Firm investment in imperfect capital markets: A structural estimation

We set up a dynamic model of firm investment in which liquidity constraintsenter explicity into the firm's maximization problem. The optimal policyrules are incorporated into a maximum likelihood procedure which estimatesthe structural parameters of the model. Investment is positively related tothe firm's internal financial position when the firm is relatively poor. This relationship disappears for wealthy firms, which can reach theirdesired level of investment. Borrowing is an increasing function of financial position for poor firms. This relationship is reversed as a firm's financial position improves, and large firms hold little debt.Liquidity constrained firms may be unused credits lines and the capacity toinvest further if they desire. However the fear that liquidity constraintswill become binding in the future induces them to invest only when internalresources increase.We estimate the structural parameters of the model and use them to quantifythe importance of liquidity constraints on firms' investment. We find thatliquidity constraints matter significantly for the investment decisions of firms. If firms can finance investment by issuing fresh equity, rather than with internal funds or debt, average capital stock is almost 35% higher overa period of 20 years. Transitory shocks to internal funds have a sustained effect on the capital stock. This effect lasts for several periods and ismore persistent for small firms than for large firms. A 10% negative shock to firm fundamentals reduces the capital stock of firms which face liquidityconstraints by almost 8% over a period as opposed to only 3.5% for firms which do not face these constraints.

Inference with the lognormal distribution

Several estimators of the expectation, median and mode of the lognormal distribution are derived. They aim to be approximately unbiased, efficient, or have a minimax property in the class of estimators we introduce. The small-sample properties of these estimators are assessed by simulations and, when possible, analytically. Some of these estimators of the expectation are far more efficient than the maximum likelihood or the minimum-variance unbiased estimator, even for substantial samplesizes.

Comparative phylogeography of mutualists and the effect of the host on the genetic structure of its partners.

Whether or not species participating in specialized and obligate interactions display similar and simultaneous demographic variations at the intraspecific level remains an open question in phylogeography. In the present study, we used the mutualistic nursery pollination occurring between the European globeflower Trollius europaeus and its specialized pollinators in the genus Chiastocheta as a case study. Explicitly, we investigated if the phylogeographies of the pollinating flies are significantly different from the expectation under a scenario of plant-insect congruence. Based on a large-scale sampling, we first used mitochondrial data to infer the phylogeographical histories of each fly species. Then, we defined phylogeographical scenarios of congruence with the plant history, and used maximum likelihood and Bayesian approaches to test for plant-insect phylogeographical congruence for the three Chiastocheta species. We show that the phylogeographical histories of the three fly species differ. Only Chiastocheta lophota and Chiastocheta dentifera display strong spatial genetic structures, which do not appear to be statistically different from those expected under scenarios of phylogeographical congruence with the plant. The results of the present study indicate that the fly species responded in independent and different ways to shared evolutionary forces, displaying varying levels of congruence with the plant genetic structure

Molecular phylogenetics of soricid shrews (Mammalia) based on mitochondrial cytochrome b gene sequences: with special reference to the Soricinae

Molecular phylogeny of soricid shrews (Soricidae, Eulipotyphla, Mammalia) based on 1140 bp mitochondrial cytochrome b gene (cytb) sequences was inferred by the maximum likelihood (ML) method. All 13 genera of extant Soricinae and two genera of Crocidurinae were included in the analyses. Anourosorex was phylogenetically distant from the main groupings within Soricinae and Crocidurinae in the ML tree. Thus, it could not be determined to which subfamily Anourosorex should be assigned: Soricinae, Crocidurinae or a new subfamily. Soricinae (excluding Anourosorex) should be divided into four tribes: Neomyini, Notiosoricini, Soricini and Blarinini. However, monophyly of Blarinini was not robust in the present data set. Also, branching orders among tribes of Soricinae and those among genera of Neomyini could not be determined because of insufficient phylogenetic information of the cytb sequences. For water shrews of Neomyini (Chimarrogale, Nectogale and Neomys), monophyly of Neomys and the Chimarrogale-Nectogale group could not be verified, which implies the possibility of multiple origins for the semi-aquatic mode of living among taxa within Neomyini. Episoriculus may contain several separate genera. Blarinella was included in Blarinini not Soricini, based on the cytb sequences, but the confidence level was rather low; hence more phylogenetic information is needed to determine its phylogenetic position. Furthermore, some specific problems of taxonomy of soricid shrews were clarified, for example phylogeny of local populations of Notiosorex crawfordi, Chimarrogale himalayica and Crocidura attenuata.

