Econometric Modelling with Time Series : Specification, Estimation and Testing

This book provides a general framework for specifying, estimating, and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation, and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

Computational science for undergraduate biologists via QUT.Bio.Excel

Molecular biology is a scientific discipline which has changed fundamentally in character over the past decade to rely on large scale datasets – public and locally generated - and their computational analysis and annotation. Undergraduate education of biologists must increasingly couple this domain context with a data-driven computational scientific method. Yet modern programming and scripting languages and rich computational environments such as R and MATLAB present significant barriers to those with limited exposure to computer science, and may require substantial tutorial assistance over an extended period if progress is to be made. In this paper we report our experience of undergraduate bioinformatics education using the familiar, ubiquitous spreadsheet environment of Microsoft Excel. We describe a configurable extension called QUT.Bio.Excel, a custom ribbon, supporting a rich set of data sources, external tools and interactive processing within the spreadsheet, and a range of problems to demonstrate its utility and success in addressing the needs of students over their studies.

Semiparametric estimates of the supply and demand effects of disability on labor force participation

This paper modifies and uses the semiparametric methods of Ichimura and Lee (1991) on standard cross-section data to decompose the effect of disability on labor force participation into a demand and a supply effect. It shows that straightforward use of Ichimura and Lee leads to meaningless results while imposing monotonicity on the unknown function leads to substantial results. The paper finds that supply effects dominate the demand effects of disability.

Semiparametric estimation of count regression models

This paper develops a semiparametric estimation approach for mixed count regression models based on series expansion for the unknown density of the unobserved heterogeneity. We use the generalized Laguerre series expansion around a gamma baseline density to model unobserved heterogeneity in a Poisson mixture model. We establish the consistency of the estimator and present a computational strategy to implement the proposed estimation techniques in the standard count model as well as in truncated, censored, and zero-inflated count regression models. Monte Carlo evidence shows that the finite sample behavior of the estimator is quite good. The paper applies the method to a model of individual shopping behavior. © 1999 Elsevier Science S.A. All rights reserved.

Annual miles drive used car prices

This paper investigates whether the net benefits from owning a vehicle, proxied by annual miles driven, explain the price declines observed over a vehicle's life. We first model the household decision on how much to drive each of its vehicles. Then we empirically establish that variation in household annual miles across brands explains observed price declines. Furthermore, the effect of vehicle age on annual miles decisions (and consequently on market value) depends on household characteristics and the composition of the vehicle stock owned.

Measuring the preference for dwelling characteristics of Melbourne : railway stations and house prices

The relationship between public transportation and home values has proven to be complex, with studies providing divergent findings. Using Victorian Valuer General Data for 2009, this paper applies a hedonic pricing approach to the Melbourne metropolitan housing market in order to estimate the impacts of proximity to a train station on residential property prices. The findings reveal a negative impact on dwelling price for those properties within 125 metres from a train station and a positive relationship between dwelling price and proximity for properties more than 125 metres away.

PRMT2 and RORγ expression are associated with breast cancer survival outcomes

Protein arginine methyltransferases (PRMTs) methylate arginine residues on histones and target transcription factors that play critical roles in many cellular processes, including gene transcription, mRNA splicing, proliferation, and differentiation. Recent studies have linked PRMT-dependent epigenetic marks and modifications to carcinogenesis and metastasis in cancer. However, the role of PRMT2-dependent signaling in breast cancer remains obscure. We demonstrate PRMT2 mRNA expression was significantly decreased in breast cancer relative to normal breast. Gene expression profiling, Ingenuity and protein-protein interaction network analysis after PRMT2-short interfering RNA transfection into MCF-7 cells, revealed that PRMT2-dependent gene expression is involved in cell-cycle regulation and checkpoint control, chromosomal instability, DNA repair, and carcinogenesis. For example, PRMT2 depletion achieved the following: 1) increased p21 and decreased cyclinD1 expression in (several) breast cancer cell lines, 2) decreased cell migration, 3) induced an increase in nucleotide excision repair and homologous recombination DNA repair, and 4) increased the probability of distance metastasis free survival (DMFS). The expression of PRMT2 and retinoid-related orphan receptor-γ (RORγ) is inversely correlated in estrogen receptor-positive breast cancer and increased RORγ expression increases DMFS. Furthermore, we found decreased expression of the PRMT2-dependent signature is significantly associated with increased probability of DMFS. Finally, weighted gene coexpression network analysis demonstrated a significant correlation between PRMT2-dependent genes and cell-cycle checkpoint, kinetochore, and DNA repair circuits. Strikingly, these PRMT2-dependent circuits are correlated with pan-cancer metagene signatures associated with epithelial-mesenchymal transition and chromosomal instability. This study demonstrates the role and significant correlation between a histone methyltransferase (PRMT2)-dependent signature, RORγ, the cell-cycle regulation, DNA repair circuits, and breast cancer survival outcomes.

