Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical analysis associated with the structure of the processes or the associated asymptotic theory. In this paper, we first derive necessary conditions for strict stationarity and ergodicity of three different specifications of the first-order smooth transition autoregressions with heteroskedastic errors. This is important, among other reasons, to establish the conditions under which the traditional LMlinearity tests based on Taylor expansions are valid. Second, we provide sufficient conditions for consistency and asymptotic normality of the Quasi- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors

Modelling and Simulation: An Overview

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal: the empirical properties of some estimators of long memory, characterising trader manipulation in a limit-order driven market, measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation, modelling tail credit risk using transition matrices, evaluation of the DPC-based inclusive payment system in Japan for cataract operations by a new model, the matching of lead underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan chart application, adaptive survey designs for sampling rare and clustered populations, income distribution inequality, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets, clean development mechanism in China: regional distribution and prospects, design and implementation of a Web-based groundwater data management system, the impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence, and coercive journal self citations, impact factor, journal influence and article influence

Modelling and Simulation: An Overview

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal: the empirical properties of some estimators of long memory, characterising trader manipulation in a limit-order driven market, measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation, modelling tail credit risk using transition matrices, evaluation of the DPC-based inclusive payment system in Japan for cataract operations by a new model, the matching of lead underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan chart application, adaptive survey designs for sampling rare and clustered populations, income distribution inequality, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets, clean development mechanism in China: regional distribution and prospects, design and implementation of a Web-based groundwater data management system, the impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence, and coercive journal self citations, impact factor, journal influence and article influence

Search for the Lepton-Number-Violating Decay Ξ−→pμ−μ−\Xi^- \to p \mu^- \mu^-

A sensitive search for the lepton-number-violating decay $\Xi^-\to p \mu^-\mu^-$ has been performed using a sample of $\sim10^9$ $\Xi^-$ hyperons produced in 800 GeV/$c$ $p$-Cu collisions. We obtain $\mathcal{B}(\Xi^-\to p \mu^-\mu^-)< 4.0\times 10^{-8}$ at 90% confidence, improving on the best previous limit by four orders of magnitude.Comment: 9 pages, 5 figures, to be published in Phys. Rev. Let

Critical Casimir effect in films for generic non-symmetry-breaking boundary conditions

Systems described by an O(n) symmetrical $\phi^4$ Hamiltonian are considered in a $d$-dimensional film geometry at their bulk critical points. A detailed renormalization-group (RG) study of the critical Casimir forces induced between the film's boundary planes by thermal fluctuations is presented for the case where the O(n) symmetry remains unbroken by the surfaces. The boundary planes are assumed to cause short-ranged disturbances of the interactions that can be modelled by standard surface contributions $\propto \bm{\phi}^2$ corresponding to subcritical or critical enhancement of the surface interactions. This translates into mesoscopic boundary conditions of the generic symmetry-preserving Robin type $\partial_n\bm{\phi}=\mathring{c}_j\bm{\phi}$. RG-improved perturbation theory and Abel-Plana techniques are used to compute the $L$-dependent part $f_{\mathrm{res}}$ of the reduced excess free energy per film area $A\to\infty$ to two-loop order. When $d<4$, it takes the scaling form $f_{\mathrm{res}}\approx D(c_1L^{\Phi/\nu},c_2L^{\Phi/\nu})/L^{d-1}$ as $L\to\infty$, where $c_i$ are scaling fields associated with the surface-enhancement variables $\mathring{c}_i$, while $\Phi$ is a standard surface crossover exponent. The scaling function $D(\mathsf{c}_1,\mathsf{c}_2)$ and its analogue $\mathcal{D}(\mathsf{c}_1,\mathsf{c}_2)$ for the Casimir force are determined via expansion in $\epsilon=4-d$ and extrapolated to $d=3$ dimensions. In the special case $\mathsf{c}_1=\mathsf{c}_2=0$, the expansion becomes fractional. Consistency with the known fractional expansions of D(0,0) and $\mathcal{D}(0,0)$ to order $\epsilon^{3/2}$ is achieved by appropriate reorganisation of RG-improved perturbation theory. For appropriate choices of $c_1$ and $c_2$, the Casimir forces can have either sign. Furthermore, crossovers from attraction to repulsion and vice versa may occur as $L$ increases.Comment: Latex source file, 40 pages, 9 figure

Genetic networks controlling retinal injury.