Robust accelerated failure time regression

Robust estimators for accelerated failure time models with asymmetric (or symmetric) error distribution and censored observations are proposed. It is assumed that the error model belongs to a log-location-scale family of distributions and that the mean response is the parameter of interest. Since scale is a main component of mean, scale is not treated as a nuisance parameter. A three steps procedure is proposed. In the first step, an initial high breakdown point S estimate is computed. In the second step, observations that are unlikely under the estimated model are rejected or down weighted. Finally, a weighted maximum likelihood estimate is computed. To define the estimates, functions of censored residuals are replaced by their estimated conditional expectation given that the response is larger than the observed censored value. The rejection rule in the second step is based on an adaptive cut-off that, asymptotically, does not reject any observation when the data are generat ed according to the model. Therefore, the final estimate attains full efficiency at the model, with respect to the maximum likelihood estimate, while maintaining the breakdown point of the initial estimator. Asymptotic results are provided. The new procedure is evaluated with the help of Monte Carlo simulations. Two examples with real data are discussed.

Phylogenetic relationships and divergence times among dormice (Rodentia, Gliridae) based on three nuclear genes

We examined phylogenetic relationships among six species representing three subfamilies, Glirinae, Graphiurinae and Leithiinae with sequences from three nuclear protein-coding genes (apolipoprotein B, APOB; interphotoreceptor retinoid-binding protein, IRBP; recombination-activating gene 1, RAG1). Phylogenetic trees reconstructed from maximum-parsimony (MP), maximum-likelihood (ML) and Bayesian-inference (BI) analyses showed the monophyly of Glirinae (Glis and Glirulus) and Leithiinae (Dryomys, Eliomys and Muscardinus) with strong support, although the branch length maintaining this relationship was very short, implying rapid diversification among the three subfamilies. Divergence time estimates were calculated from ML (local clock model) and Bayesian-dating method using a calibration point of 25 Myr (million years) ago for the divergence between Glis and Glirulus, and 55 Myr ago for the split between lineages of Gliridae and Sciuridae on the basis of fossil records. The results showed that each lineage of Graphiuros, Glis, Glirulus and Muscardinus dates from the Late Oligocene to the Early Miocene period, which is mostly in agreement with fossil records. Taking into account that warm climate harbouring a glirid-favoured forest dominated from Europe to Asia during this period, it is considered that this warm environment triggered the prosperity of the glirid species through the rapid diversification. Glirulus japonicas is suggested to be a relict of this ancient diversification during the warm period.

Biometrical analysis and selection of tetraploid progenies of Panicum maximum using mixed model methods

The objectives of this work were to estimate the genetic and phenotypic parameters and to predict the genetic and genotypic values of the selection candidates obtained from intraspecific crosses in Panicum maximum as well as the performance of the hybrid progeny of the existing and projected crosses. Seventy-nine intraspecific hybrids obtained from artificial crosses among five apomictic and three sexual autotetraploid individuals were evaluated in a clonal test with two replications and ten plants per plot. Green matter yield, total and leaf dry matter yields and leaf percentage were evaluated in five cuts per year during three years. Genetic parameters were estimated and breeding and genotypic values were predicted using the restricted maximum likelihood/best linear unbiased prediction procedure (REML/BLUP). The dominant genetic variance was estimated by adjusting the effect of full-sib families. Low magnitude individual narrow sense heritabilities (0.02-0.05), individual broad sense heritabilities (0.14-0.20) and repeatability measured on an individual basis (0.15-0.21) were obtained. Dominance effects for all evaluated characteristics indicated that breeding strategies that explore heterosis must be adopted. Less than 5% increase in the parameter repeatability was obtained for a three-year evaluation period and may be the criterion to determine the maximum number of years of evaluation to be adopted, without compromising gain per cycle of selection. The identification of hybrid candidates for future cultivars and of those that can be incorporated into the breeding program was based on the genotypic and breeding values, respectively. The prediction of the performance of the hybrid progeny, based on the breeding values of the progenitors, permitted the identification of the best crosses and indicated the best parents to use in crosses.

