Efficiency Bounds for Estimating Linear Functionals of Nonparametric Regression Models with Endogenous Regressors

Consider a nonparametric regression model Y=mu*(X) + e, where the explanatory variables X are endogenous and e satisfies the conditional moment restriction E[e|W]=0 w.p.1 for instrumental variables W. It is well known that in these models the structural parameter mu* is 'ill-posed' in the sense that the function mapping the data to mu* is not continuous. In this paper, we derive the efficiency bounds for estimating linear functionals E[p(X)mu*(X)] and int_{supp(X)}p(x)mu*(x)dx, where p is a known weight function and supp(X) the support of X, without assuming mu* to be well-posed or even identified.

Time-Frequency Distribution Moments of Heart Rate Variability for Neonatal Seizure Detection

In this paper, we propose features extracted from the heart rate variability (HRV) based on the first and second conditional moments of time-frequency distribution (TFD) as an additional guide for seizure detection in newborn. The features of HRV in the low frequency band (LF: 0-0.07 Hz), mid frequency band (MF: 0.07-0.15 Hz), and high frequency band (HF: 0.15-0.6 Hz) have been obtained by means of the time-frequency analysis using the modified-B distribution (MBD). Results of ongoing time-frequency research are presented. Based on our preliminary results, the first conditional moment of HRV which is also known as the mean/central frequency in the LF band and the second conditional moment of HRV which is also known as the variance/instantaneous bandwidth (IB) in the HF band can be used as a good feature to discriminate the newborn seizure from the non-seizure

POSITIVE FILTERED P_N METHOD FOR LINEAR TRANSPORT EQUATIONS AND THE ASSOCIATED OPTIMIZATION ALGORITHM

We propose a positive, accurate moment closure for linear kinetic transport equations based on a filtered spherical harmonic (FP_N) expansion in the angular variable. The FP_N moment equations are accurate approximations to linear kinetic equations, but they are known to suffer from the occurrence of unphysical, negative particle concentrations. The new positive filtered P_N (FP_N+) closure is developed to address this issue. The FP_N+ closure approximates the kinetic distribution by a spherical harmonic expansion that is non-negative on a finite, predetermined set of quadrature points. With an appropriate numerical PDE solver, the FP_N+ closure generates particle concentrations that are guaranteed to be non-negative. Under an additional, mild regularity assumption, we prove that as the moment order tends to infinity, the FP_N+ approximation converges, in the L2 sense, at the same rate as the FP_N approximation; numerical tests suggest that this assumption may not be necessary. By numerical experiments on the challenging line source benchmark problem, we confirm that the FP_N+ method indeed produces accurate and non-negative solutions. To apply the FP_N+ closure on problems at large temporal-spatial scales, we develop a positive asymptotic preserving (AP) numerical PDE solver. We prove that the propose AP scheme maintains stability and accuracy with standard mesh sizes at large temporal-spatial scales, while, for generic numerical schemes, excessive refinements on temporal-spatial meshes are required. We also show that the proposed scheme preserves positivity of the particle concentration, under some time step restriction. Numerical results confirm that the proposed AP scheme is capable for solving linear transport equations at large temporal-spatial scales, for which a generic scheme could fail. Constrained optimization problems are involved in the formulation of the FP_N+ closure to enforce non-negativity of the FP_N+ approximation on the set of quadrature points. These optimization problems can be written as strictly convex quadratic programs (CQPs) with a large number of inequality constraints. To efficiently solve the CQPs, we propose a constraint-reduced variant of a Mehrotra-predictor-corrector algorithm, with a novel constraint selection rule. We prove that, under appropriate assumptions, the proposed optimization algorithm converges globally to the solution at a locally q-quadratic rate. We test the algorithm on randomly generated problems, and the numerical results indicate that the combination of the proposed algorithm and the constraint selection rule outperforms other compared constraint-reduced algorithms, especially for problems with many more inequality constraints than variables.

Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. Résumé Cette thèse présente des modèles théoriques dévaluation des actifs et leurs applications empiriques. Mon objectif est d'étudier les problèmes suivants: la relation entre l'évaluation des actifs et les tendances des investisseurs à parier et à crainadre le désastre varie selon le temps ; les indications contraires pour l'entreprise et l'asymétrie des niveaux de marché peuvent être expliquées par les risques de perte en cas de baisse; l'apprentissage coûteux augmente le risque de liquidité. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles découvertes en ce qui concerne l'évaluation des actifs, les décisions relatives aux investissements et la liquidité de financement des entreprises. Le premier chapitre examine un modèle d'équilibre où les investisseurs ont des tendances hétérogènes à parier et à craindre le désastre. La préférence asymétrique représente le désir de parier, alors que le kurtosis d'aversion représente la crainte du désastre. En utilisant les données des Etats-Unis de 1988 à 2012, mon modèle démontre que dans les mauvaises périodes, l'aversion du risque est plus grande, plus de gens craignent le désastre et moins de gens parient, conatrairement aux bonnes périodes. Ceci mène à une nouvelle découverte empirique: la préférence relative au pari a un plus grand impact sur les évaluations des actifs durant les ralentissements de marché que durant les booms économiques. Exploitant uniquement cette relation générera un revenu excédentaire annuel de 7,74% qui n'est pas expliqué par les modèles factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour décomposer l'asymétrie du marché. Nous avons découvert que les mouvements de hausses et de baisses majeures du marché peuvent être prédits par les mouvements communs des bêtas. Un inadicateur appelé Systematic Downside Risk, SDR (risque de ralentissement systématique) est créé pour caractériser cette asymétrie dans les mouvements communs des bêtas. Nous avons découvert que le risque de ralentissement systématique peut prévoir les prochains mouvements des marchés boursiers de manière efficace, et nous obtenons des carrés R hors échantillon (comparés avec une stratégie utilisant des moyens historiques) de plus de 2,272% avec des données mensuelles. Un investisseur qui évalue le marché en utilisant le risque de ralentissement systématique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asymétrie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asymétriques conduit à un revenu de marché négativement asymétrique. Nous décomposons l'asymétrie des revenus du marché au niveau de l'entreprise et faisons cadrer ce fait par une plus grande réaction des entreprises aux nouvelles négatives du marché qu'aux nouvelles positives du marché. Cette décomposition révélé plusieurs variables de revenus de marché efficaces tels que l'asymétrie caractéristique pondérée par la volatilité ainsi que l'asymétrie caractéristique de ralentissement. Le troisième chapitre fournit une nouvelle base théorique pour les problèmes de liquidité qui varient selon le temps au sein d'un environnement de marché incomplet. Nous proposons un modèle d'équilibre général avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le véritable état de l'entreprise, par conséquent, les informations de paiement coutent de l'argent. La nouveauté est que l'acquisition de l'information coute plus cher durant les mauvaises périodes que durant les bonnes périodes, comme cela a été confirmé par de précédentes expériences. Lorsque la récession comamence, l'apprentissage coûteux fait augmenter les primes de liquidité causant un problème d'évaporation de liquidité, comme cela a été aussi confirmé par de précédentes expériences.

Labor market experience and well-being after firm closure. Survey evidence on displaced manufacturing workers in Switzerland

