Essays on bootstrap in econometrics

Ma thèse est composée de trois essais sur l'inférence par le bootstrap à la fois dans les modèles de données de panel et les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peut être faible. La théorie asymptotique n'étant pas toujours une bonne approximation de la distribution d'échantillonnage des estimateurs et statistiques de tests, je considère le bootstrap comme une alternative. Ces essais tentent d'étudier la validité asymptotique des procédures bootstrap existantes et quand invalides, proposent de nouvelles méthodes bootstrap valides. Le premier chapitre #co-écrit avec Sílvia Gonçalves# étudie la validité du bootstrap pour l'inférence dans un modèle de panel de données linéaire, dynamique et stationnaire à effets fixes. Nous considérons trois méthodes bootstrap: le recursive-design bootstrap, le fixed-design bootstrap et le pairs bootstrap. Ces méthodes sont des généralisations naturelles au contexte des panels des méthodes bootstrap considérées par Gonçalves et Kilian #2004# dans les modèles autorégressifs en séries temporelles. Nous montrons que l'estimateur MCO obtenu par le recursive-design bootstrap contient un terme intégré qui imite le biais de l'estimateur original. Ceci est en contraste avec le fixed-design bootstrap et le pairs bootstrap dont les distributions sont incorrectement centrées à zéro. Cependant, le recursive-design bootstrap et le pairs bootstrap sont asymptotiquement valides quand ils sont appliqués à l'estimateur corrigé du biais, contrairement au fixed-design bootstrap. Dans les simulations, le recursive-design bootstrap est la méthode qui produit les meilleurs résultats. Le deuxième chapitre étend les résultats du pairs bootstrap aux modèles de panel non linéaires dynamiques avec des effets fixes. Ces modèles sont souvent estimés par l'estimateur du maximum de vraisemblance #EMV# qui souffre également d'un biais. Récemment, Dhaene et Johmans #2014# ont proposé la méthode d'estimation split-jackknife. Bien que ces estimateurs ont des approximations asymptotiques normales centrées sur le vrai paramètre, de sérieuses distorsions demeurent à échantillons finis. Dhaene et Johmans #2014# ont proposé le pairs bootstrap comme alternative dans ce contexte sans aucune justification théorique. Pour combler cette lacune, je montre que cette méthode est asymptotiquement valide lorsqu'elle est utilisée pour estimer la distribution de l'estimateur split-jackknife bien qu'incapable d'estimer la distribution de l'EMV. Des simulations Monte Carlo montrent que les intervalles de confiance bootstrap basés sur l'estimateur split-jackknife aident grandement à réduire les distorsions liées à l'approximation normale en échantillons finis. En outre, j'applique cette méthode bootstrap à un modèle de participation des femmes au marché du travail pour construire des intervalles de confiance valides. Dans le dernier chapitre #co-écrit avec Wenjie Wang#, nous étudions la validité asymptotique des procédures bootstrap pour les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peu être faible. Nous montrons analytiquement qu'un bootstrap standard basé sur les résidus et le bootstrap restreint et efficace #RE# de Davidson et MacKinnon #2008, 2010, 2014# ne peuvent pas estimer la distribution limite de l'estimateur du maximum de vraisemblance à information limitée #EMVIL#. La raison principale est qu'ils ne parviennent pas à bien imiter le paramètre qui caractérise l'intensité de l'identification dans l'échantillon. Par conséquent, nous proposons une méthode bootstrap modifiée qui estime de facon convergente cette distribution limite. Nos simulations montrent que la méthode bootstrap modifiée réduit considérablement les distorsions des tests asymptotiques de type Wald #$t$# dans les échantillons finis, en particulier lorsque le degré d'endogénéité est élevé.

Monte Carlo Study of the Growth of L12 ordered domains in fcc A3B binary alloys

A Monte Carlo study of the late time growth of L12-ordered domains in a fcc A3B binary alloy is presented. The energy of the alloy has been modeled by a nearest-neighbor interaction Ising Hamiltonian. The system exhibits a fourfold degenerated ground state and two kinds of interfaces separating ordered domains: flat and curved antiphase boundaries. Two different dynamics are used in the simulations: the standard atom-atom exchange mechanism and the more realistic vacancy-atom exchange mechanism. The results obtained by both methods are compared. In particular we study the time evolution of the excess energy, the structure factor and the mean distance between walls. In the case of atom-atom exchange mechanism anisotropic growth has been found: two characteristic lengths are needed in order to describe the evolution. Contrarily, with the vacancyatom exchange mechanism scaling with a single length holds. Results are contrasted with existing experiments in Cu3Au and theories for anisotropic growth.