On the inclusion of channel's time dependence in a hidden Markov model for blind channel estimation

In this paper, the theory of hidden Markov models (HMM) isapplied to the problem of blind (without training sequences) channel estimationand data detection. Within a HMM framework, the Baum–Welch(BW) identification algorithm is frequently used to find out maximum-likelihood (ML) estimates of the corresponding model. However, such a procedureassumes the model (i.e., the channel response) to be static throughoutthe observation sequence. By means of introducing a parametric model fortime-varying channel responses, a version of the algorithm, which is moreappropriate for mobile channels [time-dependent Baum-Welch (TDBW)] isderived. Aiming to compare algorithm behavior, a set of computer simulationsfor a GSM scenario is provided. Results indicate that, in comparisonto other Baum–Welch (BW) versions of the algorithm, the TDBW approachattains a remarkable enhancement in performance. For that purpose, onlya moderate increase in computational complexity is needed.

Second-order parameter estimation

This work provides a general framework for the design of second-order blind estimators without adopting anyapproximation about the observation statistics or the a prioridistribution of the parameters. The proposed solution is obtainedminimizing the estimator variance subject to some constraints onthe estimator bias. The resulting optimal estimator is found todepend on the observation fourth-order moments that can be calculatedanalytically from the known signal model. Unfortunately,in most cases, the performance of this estimator is severely limitedby the residual bias inherent to nonlinear estimation problems.To overcome this limitation, the second-order minimum varianceunbiased estimator is deduced from the general solution by assumingaccurate prior information on the vector of parameters.This small-error approximation is adopted to design iterativeestimators or trackers. It is shown that the associated varianceconstitutes the lower bound for the variance of any unbiasedestimator based on the sample covariance matrix.The paper formulation is then applied to track the angle-of-arrival(AoA) of multiple digitally-modulated sources by means ofa uniform linear array. The optimal second-order tracker is comparedwith the classical maximum likelihood (ML) blind methodsthat are shown to be quadratic in the observed data as well. Simulationshave confirmed that the discrete nature of the transmittedsymbols can be exploited to improve considerably the discriminationof near sources in medium-to-high SNR scenarios.

Determinação dos fatores de recuperação do 111In e do 99mTc na quantificação de atividade com imagens SPECT

OBJETIVO: Determinar, experimentalmente, os coeficientes de recuperação do 111In e do 99mTc usando imagens SPECT. MATERIAIS E MÉTODOS: Quatro diferentes concentrações de 111In e de 99mTc foram usadas para quantificar a atividade em esferas de diferentes tamanhos. As imagens foram obtidas com um equipamento híbrido SPECT/CT, com dois detectores. A reconstrução das imagens foi realizada usando o método iterativo ordered subset expectation maximization (OSEM). A correção de atenuação foi realizada com o uso de um mapa de atenuação e a correção de espalhamento foi realizada usando a técnica das janelas de energia. RESULTADOS: Os resultados mostraram que o efeito do volume parcial foi observado de forma mais significativa para as esferas com volume < 6 ml. Para o 111In, os resultados mostram uma dependência com relação às concentrações usadas nas esferas e ao nível de background usado. Para o 99mTc, pôde-se observar uma tendência à subestimação dos resultados quando os níveis mais altos de background foram utilizados. CONCLUSÃO: É necessário usar os fatores de correção para compensar o efeito do volume parcial em objetos com volume < 6 ml para ambos os radionuclídeos. A subtração das contagens espúrias presentes nas imagens SPECT foi o fator que mais influenciou na quantificação da atividade nessas esferas.