PURPOSE: The present study defines genomic loci underlying coordinate changes in gene expression following retinal injury. METHODS: A group of acute phase genes expressed in diverse nervous system tissues was defined by combining microarray results from injury studies from rat retina, brain, and spinal cord. Genomic loci regulating the brain expression of acute phase genes were identified using a panel of BXD recombinant inbred (RI) mouse strains. Candidate upstream regulators within a locus were defined using single nucleotide polymorphism databases and promoter motif databases. RESULTS: The acute phase response of rat retina, brain, and spinal cord was dominated by transcription factors. Three genomic loci control transcript expression of acute phase genes in brains of BXD RI mouse strains. One locus was identified on chromosome 12 and was highly correlated with the expression of classic acute phase genes. Within the locus we identified the inhibitor of DNA binding 2 (Id2) as a candidate upstream regulator. Id2 was upregulated as an acute phase transcript in injury models of rat retina, brain, and spinal cord. CONCLUSIONS: We defined a group of transcriptional changes associated with the retinal acute injury response. Using genetic linkage analysis of natural transcript variation, we identified regulatory loci and candidate regulators that control transcript levels of acute phase genes

Evaluating replicability of laboratory experiments in economics

The reproducibility of scientific findings has been called into question. To contribute data about reproducibility in economics, we replicate 18 studies published in the American Economic Review and the Quarterly Journal of Economics in 2011-2014. All replications follow predefined analysis plans publicly posted prior to the replications, and have a statistical power of at least 90% to detect the original effect size at the 5% significance level. We find a significant effect in the same direction as the original study for 11 replications (61%); on average the replicated effect size is 66% of the original. The reproducibility rate varies between 67% and 78% for four additional reproducibility indicators, including a prediction market measure of peer beliefs

Measurement of the Alpha Asymmetry Parameter for the Omega- to Lambda K- Decay

We have measured the alpha parameter of the Omega- to Lambda K- decay using data collected with the HyperCP spectrometer during the 1997 fixed-target run at Fermilab. Analyzing a sample of 0.96 million Omega- to Lambda K^-, Lambda to p pi- decays, we obtain alpha_Omega*alpha_Lambda = [1.33+/-0.33(stat)+/-0.52(syst)] x 10^{-2}. With the accepted value of alpha_Lambda, alpha_Omega is found to be [2.07+/-0.51(stat)+/-0.81(syst)] x 10^{-2}.Comment: 5 pages, 4 figures, to be appeared as a Rapid Communication in Phys. Rev.

HyperCP: A high-rate spectrometer for the study of charged hyperon and kaon decays

The HyperCP experiment (Fermilab E871) was designed to search for rare phenomena in the decays of charged strange particles, in particular CP violation in $\Xi$ and $\Lambda$ hyperon decays with a sensitivity of $10^{-4}$. Intense charged secondary beams were produced by 800 GeV/c protons and momentum-selected by a magnetic channel. Decay products were detected in a large-acceptance, high-rate magnetic spectrometer using multiwire proportional chambers, trigger hodoscopes, a hadronic calorimeter, and a muon-detection system. Nearly identical acceptances and efficiencies for hyperons and antihyperons decaying within an evacuated volume were achieved by reversing the polarities of the channel and spectrometer magnets. A high-rate data-acquisition system enabled 231 billion events to be recorded in twelve months of data-taking.Comment: 107 pages, 45 Postscript figures, 14 tables, Elsevier LaTeX, submitted to Nucl. Instrum. Meth.