A unifying approach to the empirical evaluation of asset pricing models

Two main approaches are commonly used to empirically evaluate linear factor pricingmodels: regression and SDF methods, with centred and uncentred versions of the latter.We show that unlike standard two-step or iterated GMM procedures, single-step estimatorssuch as continuously updated GMM yield numerically identical values for prices of risk,pricing errors, Jensen s alphas and overidentifying restrictions tests irrespective of the modelvalidity. Therefore, there is arguably a single approach regardless of the factors being tradedor not, or the use of excess or gross returns. We illustrate our results by revisiting Lustigand Verdelhan s (2007) empirical analysis of currency returns.

Wood ants protect their brood with tree resin

Social insects use multiple lines of collective defences to combat pathogens. One example of a behav- ioural group defence is the use of antimicrobial plant compounds to disinfect the nest. Indeed, wood ants collect coniferous tree resin, and the presence of resin in their nest protects them against fungal and bacterial pathogens. Many questions remain on the mechanisms of resin use, including which factors elicit resin collection and placement within nests. Here, we investigated whether the presence of brood induces Formica paralugubris workers to collect more resin, and whether the workers preferentially place resin near the brood. We also tested whether the collection and placement of resin depends on the presence of the fungal entomopathogen Beauveria bassiana. Workers brought more resin to their nest when brood was present, and preferentially placed the resin near the brood. In contrast, workers did not increase resin collection in response to exposure to B. bassiana, nor did they place resin closer to contaminated brood or contaminated areas of the nest. This lack of response may be explained by a limited effect of resin against the germination and growth of B. bassiana in vitro. Overall, our main result is that woods ants actively position resin near the brood, which probably confers prophylactic protection against other detrimental microorganisms.

Simple models for multi-attribute choice with many alternatives: When it does and does not pay to face tradeoffs with binary attributes

Working Paper no longer available. Please contact the author.

Terrestrial arthropods from tree canopies in the Pantanal of Mato Grosso, Brazil

Terrestrial arthropods from tree canopies in the Pantanal of Mato Grosso, Brazil. This study represents a contribution to the knowledge of the diversity of arthropods associated to the canopy of Vochysia divergens Pohl (Vochysiaceae). Three trees individuals were sampled during two seasonal periods in this region: a) by spraying one tree canopy during high water (February); b) by fogging two tree canopies during low water (September/October). The 15,744 arthropods (183.2±38.9 individuals/m²) obtained from all three trees (86 m²) represented 20 taxonomic orders, 87.1% were Insecta, and 12.9% Arachnida. The dominant groups were Hymenoptera (48.5%; 88.9 individuals/m²), mostly Formicidae (44.5%; 81.4 individuals/m²), followed by Coleoptera (14.0%; 25.5 individuals/m²) and Araneae (10.2%; 19.5 individuals/m²), together representing 62.5% of the total catch. Fourteen (70%) of all orders occurred on three trees. Dermaptera, Isoptera, Neuroptera, Odonata, Plecoptera and Trichoptera were collected from only one tree. Of the total, 2,197 adult Coleoptera collected (25.5±11.3 individuals/m²), 99% were assigned to 32 families and 256 morphospecies. Nitidulidae (17.9% of the total catch; 4.6 individuals/m²), Anobiidae (16.7%; 4.3 individuals/m²), Curculionidae (13.2%; 3.4 individuals/m²) and Meloidae (11.4%; 2.9 individuals/m²) dominated. The communitiy of adult Coleoptera on V. divergens indicated a dominance of herbivores (37.8% of the total catch, 127 spp.) and predators (35.2%, 82 spp.), followed by saprophages (16.2%, 32 spp.) and fungivores (10.8%, 15 spp.). The influence of the flood pulse on the community of arboreal arthropods in V. divergens is indicated by the seasonal variation in evaluated groups, causing changes in their structure and composition.

Adaptive learning in models with lagged variables

In this work I study the stability of the dynamics generated by adaptivelearning processes in intertemporal economies with lagged variables. Iprove that determinacy of the steady state is a necessary condition for the convergence of the learning dynamics and I show that the reciprocal is not true characterizing the economies where convergence holds. In the case of existence of cycles I show that there is not, in general, a relationship between determinacy and convergence of the learning process to the cycle. I also analyze the expectational stability of these equilibria.

In vitro and in vivo tumor models for studies of distribution of radiolabelled monoclonal antibodies and fragments.

Colon carcinoma multicellular spheroids were incubated in vitro with radiolabelled MAbs. The more rapid penetration of fragments as compared to intact MAbs was clearly demonstrated. For the study of antibody localization in tumors in vivo, the model of nude mice with ligated kidneys was used. Although very artificial, this model allowed to demonstrate that, without urinary excretion, Fab fragments accumulated more rapidly into the tumor than intact MAbs and disappeared faster from the blood. This difference was less striking for F(ab')2 fragments. In the liver a decreased accumulation of both types of fragments as compared to intact MAbs was observed. Concerning radioimmunotherapy we think that Fab fragments are not useful because of their too short half-life in the circulation and in tumor and because they will probably be too toxic for the kidneys. Intact MAbs and F(ab')2 fragments have each their advantages. Intact MAbs show highest tumor accumulation in mice without ligated kidney, however, they remain mostly on the periphery of tumor nodules, as shown by autoradiography. F(ab')2 fragments have been found to penetrate deeper into the tumor and to accumulate less in the liver. It might be therefore an advantage to combine intact MAbs with F(ab')2 fragments, so that in the tumor two different regions could be attacked whereas in normal tissues toxicity could be distributed to different organs such as to the liver with intact MAbs and to the kidney with F(ab')2 fragments.

Monetary policy misspecification in VAR models

We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated bya limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance decompositions give misleadingrepresentations of the dynamics. Explanations for the results and suggestions for macroeconomic practice are provided.

Consumer Advisory Bulletin, Tree-Trim Tips: Consumer Tips for Iowans with Storm-Damaged Trees, January 2008

The Attorney General’s Consumer Protection Division receives hundreds of calls and consumer complaints every year. Follow these tips to avoid unexpected expense and disappointments. This record is about: International Lottery Schemes: You're the Loser!

Testing demographic models of effective population size.

Due to practical difficulties in obtaining direct genetic estimates of effective sizes, conservation biologists have to rely on so-called 'demographic models' which combine life-history and mating-system parameters with F-statistics in order to produce indirect estimates of effective sizes. However, for the same practical reasons that prevent direct genetic estimates, the accuracy of demographic models is difficult to evaluate. Here we use individual-based, genetically explicit computer simulations in order to investigate the accuracy of two such demographic models aimed at investigating the hierarchical structure of populations. We show that, by and large, these models provide good estimates under a wide range of mating systems and dispersal patterns. However, one of the models should be avoided whenever the focal species' breeding system approaches monogamy with no sex bias in dispersal or when a substructure within social groups is suspected because effective sizes may then be strongly overestimated. The timing during the life cycle at which F-statistics are evaluated is also of crucial importance and attention should be paid to it when designing field sampling since different demographic models assume different timings. Our study shows that individual-based, genetically explicit models provide a promising way of evaluating the accuracy of demographic models of effective size and delineate their field of applicability.

Back to square one: Identification issues in DSGE models

We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. We show that observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t-statistics and may induce investigators to select false models. We examine whether different objective functions affect identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to detect identification failures and apply them to a state-of-the-art model.