General Equilibrium Long-Run Determinants for Spanish FDI: A Spatial Panel Data Approach

While general equilibrium theories of trade stress the role of third-country effects, little work has been done in the empirical foreign direct investment (FDI) literature to test such spatial linkages. This paper aims to provide further insights into long-run determinants of Spanish FDI by considering not only bilateral but also spatially weighted third-country determinants. The few studies carried out so far have focused on FDI flows in a limited number of countries. However, Spanish FDI outflows have risen dramatically since 1995 and today account for a substantial part of global FDI. Therefore, we estimate recently developed Spatial Panel Data models by Maximum Likelihood (ML) procedures for Spanish outflows (1993-2004) to top-50 host countries. After controlling for unobservable effects, we find that spatial interdependence matters and provide evidence consistent with New Economic Geography (NEG) theories of agglomeration, mainly due to complex (vertical) FDI motivations. Spatial Error Models estimations also provide illuminating results regarding the transmission mechanism of shocks.

Indirect likelihood inference (revised)

Standard indirect Inference (II) estimators take a given finite-dimensional statistic, Z_{n} , and then estimate the parameters by matching the sample statistic with the model-implied population moment. We here propose a novel estimation method that utilizes all available information contained in the distribution of Z_{n} , not just its first moment. This is done by computing the likelihood of Z_{n}, and then estimating the parameters by either maximizing the likelihood or computing the posterior mean for a given prior of the parameters. These are referred to as the maximum indirect likelihood (MIL) and Bayesian Indirect Likelihood (BIL) estimators, respectively. We show that the IL estimators are first-order equivalent to the corresponding moment-based II estimator that employs the optimal weighting matrix. However, due to higher-order features of Z_{n} , the IL estimators are higher order efficient relative to the standard II estimator. The likelihood of Z_{n} will in general be unknown and so simulated versions of IL estimators are developed. Monte Carlo results for a structural auction model and a DSGE model show that the proposed estimators indeed have attractive finite sample properties.

Phylogenetic analysis of Tomato mosaic virus from Hemerocallis sp. and Impatiens hawkeri

The culture and commercialization of ornamental plants have considerably increased in the last years. To supply the commercial demand, several Hemerocallis and Impatiens varieties have been bred for appreciated qualities such as flowers with a diversity of shapes and colors. With the aim of characterizing the tobamovirus isolated from Hemerocallis sp. (tobamo-H) and Impatiens hawkeri (tobamo-I) from the USA and São Paulo, respectively, as well as to establish phylogenetic relationships between them and other Tobamovirus species, the viruses were submitted to RNA extraction, RT-PCR amplification, coat-protein gene sequencing and phylogenetic analyses. Comparison of tobamovirus homologous sequences yielded values superior to 98.5% of identity with Tomato mosaic virus (ToMV) isolates at the nucleotide level. In relation to tobamo-H, 100% of identity with ToMV from tomatoes from Australia and Peru was found. Based on maximum likelihood (ML) analysis it was suggested that tobamo-H and tobamo-I share a common ancestor with ToMV, Tobacco mosaic virus, Odontoglossum ringspot virus and Pepper mild mottle virus. The tree topology reconstructed under ML methodology shows a monophyletic group, supported by 100% of bootstrap, consisting of various ToMV isolates from different hosts, including some ornamentals, from different geographical locations. The results indicate that Hemerocallis sp. and I. hawkeri are infected by ToMV. This is the first report of the occurrence of this virus in ornamental species in Brazil.

Heterotachy and long-branch attraction in phylogenetics

Affiliation: Département de Biochimie, Faculté de médecine, Université de Montréal

A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables.