Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Is the impact of public investment neutral across the regional income distribution?: evidence from Mexico

This paper investigates the contribution of public investment to the reduction of regional inqualities, with a specific application to Mexico. We use quantile regressions to examine the impact of public investment on regional disparities according to the position of each region in the conditional distribution of regional income. Results confirm the hypothesis that regional inequalities can indeed be atrributed to the regional distribution of public investment, where the observed pattern shows that public investment mainly helped to reduce regional inequalities between the richest regions

Capacidade de suporte de carga e umidade crítica de um Latossolo induzida por diferentes manejos

Os diferentes manejos de plantas invasoras em lavouras cafeeiras têm promovido alterações estruturais aos solos, comprometendo a sua qualidade física. Assim, o conhecimento da capacidade de suporte de carga do solo sob diferentes sistemas de manejo de plantas invasoras é essencial para o manejo sustentável do solo de lavouras cafeeiras. Os objetivos deste estudo foram: (a) avaliar a influência da adoção, durante 30 anos, de diferentes sistemas de manejo de plantas invasoras na capacidade de suporte de carga de um Latossolo Vermelho distroférrico (LVdf) cultivado com cafeeiros e localizado na Fazenda da Epamig em São Sebastião do Paraíso, MG (Latitude de 20 º 55 ' 00 " S e Longitude 47 º 07 ' 10 " W ); b) determinar a tensão máxima (σmax) aplicada ao solo por um trator; e c) estabelecer as umidades volumétricas críticas (θcrítica) para o tráfego de um trator. Os manejos de plantas invasoras avaliados foram: sem capina (SCAP); capina manual (CAPM); herbicida de pós-emergência (HPOS); roçadora (ROÇA); enxada rotativa (ENRT); grade (GRAD); e herbicida de pré-emergência (HPRE). Em cada sistema de manejo, 15 amostras indeformadas de solo foram coletadas aleatoriamente no centro das entrelinhas dos cafeeiros, nas profundidades de 0-3, 10-13 e 25-28 cm, totalizando 315 amostras. Em uma mata nativa (MATA) sob LVdf, adjacente à área de estudo, foram coletadas 15 amostras adicionais por profundidade, as quais serviram de referência dos atributos avaliados. Os equipamentos utilizados no manejo da lavoura cafeeira foram tracionados por um trator cafeeiro Valmet® modelo 68. Para determinar a θcrítica para o tráfego do trator, foram consideradas apenas aquelas tensões que não excedem a resistência interna do solo expressa pela pressão de preconsolidação. As amostras indeformadas foram utilizadas para determinar a pressão de preconsolidação (σp) em diferentes umidades volumétricas (θ) e obtenção da densidade do solo (Ds). A partir do excedente das amostras indeformadas, foram determinados distribuição granulométrica de partículas, C orgânico do solo (COS) e teor de óxidos. Modelos de capacidade de suporte de carga (CSC) do tipo σp = 10(a+bq) entre pressão de preconsolidação e umidade volumétrica foram obtidos para verificar os possíveis efeitos dos diferentes sistemas de manejo de plantas invasoras na estrutura do solo. A tensão máxima aplicada pelo trator cafeeiro foi de 220 kPa para o pneu dianteiro 6-16 na pressão de inflação de 172 kPa. O menor valor de umidade crítica foi de 0,27 cm³ cm-3 para o LVdf sob o manejo SCAP na profundidade de 0-3 cm, e o maior valor, de 0,48 cm³ cm-3 para o solo sob o manejo HPRE na profundidade de 0-3 cm. O manejo de plantas invasoras utilizando GRAD e HPRE favorece a formação do encrostamento superficial e os incrementos dos valores de densidade do solo e capacidade de suporte de carga na profundidade de 0-3 cm. O solo sob MATA apresenta menor capacidade de suporte de cargas nas três profundidades estudadas, em relação ao solo cultivado com cafeeiros e submetido a diferentes manejos de plantas invasoras. Os diferentes manejos de plantas invasoras utilizadas no centro das entrelinhas da lavoura cafeeira não influenciaram a densidade do solo e o teor de C orgânico do Latossolo, na profundidade de 25-28 cm, em relação ao solo sob mata nativa.