Neptune: a hil simulator for multiple UUVs

This paper overviews the field of graphical simulators used for AUV development, presents the taxonomy of these applications and proposes a classification. It also presents Neptune, a multivehicle, real-time, graphical simulator based on OpenGL that allows hardware in the loop simulations

Graphical simulators for AUV development

A long development time is needed from the design to the implementation of an AUV. During the first steps, simulation plays an important role, since it allows for the development of preliminary versions of the control system to be integrated. Once the robot is ready, the control systems are implemented, tuned and tested. The use of a real-time simulator can help closing the gap between off-line simulation and real testing using the already implemented robot. When properly interfaced with the robot hardware, a real-time graphical simulation with a "hardware in the loop" configuration, can allow for the testing of the implemented control system running in the actual robot hardware. Hence, the development time is drastically reduced. These paper overviews the field of graphical simulators used for AUV development proposing a classification. It also presents NEPTUNE, a multi-vehicle, real-time, graphical simulator based on OpenGL that allows hardware in the loop simulations

Mechanisms for the land/sea warming contrast exhibited by simulations of climate change

The land/sea warming contrast is a phenomenon of both equilibrium and transient simulations of climate change: large areas of the land surface at most latitudes undergo temperature changes whose amplitude is more than those of the surrounding oceans. Using idealised GCM experiments with perturbed SSTs, we show that the land/sea contrast in equilibrium simulations is associated with local feedbacks and the hydrological cycle over land, rather than with externally imposed radiative forcing. This mechanism also explains a large component of the land/sea contrast in transient simulations as well. We propose a conceptual model with three elements: (1) there is a spatially variable level in the lower troposphere at which temperature change is the same over land and sea; (2) the dependence of lapse rate on moisture and temperature causes different changes in lapse rate upon warming over land and sea, and hence a surface land/sea temperature contrast; (3) moisture convergence over land predominantly takes place at levels significantly colder than the surface; wherever moisture supply over land is limited, the increase of evaporation over land upon warming is limited, reducing the relative humidity in the boundary layer over land, and hence also enhancing the land/sea contrast. The non-linearity of the Clausius–Clapeyron relationship of saturation specific humidity to temperature is critical in (2) and (3). We examine the sensitivity of the land/sea contrast to model representations of different physical processes using a large ensemble of climate model integrations with perturbed parameters, and find that it is most sensitive to representation of large-scale cloud and stomatal closure. We discuss our results in the context of high-resolution and Earth-system modelling of climate change.

The impact of deformation strain on the formation of banded clouds in idealized modeling experiments

Experiments are performed using an idealized version of an operational forecast model to determine the impact on banded frontal clouds of the strength of deformational forcing, low-level baroclinicity, and model representation of convection. Line convection is initiated along the front, and slantwise bands extend from the top of the line-convection elements into the cold air. This banding is attributed primarily to M adjustment. The cross-frontal spreading of the cold pool generated by the line convection leads to further triggering of upright convection in the cold air that feeds into these slantwise bands. Secondary low-level bands form later in the simulations; these are attributed to the release of conditional symmetric instability. Enhanced deformation strain leads to earlier onset of convection and more coherent line convection. A stronger cold pool is generated, but its speed is reduced relative to that seen in experiments with weaker deformational strain, because of inhibition by the strain field. Enhanced low-level baroclinicity leads to the generation of more inertial instability by line convection (for a given capping height of convection), and consequently greater strength of the slantwise circulations formed by M adjustment. These conclusions are based on experiments without a convective-parametrization scheme. Experiments using the standard or a modified scheme for this model demonstrate known problems with the use of this scheme at the awkward 4 km grid length used in these simulations. Copyright © 2008 Royal Meteorological Society

Crop yield reduction in the tropics under climate change: Processes and uncertainties