This study examines how plant closure affected individuals' careers and lives about two years after they lost their job. We analyze the displaced workers' reemployment prospects and study for reemployed workers the characteristics of their new jobs in terms of reemployment sectors, wages, and job quality. Additionally, we inquire how workers' sociability and subjective well-being were affected by job loss. Our analysis is based on our own survey conducted in Switzerland in 2011. The survey included the workforce of five manufacturing companies that had closed down two years earlier. We addressed the risk of biases typically prevailing with observational data by complementing it with register data from the public unemployment insurance. Moreover, we use a control group based on matched data from the Swiss Household Panel. We find that workers experience strongly diverging outcomes after plant closure: on the one hand, high proportions of the workers experience a smooth transition after plant closure. More than two-thirds of the workers returned to employment, more than half of them within less than six months. With respect to their social lives, we find that positive changes in relationships with their spouse, family and friends are more frequent than negative changes. On the other hand, for a small group of workers plant closure had a detrimental effect. Close to twenty percent remained unemployed. About ten percent of the workers were long-term unemployed and subsequently often were reemployed in jobs of lower quality. Unemployed workers and workers who dropped out of the labor force were particularly prone to find their subjective well-being decreasing. The most vulnerable subgroup in our study were workers over 55. This result stands in striking contrast to a large body of literature that considers labor market institutions to be primarily biased against young workers. Our findings show that older workers not only take longer to find a job but are also less likely to return to employment. Moreover, if they manage to find a job, they experience the severest cuts in wages and job quality of all cohorts. From a life-course perspective this result is remarkable since it shows that workers are not protected from hardship in their late careers. In light of the current demographic changes this finding may have important policy implications. -- Cette étude analyse l'impact des fermetures d'entreprises sur les travailleurs licenciés. Plus précisément, nous examinons les chances de réinsertion des travailleurs dans le marché du travail et - pour ceux qui l'ont fait avec succès - dans quels secteurs, pour quels salaires et avec quelle qualité d'emploi ils sont réengagés. Nous nous intéressons également aux répercussions engendrées par la perte de l'emploi sur la sociabilité et le bien-être subjectif des travailleurs concernés. Notre analyse se base sur les données d'une enquête que nous avons menée en 2011. Cette enquête cible le personnel de cinq entreprises industrielles suisses qui avaient fermé leurs portes deux ans auparavant. Pour dépasser les biais typiques liés aux données d'observation, nous utilisons en complément des données administratives issues de l'assurance chômage publique. De plus, nous utilisons un groupe de contrôle basé sur des données appariées provenant du Panel Suisse de Ménage. Nos analyses montrent des résultats fortement contrastés. D'un côté, la majeure partie des travailleurs ont vécu une transition professionnelle plutôt facile : plus des deux tiers des personnes ont retrouvé un travail et parmi elles plus de la moitié en moins de six mois. Par rapport aux relations sociales, tant avec leur partenaire, qu'avec les membres de leur famille et leurs amis, les changements expérimentés étaient plus fréquemment positifs que négatifs. De l'autre côté, cependant, pour une petite partie de travailleurs la fermeture de leur entreprise a eu des conséquences très négatives sur leur carrière et leur bien-être. Au moment de notre enquête, presque vingt pourcents des travailleurs étaient au chômage. Les personnes au chômage et celles qui avaient quitté le marché du travail ont été particulièrement affectées par une diminution de leur bien-être subjectif. Les plus vulnérables parmi les travailleurs licenciés étaient ceux qui étaient âgés de plus de 55 ans. Notre analyse montre que les travailleurs âgés ont beaucoup moins fréquemment retrouvé un travail. Pour les personnes de plus de 55 ans qui ont tout de même retrouvé un emploi, la réinsertion a durée plus longtemps, les pertes de salaire étaient plus conséquentes et la diminution de la qualité de l'emploi plus grande que pour les autres cohortes. Au vu des changements démographiques actuels, ce résultat interpellant peut avoir des implications politiques importantes.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Neuroelectromagnetic correlates of perceptual closure processes

Perceptual closure refers to the coherent perception of an object under circumstances when the visual information is incomplete. Although the perceptual closure index observed in electroencephalography reflects that an object has been recognized, the full spatiotemporal dynamics of cortical source activity underlying perceptual closure processing remain unknown so far. To address this question, we recorded magnetoencephalographic activity in 15 subjects (11 females) during a visual closure task and performed beamforming over a sequence of successive short time windows to localize high-frequency gamma-band activity (60–100 Hz). Two-tone images of human faces (Mooney faces) were used to examine perceptual closure. Event-related fields exhibited a magnetic closure index between 250 and 325 ms. Time-frequency analyses revealed sustained high-frequency gamma-band activity associated with the processing of Mooney stimuli; closure-related gamma-band activity was observed between 200 and 300 ms over occipitotemporal channels. Time-resolved source reconstruction revealed an early (0–200 ms) coactivation of caudal inferior temporal gyrus (cITG) and regions in posterior parietal cortex (PPC). At the time of perceptual closure (200–400 ms), the activation in cITG extended to the fusiform gyrus, if a face was perceived. Our data provide the first electrophysiological evidence that perceptual closure for Mooney faces starts with an interaction between areas related to processing of three-dimensional structure from shading cues (cITG) and areas associated with the activation of long-term memory templates (PPC). Later, at the moment of perceptual closure, inferior temporal cortex areas specialized for the perceived object are activated, i.e., the fusiform gyrus related to face processing for Mooney stimuli.

