Matching on-the-fly in Sequential Experiments for Higher Power and Efficiency

We propose a dynamic allocation procedure that increases power and efficiency when measuring an average treatment effect in sequential randomized trials. Subjects arrive iteratively and are either randomized or paired via a matching criterion to a previously randomized subject and administered the alternate treatment. We develop estimators for the average treatment effect that combine information from both the matched pairs and unmatched subjects as well as an exact test. Simulations illustrate the method's higher efficiency and power over competing allocation procedures in both controlled scenarios and historical experimental data.Comment: 20 pages, 1 algorithm, 2 figures, 8 table

Differential expression analysis for sequence count data

*Motivation:* High-throughput nucleotide sequencing provides quantitative readouts in assays for RNA expression (RNA-Seq), protein-DNA binding (ChIP-Seq) or cell counting (barcode sequencing). Statistical inference of differential signal in such data requires estimation of their variability throughout the dynamic range. When the number of replicates is small, error modelling is needed to achieve statistical power.

*Results:* We propose an error model that uses the negative binomial distribution, with variance and mean linked by local regression, to model the null distribution of the count data. The method controls type-I error and provides good detection power. 

*Availability:* A free open-source R software package, _DESeq_, is available from the Bioconductor project and from "http://www-huber.embl.de/users/anders/DESeq":http://www-huber.embl.de/users/anders/DESeq

Mean reversion in stock index futures markets: a nonlinear analysis

Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean-reverting models are employed to characterize the basis of the SandP 500 and the FTSE 100 indices over the post-1987 crash period, capturing empirically these theoretical predictions and examining the view that the degree of mean reversion in the basis is a function of the size of the deviation from equilibrium. The estimated half lives of basis shocks, obtained using Monte Carlo integration methods, suggest that for smaller shocks to the basis level the basis displays substantial persistence, while for larger shocks the basis exhibits highly nonlinear mean reversion towards its equilibrium value. © 2002 Wiley Periodicals, Inc

Are Fruit and Vegetable Prices Non-linear Stationary? Evidence from Smooth Transition Autoregressive Models

Over the last decade, there has been a growing interest in investigating agricultural commodity prices. We apply two more powerful smooth transition autoregressive models of the non-linear unit-root test - namely, the ESTAR model of Kapetanios et al. [Journal of Econometrics (2003)] and the LSTAR model of Leybourne, et a . [Journal of Time Series Analysis (1998)] - with a view to investigating non-linear stationarity for the retail prices of 8 major kinds of fruit and 18 major kinds of vegetable in Taiwan. The empirical evidence clearly finds that the Kapetanios et al. model provides solid, substantive evidence in favor of a non-linear mean-reverting adjustment for the individual price of 4 kinds of fruit and 5 kinds of vegetable. However, when we employ the Leybourne et al. model, we find that any such similar evidence of non-linear stationarity is considerably weaker. Finally, compared with the traditional linear unit root tests, it is important to note here that, all in all, the non-linear unit root tests do indeed provide much more evidence of the stationarity, albeit to varying degrees. This paper offers some policy implications.Smooth transition autoregressive model; Non-linear stationary; Fruit price; Vegetable price; Taiwan

FORECASTING CATTLE PRICES IN THE PRESENCE OF STRUCTURAL CHANGE

Recent empirical research and development in the cattle industry suggest several reasons to suspect structural change in economic relationships determining cattle prices. Standard forecasting models may ignore structural change and may produce biased and misleading forecasts. Vector autoregressive (VAR) models that allow parameters to vary with time are used to forecast quarterly cattle prices. The VAR procedures are flexible in that they allow the identification of structural change that begins at an a priori unknown point and occurs gradually. The results indicate that the lowest RMSE for out-of-sample forecasts of cattle prices is obtained using a gradually switching VAR model. However, differences between the gradually switching VAR model and a univeriate ARIMA model are not strongly significant. Impulse response functions indicate that adjustments of cattle prices to new information have become faster in recent years.Demand and Price Analysis,

PECKING ORDER VERSUS TRADE-OFF: AN EMPIRICAL APPROACH TO THE SMALL AND MEDIUM ENTERPRISE CAPITAL STRUCTURE

In this paper, we explore two of the most relevant theories that explain financial policy in small and medium enterprises (SMEs): pecking order theory and trade-off theory. Panel data methodology is used to test the empirical hypotheses over a sample of 6482 Spanish SMEs during the five-year period 1994?1998. The results suggest that both theoretical approaches contribute to explain capital structure in SMEs. However, while we find evidence that SMEs attempt to achieve a target or optimum leverage (trade-off model), there is less support for the view that SMEs adjust their leverage level to their financing requirements (pecking order model). En este trabajo, exploramos dos de las teorías más relevantes que explican lapolítica de financiación de la pequeña y mediana empresa: la selección jerárquica y elequilibrio estático. El contraste de hipótesis se lleva a cabo con metodología de datos depanel, a partir de una muestra de 6482 pymes españolas, que presentan informaciónfinanciera a lo largo del periodo 1994-1998. Los resultados indican que ambos enfoquescontribuyen a explicar la estructura de capital de las pymes, si bien mientras que seconfirma la existencia de un endeudamiento objetivo u óptimo que estas empresas tratande alcanzar (modelo de equilibrio estático), no parece quedar claro que ajusten su nivelde deuda a sus necesidades de financiación (modelo de selección jerárquica).selección jerárquica, equilibrio estático, estructura de capital, pymes, datos de panel. Pecking Order, Trade-off, Capital Structure, Small and Medium Enterprises, Panel Data.

TESTING DYNAMIC MODELS OF THE FARM FIRM

In this paper two models of dynamic firm behavior are fitted to a data set developed from business records of Indiana dairy farms. The parametric restrictions implied by a cost-of-adjustment model are rejected. A less restrictive, disequilibrium model is accepted; this is a model of partial and interrelated adjustment among inputs and outputs. The results suggest that adjustment in quasi-fixed inputs is slow affecting the adjustment in variable inputs and outputs.Agricultural Finance, Livestock Production/Industries,

Public Inputs and Productivty in the Agricultural Sector: A Dynamic Dual Approach

This paper introduces a dynamic model of productivity measurement based on recent endogenous growth theories. The model presented in this study is based on dynamic duality theory and incorporate public goods (public capital and R&D) as external factors to the firms. It also rationalizes the provision of public inputs by a benevolent social planner that internalizes the effects of them. Moreover, the Le Chatelier principle is extended for this dynamic duality modelin which the public factors are quasi-fixed for the firm and all firm-specific inputs can be adjusted in the long run. Therefore, increasing returns to scale over all inputs can still be tested at the long-run equilibrium perceived by the firm. Additionally, this model permits deriving testable hypotheses related to the two conditions of endogenous growth theory mentioned above. The model is tested with data for the U.S. agricultural sector.endogenous growth, dynamic productivity, public goods, duality, U.S. agriculture