Many modelling studies examine the impacts of climate change on crop yield, but few explore either the underlying bio-physical processes, or the uncertainty inherent in the parameterisation of crop growth and development. We used a perturbed-parameter crop modelling method together with a regional climate model (PRECIS) driven by the 2071-2100 SRES A2 emissions scenario in order to examine processes and uncertainties in yield simulation. Crop simulations used the groundnut (i.e. peanut; Arachis hypogaea L.) version of the General Large-Area Model for annual crops (GLAM). Two sets of GLAM simulations were carried out: control simulations and fixed-duration simulations, where the impact of mean temperature on crop development rate was removed. Model results were compared to sensitivity tests using two other crop models of differing levels of complexity: CROPGRO, and the groundnut model of Hammer et al. [Hammer, G.L., Sinclair, T.R., Boote, K.J., Wright, G.C., Meinke, H., and Bell, M.J., 1995, A peanut simulation model: I. Model development and testing. Agron. J. 87, 1085-1093]. GLAM simulations were particularly sensitive to two processes. First, elevated vapour pressure deficit (VPD) consistently reduced yield. The same result was seen in some simulations using both other crop models. Second, GLAM crop duration was longer, and yield greater, when the optimal temperature for the rate of development was exceeded. Yield increases were also seen in one other crop model. Overall, the models differed in their response to super-optimal temperatures, and that difference increased with mean temperature; percentage changes in yield between current and future climates were as diverse as -50% and over +30% for the same input data. The first process has been observed in many crop experiments, whilst the second has not. Thus, we conclude that there is a need for: (i) more process-based modelling studies of the impact of VPD on assimilation, and (ii) more experimental studies at super-optimal temperatures. Using the GLAM results, central values and uncertainty ranges were projected for mean 2071-2100 crop yields in India. In the fixed-duration simulations, ensemble mean yields mostly rose by 10-30%. The full ensemble range was greater than this mean change (20-60% over most of India). In the control simulations, yield stimulation by elevated CO2 was more than offset by other processes-principally accelerated crop development rates at elevated, but sub-optimal, mean temperatures. Hence, the quantification of uncertainty can facilitate relatively robust indications of the likely sign of crop yield changes in future climates. (C) 2007 Elsevier B.V. All rights reserved.

Fine sediment delivery and transfer in lowland catchments: modelling suspended sediment concentrations in response to hydrological forcing

Fine sediment delivery to and storage in stream channel reaches can disrupt aquatic habitats, impact river hydromorphology, and transfer adsorbed nutrients and pollutants from catchment slopes to the fluvial system. This paper presents a modelling toot for simulating the time-dependent response of the fine sediment system in catchments, using an integrated approach that incorporates both land phase and in-stream processes of sediment generation, storage and transfer. The performance of the model is demonstrated by applying it to simulate in-stream suspended sediment concentrations in two lowland catchments in southern England, the Enborne and the Lambourn, which exhibit contrasting hydrological and sediment responses due to differences in substrate permeability. The sediment model performs well in the Enborne catchment, where direct runoff events are frequent and peak suspended sediment concentrations can exceed 600 mg l(-1). The general trends in the in-stream concentrations in the Lambourn catchment are also reproduced by the model, although the observed concentrations are low (rarely exceeding 50 mg l(-1)) and the background variability in the concentrations is not fully characterized by the model. Direct runoff events are rare in this highly permeable catchment, resulting in a weak coupling between the sediment delivery system and the catchment hydrology. The generic performance of the model is also assessed using a generalized sensitivity analysis based on the parameter bounds identified in the catchment applications. Results indicate that the hydrological parameters contributing to the sediment response include those controlling (1) the partitioning of runoff between surface and soil zone flows and (2) the fractional loss of direct runoff volume prior to channel delivery. The principal sediment processes controlling model behaviour in the simulations are the transport capacity of direct runoff and the in-stream generation, storage and release of the fine sediment fraction. The in-stream processes appear to be important in maintaining the suspended sediment concentrations during low flows in the River Enborne and throughout much of the year in the River Lambourn. Copyright (c) 2007 John Wiley & Sons, Ltd.