A transgenic model for conditional induction and rescue of portal hypertension reveals a role of VEGF-mediated regulation of sinusoidal fenestrations

Portal hypertension (PH) is a common complication and a leading cause of death in patients with chronic liver diseases. PH is underlined by structural and functional derangement of liver sinusoid vessels and its fenestrated endothelium. Because in most clinical settings PH is accompanied by parenchymal injury, it has been difficult to determine the precise role of microvascular perturbations in causing PH. Reasoning that Vascular Endothelial Growth Factor (VEGF) is required to maintain functional integrity of the hepatic microcirculation, we developed a transgenic mouse system for a liver-specific-, reversible VEGF inhibition. The system is based on conditional induction and de-induction of a VEGF decoy receptor that sequesters VEGF and preclude signaling. VEGF blockade results in sinusoidal endothelial cells (SECs) fenestrations closure and in accumulation and transformation of the normally quiescent hepatic stellate cells, i.e. provoking the two processes underlying sinusoidal capillarization. Importantly, sinusoidal capillarization was sufficient to cause PH and its typical sequela, ascites, splenomegaly and venous collateralization without inflicting parenchymal damage or fibrosis. Remarkably, these dramatic phenotypes were fully reversed within few days from lifting-off VEGF blockade and resultant re-opening of SECs' fenestrations. This study not only uncovered an indispensible role for VEGF in maintaining structure and function of mature SECs, but also highlights the vasculo-centric nature of PH pathogenesis. Unprecedented ability to rescue PH and its secondary manifestations via manipulating a single vascular factor may also be harnessed for examining the potential utility of de-capillarization treatment modalities.

Requirement of GCN5 histone acetyltransferase in mouse neural tube closure and skeletal patterning

Histone acetylation plays an essential role in many DNA-related processes such as transcriptional regulation via modulation of chromatin structure. Many histone acetytransferases have been discovered and studied in the past few years, but the roles of different histone acetyltransferases (HAT) during mammalian development are not well defined at present. Gcn5 histone acetyltransferase is highly expressed until E16.5 during development. Previous studies in our lab using a constitutive null allele demonstrated that Gcn5 knock out mice are embryonic lethal, precluding the study of Gcn5 functions at later developmental stages. The creation of a conditional Gcn5 null allele, Gcn5flox allele, bypasses the early lethality. Mice homozygous for this allele are viable and appear healthy. In contrast, mice homozygous for a Gcn5 Δex3-18 allele created by Cre-loxP mediated deletion display a phenotype identical to our original Gcn5 null mice. Strikingly, a Gcn5flox(neo) allele, which contain a neomycin cassette in the second intron of Gcn5 is only partially functional and gives rise to a hypomorphic phenotype. Initiation of cranial neural tube closure at forebrain/midbrain boundary fails, resulting in an exencephaly in some Gcn5flox(neo)/flox(neo) embryos. These defects were found at an even greater penetrance in Gcn5flox(neo)/Δ embryos and become completely penetrant in the 129Sv genetic background, suggesting that Gcn5 controls mouse neural tube closure in a dose dependent manner. Furthermore, both Gcn5flox(neo)/flox(neo) and Gcn5 flox(neo)/Δ embryos exhibit anterior homeotic transformations in lower thoracic and lumbar vertebrae. These defects are accompanied by decreased expression levels and a shift in anterior expression boundary of Hoxc8 and Hoxc9. This study provides the first evidence that Gcn5 regulates Hox gene expression and is required for normal axial skeletal patterning in mice. ^

