Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

A fish-specific transposable element shapes the repertoire of p53 target genes in zebrafish.

Transposable elements, as major components of most eukaryotic organisms' genomes, define their structural organization and plasticity. They supply host genomes with functional elements, for example, binding sites of the pleiotropic master transcription factor p53 were identified in LINE1, Alu and LTR repeats in the human genome. Similarly, in this report we reveal the role of zebrafish (Danio rerio) EnSpmN6_DR non-autonomous DNA transposon in shaping the repertoire of the p53 target genes. The multiple copies of EnSpmN6_DR and their embedded p53 responsive elements drive in several instances p53-dependent transcriptional modulation of the adjacent gene, whose human orthologs were frequently previously annotated as p53 targets. These transposons define predominantly a set of target genes whose human orthologs contribute to neuronal morphogenesis, axonogenesis, synaptic transmission and the regulation of programmed cell death. Consistent with these biological functions the orthologs of the EnSpmN6_DR-colonized loci are enriched for genes expressed in the amygdala, the hippocampus and the brain cortex. Our data pinpoint a remarkable example of convergent evolution: the exaptation of lineage-specific transposons to shape p53-regulated neuronal morphogenesis-related pathways in both a hominid and a teleost fish.

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.

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.

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.

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.

Fish Kills in Iowa, 2008

This monthly report from the Iowa Department of Natural Resources is about the water quality management of Iowa's rivers, streams and lakes.