Controlled systemic release of interleukin-12 after gene electrotransfer to muscle for cancer gene therapy alone or in combination with ionizing radiation in murine sarcomas

Background: The present study aimed to evaluate the antitumor effectiveness of systemic interleukin (IL)-12 gene therapy in murine sarcoma models, and to evaluate its interaction with the irradiation of tumors and metastases. To avoid toxic side-effects of IL-12 gene therapy, the objective was to achieve the controlled release of IL-12 after intramuscular gene electrotransfer. Methods: Gene electrotransfer of the plasmid pORF-mIL12 was performed into the tibialis cranialis in A/J and C57BL/6 mice. Systemic release of the IL-12 was monitored in the serum of mice after carrying out two sets of intramuscular IL-12 gene electrotransfer of two different doses of plasmid DNA. The antitumor effectiveness of IL-12 gene electrotransfer alone or in combination with local tumor or lung irradiation with X-rays, was evaluated on subcutaneous SA-1 and LPB tumors, as well as on lung metastases. Results: A synergistic antitumor effect of intramuscular gene electrotransfer combined with local tumor irradiation was observed as a result of the systemic distribution of IL-12. The gene electrotransfer resulted in up to 28% of complete responses of tumors. In combination with local tumor irradiation, the curability was increased by up to 100%. The same effect was observed for lung metastases, where a potentiating factor of 1.3-fold was determined. The amount of circulating IL-12 was controlled by the number of repeats of gene electrotransfer and by the amount of the injected plasmid. Conclusions: The present study demonstrates the feasibility of treatment by IL-12 gene electrotransfer combined with local tumor or lung metastases irradiation on sarcoma tumors for translation into the clinical setting. Copyright © 2009 John Wiley & Sons, Ltd.

Thatcher's Britain : a new take on an old illusion

The Thatcher Illusion is generally discussed as a phenomenon related to face perception. Nonetheless, we show that compellingly strong Thatcher Effects can be elicited with non-face stimuli, provided that the stimulus set has a familiar standard configuration and a canonical view. Apparently, the Thatcher Illusion is not about faces, nor is it about Thatcher. It just might, however, be about Britain...

A smooth transition logit model of the effects of deregulation in the electricity market

This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependent variable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants' behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.

The inner quality of an article: Will time tell?

In this paper, we assess whether quality survives the test of time in academia by comparing up to 80 years of academic journal article citations from two top journals, Econometrica and the American Economic Review. The research setting under analysis is analogous to a controlled real world experiment in that it involves a homogeneous task (trying to publish in top journals) by individuals with a homogenous job profile (academics) in a specific research environment (economics and econometrics). Comparing articles published concurrently in the same outlet at the same time (same issue) indicates that symbolic capital or power due to institutional affiliation or connection does seem to boost citation success at the beginning, giving those educated at or affiliated with leading universities an initial comparative advantage. Such advantage, however, does not hold in the long run: at a later stage,the publications of other researchers become as or even more successful.

Floods and property values: A hedonic property and efficiency analysis

This study investigates the impact floods on property values using the hedonic property price approach and other relevant econometric techniques. The main objectives of this research are to investigate (1) the impact of the release of flood-risk information and the actual floods on property values (2) the temporal behaviour of negative impacts (3) the property submarket behaviour (4) the behaviour of flood affected vs flood non-affected areas and (5) the property market efficiency. The thesis expanded on the existing literature on natural disasters by applying a range of econometric techniques. Findings of this research are useful for policy decision-making which is aimed at minimizing the negative impacts of natural hazards on property markets. The thesis findings also provide a better framework for decision-making in the property insurance market. The methodological improvements that are made in the thesis will be invaluable for analysing the impacts of natural hazards elsewhere.

Measurement of stenotic carotid arterial compliance with MRI

Arterial compliance has been shown to correlate well with overall cardiovascular outcome and it may also be a potential risk factor for the development of atheromatous disease. This study assesses the utility of 2-D phase contrast Magnetic Resonance (MR) imaging with intra-sequence blood pressure measurement to determine carotid compliance and distensibility. 20 patients underwent 2-D phase contrast MR imaging and also ultrasound-based wall tracking measurements. Values for carotid compliance and distensibility were derived from the two different modalities and compared. Linear regression analysis was utilised to determine the extent of correlation between MR and ultrasound derived parameters. In those variables that could be directly compared, an agreement analysis was undertaken. MR measures of compliance showed a good correlation with measures based on ultrasound wall-tracking (r=0.61, 95% CI 0.34 to 0.81 p=0.0003). Vessels that had undergone carotid endarterectomy previously were significantly less compliant than either diseased or normal contralateral vessels (p=0.04). Agreement studies showed a relatively poor intra-class correlation coefficient (ICC) between diameter-based measures of compliance through either MR or ultrasound (ICC=0.14). MRI based assessment of local carotid compliance appears to be both robust and technically feasible in most subjects. Measures of compliance correlate well with ultrasound-based values and correlate best when cross-sectional area change is used rather than derived diameter changes. If validated by further larger studies, 2-D phase contrast imaging with intra-sequence blood pressure monitoring and off-line radial artery tonometry may provide a useful tool in further assessment of patients with carotid atheroma.

Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.