Alterações nos atributos químicos de um latossolo pelo manejo de plantas invasoras em cafeeiros

O controle de plantas invasoras é uma das práticas de manejo mais intensivas na condução de lavouras cafeeiras, o qual provoca alterações nos atributos químicos do solo. Diante disso, os objetivos deste estudo foram: avaliar os efeitos dos diferentes sistemas de manejo de plantas invasoras em uma lavoura cafeeira nos atributos químicos de um Latossolo Vermelho distroférrico em relação ao solo sob mata nativa (MATA); e verificar a relação entre o teor de C orgânico do solo (COS) e a capacidade de troca de cátions efetiva (CTC a pH natural) e a capacidade de troca de cátions a pH 7 (CTC a pH 7). O estudo foi realizado na fazenda experimental da Empresa de Pesquisa Agropecuária de Minas Gerais (EPAMIG), localizada no município de São Sebastião do Paraíso, Minas Gerais. A área experimental foi plantada com cafeeiros da cultivar Paraíso, e o experimento foi instalado em blocos casualizados, com sete manejos de plantas invasoras e três repetições. Os manejos de plantas invasoras avaliados foram: sem capina (SCAP); capina manual (CAPM); herbicida de pós-emergência (HPOS); roçadora (ROÇA); enxada rotativa (ENRT); grade (GRAD); e herbicida de pré-emergência (HPRE). Cada manejo de plantas invasoras nas entrelinhas dos cafeeiros vem sendo realizado há 30 anos em três ruas, com 36 m de comprimento cada. As amostras de solo foram coletadas no centro das entrelinhas dos cafeeiros em dezembro de 2007, com cinco amostras simples por parcela, que perfizeram uma amostra composta em três profundidades (0-3, 10-13 e 25-28 cm). As seguintes análises químicas foram realizadas nas amostras de solo: pH em água, cátions trocáveis (Ca, Mg, K e Al), C orgânico (COS), capacidade de troca de cátions efetiva ou a pH natural (CTC efetiva) e capacidade de troca de cátions a pH 7. Os manejos apresentaram características contrastantes, variando desde métodos manuais até capinas químicas e mecânicas. Os resultados permitiram observar que a manutenção das plantas invasoras nas entrelinhas dos cafeeiros, adotada no manejo sem capina, contribuiu positivamente para as alterações dos atributos químicos (Ca trocável, CTC efetiva e CTC a pH 7,0) nas três profundidades estudadas; além disso, elevou o teor de C orgânico total na profundidade de 0-3 cm e pode contribuir para aumento e manutenção dos estoques de C em lavouras cafeeiras. Assim, o manejo SCAP nas entrelinhas dos cafeeiros pode ser adotado para a melhoria e manutenção dos atributos químicos em lavouras cafeeiras. Por outro lado, a utilização constante e por longo prazo (30 anos) do manejo HPRE reduziu os valores de pH nas profundidades de 10-13 e 25-28 cm e do Ca trocável, Mg trocável e CTC efetiva nas três profundidades estudadas, em relação aos demais manejos de plantas invasoras. Os valores de CTC efetiva do Latossolo Vermelho distroférrico apresentaram relação com o teor de C orgânico em 59, 60 e 47 % dos casos e de CTC a pH 7 em 65, 55 e 46 %, nas profundidades de 0-3, 10-13 e 25-28 cm.

Neurogenic subventricular zone stem/progenitor cells are notch1-dependent in their active but not quiescent state.

The adult mammalian forebrain contains neural stem/progenitor cells (NSCs) that generate neurons throughout life. As in other somatic stem cell systems, NSCs are proposed to be predominantly quiescent and proliferate only sporadically to produce more committed progeny. However, quiescence has recently been shown not to be an essential criterion for stem cells. It is not known whether NSCs show differences in molecular dependence based on their proliferation state. The subventricular zone (SVZ) of the adult mouse brain has a remarkable capacity for repair by activation of NSCs. The molecular interplay controlling adult NSCs during neurogenesis or regeneration is not clear but resolving these interactions is critical in order to understand brain homeostasis and repair. Using conditional genetics and fate mapping, we show that Notch signaling is essential for neurogenesis in the SVZ. By mosaic analysis, we uncovered a surprising difference in Notch dependence between active neurogenic and regenerative NSCs. While both active and regenerative NSCs depend upon canonical Notch signaling, Notch1-deletion results in a selective loss of active NSCs (aNSCs). In sharp contrast, quiescent NSCs (qNSCs) remain after Notch1 ablation until induced during regeneration or aging, whereupon they become Notch1-dependent and fail to fully reinstate neurogenesis. Our results suggest that Notch1 is a key component of the adult SVZ niche, promoting maintenance of aNSCs, and that this function is compensated in qNSCs. Therefore, we confirm the importance of Notch signaling for maintaining NSCs and neurogenesis in the adult SVZ and reveal that NSCs display a selective reliance on Notch1 that may be dictated by mitotic state.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Regression analysis of spatial data.

Many of the most interesting questions ecologists ask lead to analyses of spatial data. Yet, perhaps confused by the large number of statistical models and fitting methods available, many ecologists seem to believe this is best left to specialists. Here, we describe the issues that need consideration when analysing spatial data and illustrate these using simulation studies. Our comparative analysis involves using methods including generalized least squares, spatial filters, wavelet revised models, conditional autoregressive models and generalized additive mixed models to estimate regression coefficients from synthetic but realistic data sets, including some which violate standard regression assumptions. We assess the performance of each method using two measures and using statistical error rates for model selection. Methods that performed well included generalized least squares family of models and a Bayesian implementation of the conditional auto-regressive model. Ordinary least squares also performed adequately in the absence of model selection, but had poorly controlled Type I error rates and so did not show the improvements in performance under model selection when using the above methods. Removing large-scale spatial trends in the response led to poor performance. These are empirical results; hence extrapolation of these findings to other situations should be performed cautiously. Nevertheless, our simulation-based approach provides much stronger evidence for comparative analysis than assessments based on single or small numbers of data sets, and should be considered a necessary foundation for statements of this type in future.

Essays on the treatment of cash flows under stochastic interest rates

Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. We investigate various moment based approaches to approximate the distribution of the accumulated value of cash flows and we assess their performance through stochastic Monte-Carlo simulations. We discuss the potential use in insurance and especially in the context of Asset-Liability Management of pension funds.

Circulating carotenoids and risk of breast cancer: pooled analysis of eight prospective studies.

Background Carotenoids, micronutrients in fruits and vegetables, may reduce breast cancer risk. Most, but not all, past studies of circulating carotenoids and breast cancer have found an inverse association with at least one carotenoid, although the specific carotenoid has varied across studies. Methods We conducted a pooled analysis of eight cohort studies comprising more than 80% of the world's published prospective data on plasma or serum carotenoids and breast cancer, including 3055 case subjects and 3956 matched control subjects. To account for laboratory differences and examine population differences across studies, we recalibrated participant carotenoid levels to a common standard by reassaying 20 plasma or serum samples from each cohort together at the same laboratory. Using conditional logistic regression, adjusting for several breast cancer risk factors, we calculated relative risks (RRs) and 95% confidence intervals (CIs) using quintiles defined among the control subjects from all studies. All P values are two-sided. Results Statistically significant inverse associations with breast cancer were observed for α-carotene (top vs bottom quintile RR = 0.87, 95% CI = 0.71 to 1.05, Ptrend = .04), β-carotene (RR = 0.83, 95% CI = 0.70 to 0.98, Ptrend = .02), lutein+zeaxanthin (RR = 0.84, 95% CI = 0.70 to 1.01, Ptrend = .05), lycopene (RR = 0.78, 95% CI = 0.62 to 0.99, Ptrend = .02), and total carotenoids (RR = 0.81, 95% CI = 0.68 to 0.96, Ptrend = .01). β-Cryptoxanthin was not statistically significantly associated with risk. Tests for heterogeneity across studies were not statistically significant. For several carotenoids, associations appeared stronger for estrogen receptor negative (ER(-)) than for ER(+) tumors (eg, β-carotene: ER(-): top vs bottom quintile RR = 0.52, 95% CI = 0.36 to 0.77, Ptrend = .001; ER(+): RR = 0.83, 95% CI = 0.66 to 1.04, Ptrend = .06; Pheterogeneity = .01). Conclusions This comprehensive prospective analysis suggests women with higher circulating levels of α-carotene, β-carotene, lutein+zeaxanthin, lycopene, and total carotenoids may be at reduced risk of breast cancer.

Maturation of lymph node fibroblastic reticular cells from myofibroblastic precursors is critical for antiviral immunity.

The stromal scaffold of the lymph node (LN) paracortex is built by fibroblastic reticular cells (FRCs). Conditional ablation of lymphotoxin-β receptor (LTβR) expression in LN FRCs and their mesenchymal progenitors in developing LNs revealed that LTβR-signaling in these cells was not essential for the formation of LNs. Although T cell zone reticular cells had lost podoplanin expression, they still formed a functional conduit system and showed enhanced expression of myofibroblastic markers. However, essential immune functions of FRCs, including homeostatic chemokine and interleukin-7 expression, were impaired. These changes in T cell zone reticular cell function were associated with increased susceptibility to viral infection. Thus, myofibroblasic FRC precursors are able to generate the basic T cell zone infrastructure, whereas LTβR-dependent maturation of FRCs guarantees full immunocompetence and hence optimal LN function during infection.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed