the literature on stress in organizational settings and, based on a model of job insecurity and emotional intelligence by Jordan, Ashkanasy and Härtel (2002), present a new model where affective responses associated with stress mediate the impact of workplace stressors on individual and organizational performance outcomes. Consistent with Jordan et al., emotional intelligence is a key moderating variable. In our model, however, the components of emotional intelligence are incorporated into the process of stress appraisal and coping. The chapter concludes with a discussion of the implications of these theoretical developments for understanding emotional and behavioral responses to workplace.

The appetitive motivation scale and other BAS measures in the prediction of Approach and Active Avoidance

The Appetitive Motivation Scale (Jackson & Smillie, 2004) is a new trait conceptualisation of Gray's (I 970 199 1) Behavioural Activation System. In this experiment we explore relationships that the Appetitive Motivation Scale and other measures of Gray's model have with Approach and Active Avoidance responses. Using a sample of 144 undergraduate students, both Appetitive Motivation and Sensitivity to Reward (from the Sensitivity to Punishment and Sensitivity to Reward Questionnaire, SPSRQ; Torrubia, Avila, Molto, & Ceseras, 2001), were found to be significant predictors of Approach and Active Avoidance response latency. This confirms previous experimental validations of the SPSRQ (e.g., Avila, 2001) and provides the first experimental evidence for the validity of the Appetitive Motivation scale. Consistent with interactive views of Gray's model (e.g., Corr, 2001), high SPSRQ Sensitivity to Punishment diminished the relationship between Sensitivity to Reward and our BAS criteria. Measures of BIS did not however interact in this way with the appetitive motivation scale. A surprising result was the failure for any of Carver and White's (1994) BAS scales to correlate with RST criteria. Implications of these findings and potential future directions are discussed. (C) 2004 Elsevier Ltd. All rights reserved.

The lattice solid model to simulate the physics of rocks and earthquakes: Incorporation of friction

The particle-based lattice solid model developed to study the physics of rocks and the nonlinear dynamics of earthquakes is refined by incorporating intrinsic friction between particles. The model provides a means for studying the causes of seismic wave attenuation, as well as frictional heat generation, fault zone evolution, and localisation phenomena. A modified velocity-Verlat scheme that allows friction to be precisely modelled is developed. This is a difficult computational problem given that a discontinuity must be accurately simulated by the numerical approach (i.e., the transition from static to dynamical frictional behaviour). This is achieved using a half time step integration scheme. At each half time step, a nonlinear system is solved to compute the static frictional forces and states of touching particle-pairs. Improved efficiency is achieved by adaptively adjusting the time step increment, depending on the particle velocities in the system. The total energy is calculated and verified to remain constant to a high precision during simulations. Numerical experiments show that the model can be applied to the study of earthquake dynamics, the stick-slip instability, heat generation, and fault zone evolution. Such experiments may lead to a conclusive resolution of the heat flow paradox and improved understanding of earthquake precursory phenomena and dynamics. (C) 1999 Academic Press.

The evolution of controlled multitasked gene networks: The role of introns and other noncoding RNAs in the development of complex organisms

Eukaryotic phenotypic diversity arises from multitasking of a core proteome of limited size. Multitasking is routine in computers, as well as in other sophisticated information systems, and requires multiple inputs and outputs to control and integrate network activity. Higher eukaryotes have a mosaic gene structure with a dual output, mRNA (protein-coding) sequences and introns, which are released from the pre-mRNA by posttranscriptional processing. Introns have been enormously successful as a class of sequences and comprise up to 95% of the primary transcripts of protein-coding genes in mammals. In addition, many other transcripts (perhaps more than half) do not encode proteins at all, but appear both to be developmentally regulated and to have genetic function. We suggest that these RNAs (eRNAs) have evolved to function as endogenous network control molecules which enable direct gene-gene communication and multitasking of eukaryotic genomes. Analysis of a range of complex genetic phenomena in which RNA is involved or implicated, including co-suppression, transgene silencing, RNA interference, imprinting, methylation, and transvection, suggests that a higher-order regulatory system based on RNA signals operates in the higher eukaryotes and involves chromatin remodeling as well as other RNA-DNA, RNA-RNA, and RNA-protein interactions. The evolution of densely connected gene networks would be expected to result in a relatively stable core proteome due to the multiple reuse of components, implying,that cellular differentiation and phenotypic variation in the higher eukaryotes results primarily from variation in the control architecture. Thus, network integration and multitasking using trans-acting RNA molecules produced in parallel with protein-coding sequences may underpin both the evolution of developmentally sophisticated multicellular organisms and the rapid expansion of phenotypic complexity into uncontested environments such as those initiated in the Cambrian radiation and those seen after major extinction events.

Gene-Environment Interaction Effects on Behavioral Variation and Risk of Complex Disorders: The Example of Alcoholism and Other Psychiatric Disorders

There have been few replicated examples of genotype x environment interaction effects on behavioral variation or risk of psychiatric disorder. We review some of the factors that have made detection of genotype x environment interaction effects difficult, and show how genotype x shared environment interaction (GxSE) effects are commonly confounded with genetic parameters in data from twin pairs reared together. Historic data on twin pairs reared apart can in principle be used to estimate such GxSE effects, but have rarely been used for this purpose. We illustrate this using previously published data from the Swedish Adoption Twin Study of Aging (SATSA), which suggest that GxSE effects could account for as much as 25% of the total variance in risk of becoming a regular smoker. Since few separated twin pairs will be available for study in the future, we also consider methods for modifying variance components linkage analysis to allow for environmental interactions with linked loci.

Attributions for the performance of self and other: It matters who the "other" is

This study tested hypotheses that locus of causality attributions for the academic performance of others are influenced by whether the other is a specific individual, or a typical other, and whether the other is similar or dissimilar to self. The research was carried out in two studies. Study 1 entailed development of two scales to measure perceptions of interpersonal similarity: 254 Australian undergraduates rated their similarity to either a specific other or to typical other students. In Study 2, 332 subjects completed one of the 16-item scales developed in Study 1, along with Rosenberg's self-esteem scale, and self-attribution and other-attribution versions of the Multidimensional Multi-attribution Causation Scale (MMCS). Results showed that attributions for the academic performance of others were strongly affected by whether the other was perceived to be similar or dissimilar to self, especially when the other was a specific individual. In particular, causal attributions for similar specific others were more favourable than attributions for self.

An integrative approach for studying the etiology of alcoholism and other addictions

Studies of alcoholism etiology often focus on genetic or psy-chosocial approaches, but not both. Greater understanding of the etiology of alcohol, tobacco and other addictions will come from integration of these research traditions. A research approach is outlined to test three models for the etiology of addictions — behavioral undercontrol, pharmacologic vulnerability, negative affect regulation — addressing key questions including (i) mediators of genetic effects, (ii) genotype-environment correlation effects, (iii) genotype x environment interaction effects, (iv) the developmental unfolding of genetic and environmental effects, (v) subtyping including identification of distinct trajectories of substance involvement, (vi) identification of individual genes that contribute to risk, and (vii) the consequences of excessive use. By using coordinated research designs, including prospective assessment of adolescent twins and their siblings and parents; of adult substance dependent and control twins and their MZ and DZ cotwins, the spouses of these pairs, and their adolescent offspring; and of regular families; by selecting for gene-mapping approaches sibships screened for extreme concordance or discordance on quantitative indices of substance use; and by using experimental (drug challenge) as well as survey approaches, a number of key questions concerning addiction etiology can be addressed. We discuss complementary strengths and weaknesses of different sampling strategies, as well as methods to implement such an integrated approach illustrated for the study of alcoholism etiology. A coordinated program of twin and family studies will allow a comprehensive dissection of the interplay of genetic and environmental risk-factors in the etiology of alcoholism and other addictions.

Genetic effects on alcohol dependence risk: re-evaluating the importance of psychiatric and other heritable risk factors

Background. Genetic influences have been shown to play a major role in determining the risk of alcohol dependence (AD) in both women and men; however, little attention has been directed to identifying the major sources of genetic variation in AD risk. Method. Diagnostic telephone interview data from young adult Australian twin pairs born between 1964 and 1971 were analyzed. Cox regression models were fitted to interview data from a total of 2708 complete twin pairs (690 MZ female, 485 MZ male, 500 DZ female, 384 DZ male, and 649 DZ female/male pairs). Structural equation models were fitted to determine the extent of residual genetic and environmental influences on AD risk while controlling for effects of sociodemographic and psychiatric predictors on risk. Results. Risk of AD was increased in males, in Roman Catholics, in those reporting a history of major depression, social anxiety problems, and conduct disorder, or (in females only) a history of suicide attempt and childhood sexual abuse; but was decreased in those reporting Baptist, Methodist, or Orthodox religion, in those who reported weekly church attendance, and in university-educated males. After allowing for the effects of sociodemographic and psychiatric predictors, 47 % (95 % CI 28-55) of the residual variance in alcoholism risk was attributable to additive genetic effects, 0 % (95 % CI 0-14) to shared environmental factors, and 53 % (95 % CI 45-63) to non-shared environmental influences. Conclusions. Controlling for other risk factors, substantial residual heritability of AD was observed, suggesting that psychiatric and other risk factors play a minor role in the inheritance of AD.