Atmosphere feedbacks during ENSO in a coupled GCM with a modified atmospheric convection scheme

The too diverse representation of ENSO in a coupled GCM limits one’s ability to describe future change of its properties. Several studies pointed to the key role of atmosphere feedbacks in contributing to this diversity. These feedbacks are analyzed here in two simulations of a coupled GCM that differ only by the parameterization of deep atmospheric convection and the associated clouds. Using the Kerry–Emanuel (KE) scheme in the L’Institut Pierre-Simon Laplace Coupled Model, version 4 (IPSL CM4; KE simulation), ENSO has about the right amplitude, whereas it is almost suppressed when using the Tiedke (TI) scheme. Quantifying both the dynamical Bjerknes feedback and the heat flux feedback in KE, TI, and the corresponding Atmospheric Model Intercomparison Project (AMIP) atmosphere-only simulations, it is shown that the suppression of ENSO in TI is due to a doubling of the damping via heat flux feedback. Because the Bjerknes positive feedback is weak in both simulations, the KE simulation exhibits the right ENSO amplitude owing to an error compensation between a too weak heat flux feedback and a too weak Bjerknes feedback. In TI, the heat flux feedback strength is closer to estimates from observations and reanalysis, leading to ENSO suppression. The shortwave heat flux and, to a lesser extent, the latent heat flux feedbacks are the dominant contributors to the change between TI and KE. The shortwave heat flux feedback differences are traced back to a modified distribution of the large-scale regimes of deep convection (negative feedback) and subsidence (positive feedback) in the east Pacific. These are further associated with the model systematic errors. It is argued that a systematic and detailed evaluation of atmosphere feedbacks during ENSO is a necessary step to fully understand its simulation in coupled GCMs.

Forest fire plumes over the North Atlantic: p-TOMCAT model simulations with aircraft and satellite measurements from the ITOP/ICARTT campaign

Intercontinental Transport of Ozone and Precursors (ITOP) (part of International Consortium for Atmospheric Research on Transport and Transformation (ICARTT)) was an intense research effort to measure long-range transport of pollution across the North Atlantic and its impact on O3 production. During the aircraft campaign plumes were encountered containing large concentrations of CO plus other tracers and aerosols from forest fires in Alaska and Canada. A chemical transport model, p-TOMCAT, and new biomass burning emissions inventories are used to study the emissions long-range transport and their impact on the troposphere O3 budget. The fire plume structure is modeled well over long distances until it encounters convection over Europe. The CO values within the simulated plumes closely match aircraft measurements near North America and over the Atlantic and have good agreement with MOPITT CO data. O3 and NOx values were initially too great in the model plumes. However, by including additional vertical mixing of O3 above the fires, and using a lower NO2/CO emission ratio (0.008) for boreal fires, O3 concentrations are reduced closer to aircraft measurements, with NO2 closer to SCIAMACHY data. Too little PAN is produced within the simulated plumes, and our VOC scheme's simplicity may be another reason for O3 and NOx model-data discrepancies. In the p-TOMCAT simulations the fire emissions lead to increased tropospheric O3 over North America, the north Atlantic and western Europe from photochemical production and transport. The increased O3 over the Northern Hemisphere in the simulations reaches a peak in July 2004 in the range 2.0 to 6.2 Tg over a baseline of about 150 Tg.

Factors governing cellular convection in orographic precipitation

The development of shallow cellular convection in warm orographic clouds is investigated through idealized numerical simulations of moist flow over topography using a cloud-resolving numerical model. Buoyant instability, a necessary element for moist convection, is found to be diagnosed most accurately through analysis of the moist Brunt–Väisälä frequency (N_m) rather than the vertical profile of θ_e. In statically unstable orographic clouds (N_m^2) < 0), additional environmental and terrain-related factors are shown to have major effects on the amount of cellularity that occurs in 2D simulations. One of these factors, the basic-state wind shear, may suppress convection in 2D yet allow for longitudinal convective roll circulations in 3D. The presence of convective structures within an orographic cloud substantially enhanced the maximum rainfall rates, precipitation efficiencies, and precipitation accumulations in all simulations.