Matching conditional moments in PDF modelling of nonpremixed combustion

The rate of generation of fluctuations with respect to the scalar values conditioned on the mixture fraction, which significantly affects turbulent nonpremixed combustion processes, is examined. Simulation of the rate in a major mixing model is investigated and the derived equations can assist in selecting the model parameters so that the level of conditional fluctuations is better reproduced by the models. A more general formulation of the multiple mapping conditioning (MMC) model that distinguishes the reference and conditioning variables is suggested. This formulation can be viewed as a methodology of enforcing certain desired conditional properties onto conventional mixing models. Examples of constructing consistent MMC models with dissipation and velocity conditioning as well as of combining MMC with large eddy simulations (LES) are also provided. (c) 2005 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

Mesenchymal Stromal Cells From Adipose Tissue Attached To Suture Material Enhance The Closure Of Enterocutaneous Fistulas In A Rat Model.

Surgical treatment for enterocutaneous fistulas (EF) frequently fails. Cell therapy may represent a new approach to treatment. Mesenchymal stromal cells (MSCs) have high proliferative and differentiation capacity. This study aimed to investigate whether MSCs could adhere to suture filament (SF), promoting better EF healing. MSCs, 1 × 10(6), from adipose tissue (ATMSCs) were adhered to a Polyvicryl SF by adding a specific fibrin glue formulation. Adhesion was confirmed by confocal and scanning electron microscopy (SEM). A cecal fistula was created in 22 Wistar rats by incising the cecum and suturing the opening to the surgical wound subcutaneously with four separate stitches. The animals were randomly allocated to three groups: control (CG)-five animals, EF performed; injection (IG)-eight animals 1 × 10(6) ATMSCs injected around EF borders; and suture filament (SG): nine animals, sutured with 1 × 10(6) ATMSCs attached to the filaments with fibrin glue. Fistulas were photographed on the operation day and every 3 days until the 21st day and analyzed by two observers using ImageJ Software. Confocal and SEM results demonstrated ATMSCs adhered to SF (ATMSCs-SF). The average reduction size of the fistula area at 21st day was greater for the SG group (90.34%, P < 0.05) than the IG (71.80%) and CG (46.54%) groups. ATMSCs adhered to SF maintain viability and proliferative capacity. EF submitted to ATMSCs-SF procedure showed greater recovery and healing. This approach might be a new and effective tool for EF treatment.

Topiramate-associated acute, bilateral, angle-closure glaucoma: case report

This paper describes a topiramate induced acute bilateral angle-closure glaucoma. This rare adverse effect is an idiosyncratic reaction characterized by uveal effusion and lens forward displacement, leading to increased intraocular pressure and vision loss. We describe a 55 year-old white woman with migraine, spasmodic torticollis and essential tremor, who developed bilateral acute angle-closure glaucoma, one week after starting topiramate 25 mg/day. She was seen at the Ophthalmology Emergency Department of the Fundação João Penido Burnier (Campinas, SP, Brazil) with a 4 hours history of blurry vision, ocular pain and bright flashes vision. Slit lamp examination revealed moderate conjunctival injection and corneal edema, and shallow anterior chambers. Intraocular pressure was 48 mmHg in both eyes. Fundoscopic examination findings were normal. She was treated with timolol, brimonidine, dorzolamide, pilocarpine, prednisone acetate eye drops and acetazolamide. One hour after those measures, as the intraocular pressure was 30 mmHg, she received a manitol intravenous injection and the intraocular pressure normalized. After 24 hours an iridotomy with Yag laser was performed. Topiramate was discontinued and she was totally recovered after one week.

Investigation of Normal Force and Moment Coefficients for an AUV at Nonlinear Angle of Attack and Sideslip Range

This paper presents a comparative study of computational fluid dynamics (CFD) and analytical and semiempirical (ASE) methods applied to the prediction of the normal force and moment coefficients of an autonomous underwater vehicle (AUV). Both methods are applied to the. bare hull of the vehicle and to the body-hydroplane combination. The results are validated through experiments in a towing tank. It is shown that the CFD approach allows for a good prediction of the coefficients over the range of angles of attack considered. In contrast with the traditional ASE formulations used in naval and aircraft fields, an improved methodology is introduced that takes advantage of the qualitative information obtained from CFD flow visualizations.