Spurious regressions of stationary AR(p) processes with structural breaks

When a pair of independent series is highly persistent, there is a spurious regression bias in a regression between these series, closely related to the classic studies of Granger and Newbold (1974). Although this is well known to occur with independent I(1) processes, this paper provides theoretical and numerical evidence that the phenomenon of spurious regression also arises in regressions between stationary AR(p) processes with structural breaks, which occur at different points in time, in the means and the trends. The intuition behind this is that structural breaks can increase the persistence levels in the processes (e.g., Granger and Hyung (2004)), which then leads to spurious regressions. These phenomena occur for general distributions and serial dependence of the innovation terms

Optimal long term investment in a jump diffusion setting : a large deviation approach

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk

Optimal investment and asymmetric risk for a large portfolio: a large deviations approach

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk

Studies on the clinical significance of nonesterified and total cholesterol in urine

Gas-liquid chromatographic determinations of nonesterified and total urinary cholesterol were performed in 137 normals, 264 patients with various internal diseases without evidence of neoplasias or diseases of the kidney or urinary tract, 497 patients with malignancies and 236 patients with diseases of the kidney, urinary tract infections or prostatic adenoma with residual urine. A normal range (mean±2 SD) of 0.2–2.2 mg/24 hours nonesterified cholesterol (NEC) and of 0.3–3.0 mg/24 hours total cholesterol (TC) was calculated. Values of urinary cholesterol excretion were independent of age and sex and did not correlate with cholesterol levels in plasma. Patients with various internal diseases, without evidence of neoplasias nor diseases of the kidney or obstruction of the urinary tract, showed normal urinary cholesterol excretions, as did patients with infections of the urinary tract. However, elevated urinary cholesterol was found in patients with diseases of the kidney or urinary tract obstruction (prostatic adenoma with residual urine), malignant diseases of the urogenital tract and metastasing carcinoma of the breast. In patients with other malignant diseases urinary cholesterol was usually normal. Lesions of the urothelial cell membranes are considered to be the most likely cause of urinary cholesterol hyperexcretion. The clinical value of urinary cholesterol determinations as a possible screening test for urogenital carcinomas in unselected populations is limited by lacking specificity, expensive methodology and low prevalence of the mentioned carcinomas, although elevated urinary cholesterol excretions have been observed in early clinical stages of urogenital cancers

Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data

We study estimation uncertainty when the object of interest contains one or more ratios of parameters. The ratio of parameters is a discontinuous parameter transformation; it has been shown that traditional confidence intervals often fail to cover this true ratio w

Two-dimensional Dirac fermions in a topological insulator: transport in the quantum limit

Pulsed magnetic fields of up to 55T are used to investigate the transport properties of the topological insulator Bi_2Se_3 in the extreme quantum limit. For samples with a bulk carrier density of n = 2.9\times10^16cm^-3, the lowest Landau level of the bulk 3D Fermi surface is reached by a field of 4T. For fields well beyond this limit, Shubnikov-de Haas oscillations arising from quantization of the 2D surface state are observed, with the \nu =1 Landau level attained by a field of 35T. These measurements reveal the presence of additional oscillations which occur at fields corresponding to simple rational fractions of the integer Landau indices.Comment: 5 pages, 4 figure

Activation of Human Stearoyl-Coenzyme A Desaturase 1 Contributes to the Lipogenic Effect of PXR in HepG2 Cells

The pregnane X receptor (PXR) was previously known as a xenobiotic receptor. Several recent studies suggested that PXR also played an important role in lipid homeostasis but the underlying mechanism remains to be clearly defined. In this study, we found that rifampicin, an agonist of human PXR, induced lipid accumulation in HepG2 cells. Lipid analysis showed the total cholesterol level increased. However, the free cholesterol and triglyceride levels were not changed. Treatment of HepG2 cells with rifampicin induced the expression of the free fatty acid transporter CD36 and ABCG1, as well as several lipogenic enzymes, including stearoyl-CoA desaturase-1 (SCD1), long chain free fatty acid elongase (FAE), and lecithin-cholesterol acyltransferase (LCAT), while the expression of acyl:cholesterol acetyltransferase(ACAT1) was not affected. Moreover, in PXR over-expressing HepG2 cells (HepG2-PXR), the SCD1 expression was significantly higher than in HepG2-Vector cells, even in the absence of rifampicin. Down-regulation of PXR by shRNA abolished the rifampicin-induced SCD1 gene expression in HepG2 cells. Promoter analysis showed that the human SCD1 gene promoter is activated by PXR and a novel DR-7 type PXR response element (PXRE) response element was located at -338 bp of the SCD1 gene promoter. Taken together, these results indicated that PXR activation promoted lipid synthesis in HepG2 cells and SCD1 is a novel PXR target gene. © 2013 Zhang et al