Constraint release in entangled binary blends of linear polymers: a molecular dynamics study

We present extensive molecular dynamics simulations of the dynamics of diluted long probe chains entangled with a matrix of shorter chains. The chain lengths of both components are above the entanglement strand length, and the ratio of their lengths is varied over a wide range to cover the crossover from the chain reptation regime to tube Rouse motion regime of the long probe chains. Reducing the matrix chain length results in a faster decay of the dynamic structure factor of the probe chains, in good agreement with recent neutron spin echo experiments. The diffusion of the long chains, measured by the mean square displacements of the monomers and the centers of mass of the chains, demonstrates a systematic speed-up relative to the pure reptation behavior expected for monodisperse melts of sufficiently long polymers. On the other hand, the diffusion of the matrix chains is only weakly perturbed by the diluted long probe chains. The simulation results are qualitatively consistent with the theoretical predictions based on constraint release Rouse model, but a detailed comparison reveals the existence of a broad distribution of the disentanglement rates, which is partly confirmed by an analysis of the packing and diffusion of the matrix chains in the tube region of the probe chains. A coarse-grained simulation model based on the tube Rouse motion model with incorporation of the probability distribution of the tube segment jump rates is developed and shows results qualitatively consistent with the fine scale molecular dynamics simulations. However, we observe a breakdown in the tube Rouse model when the short chain length is decreased to around N-S = 80, which is roughly 3.5 times the entanglement spacing N-e(P) = 23. The location of this transition may be sensitive to the chain bending potential used in our simulations.

Northern Hemisphere extratropical cyclones in a warming climate in the HiGEM high-resolution climate model

Changes to the Northern Hemisphere winter (December, January and February) extratropical storm tracks and cyclones in a warming climate are investigated. Two idealised climate change experiments with HiGEM1.1, a doubled CO2 and a quadrupled CO2 experiment, are compared against a present day control run. An objective feature tracking method is used and a focus given to regional changes. The climatology of extratropical storm tracks from the control run is shown to be in good agreement with ERA-40, while the frequency distribution of cyclone intensity also compares well. In both simulations the mean climate changes are generally consistent with the simulations of the IPCC AR4 models, with a strongly enhanced surface warming at the winter pole and the reduced lower tropospheric warming over the North Atlantic Ocean associated with the slowdown of the Meridional Overturning Circulation. The circulation changes in the North Atlantic are different between the two idealised simulations with different CO2 forcings. In the North Atlantic the storm tracks are influenced by the slowdown of the MOC, the enhanced surface polar warming, and the enhanced upper tropical troposphere warming, giving a north eastward shift of the storm tracks in the 2XCO2 experiment, but no shift in the 4XCO2 experiment. Over the Pacific, in the 2XCO2 experiment, changes in the mean climate are associated with local temperature changes, while in the 4XCO2 experiment the changes in the Pacific are impacted by the weakened tropical circulation. The storm track changes are consistent with the shifts in the zonal wind. Total cyclone numbers are found to decrease over the Northern Hemisphere with increasing CO2 forcing. Changes in cyclone intensity are found using 850hPa vorticity, mean sea level pressure, and 850hPa winds. The intensity of the Northern Hemisphere cyclones is found to decrease relative to the control.

Classifying general nonlinear force laws in cell-based models via the continuum limit

though discrete cell-based frameworks are now commonly used to simulate a whole range of biological phenomena, it is typically not obvious how the numerous different types of model are related to one another, nor which one is most appropriate in a given context. Here we demonstrate how individual cell movement on the discrete scale modeled using nonlinear force laws can be described by nonlinear diffusion coefficients on the continuum scale. A general relationship between nonlinear force laws and their respective diffusion coefficients is derived in one spatial dimension and, subsequently, a range of particular examples is considered. For each case excellent agreement is observed between numerical solutions of the discrete and corresponding continuum models. Three case studies are considered in which we demonstrate how the derived nonlinear diffusion coefficients can be used to (a) relate different discrete models of cell behavior; (b) derive discrete, intercell force laws from previously posed diffusion coefficients, and (c) describe aggregative behavior in discrete simulations.

Parameterisation of orographic cloud dynamics in a GCM

A new parameterisation is described that predicts the temperature perturbations due to sub-grid scale orographic gravity waves in the atmosphere of the 19 level HadAM3 version of the United Kingdom Met Office Unified Model. The explicit calculation of the wave phase allows the sign of the temperature perturbation to be predicted. The scheme is used to create orographic clouds, including cirrus, that were previously absent in model simulations. A novel approach to the validation of this parameterisation makes use of both satellite observations of a case study, and a simulation in which the Unified Model is nudged towards ERA-40 assimilated winds, temperatures and humidities. It is demonstrated that this approach offers a feasible way of introducing large scale orographic cirrus clouds into GCMs.