Bootstrapping a conditional moments test for normality after tobit estimation

Categorical and limited dependent variable models are routinely estimated via maximum likelihood. It is well-known that the ML estimates of the parameters are inconsistent if the distribution or the skedastic component is misspecified. When conditional moment tests were first developed by Newey (1985) and Tauchen (1985),they appeared to offer a wide range of easy-to-compute specification tests for categorical and limited dependent variable models estimated by maximum likelihood. However, subsequent studies found that using the asymptotic critical values produced severe size distortions. This paper presents simulation evidence that the standard conditional moment test for normality after tobit estimation has essentially no size distortion and reasonable power when the critical values are obtained via a parametric bootstrap. Copyright 2002 by Stata Corporation.conditional moment tests,bootstrap,tobit,normality

State Space Methods in Stata

We illustrate how to estimate parameters of linear state-space models using the Stata program sspace. We provide examples of how to use sspace to estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and dynamic-factor models. We also show how to compute one-step, filtered, and smoothed estimates of the series and the states; dynamic forecasts and their confidence intervals; and residuals.

On the integrability of Wilson loops in AdS_5 x S^5: Some periodic ansatze

Wilson loops are calculated within the AdS/CFT correspondence by finding a classical solution to the string equations of motion in AdS_5 x S^5 and evaluating its action. An important fact is that this sigma-model used to evaluate the Wilson loops is integrable, a feature that has gained relevance through the study of spinning strings carrying large quantum numbers and spin-chains. We apply the same techniques used to solve the equations for spinning strings to find the minimal surfaces describing a wide class of Wilson loops. We focus on different cases with periodic boundary conditions on the AdS_5 and S^5 factors and find a rich array of solutions. We examine the different phases that appear in the problem and comment on the applicability of integrability to the general problem.Comment: LaTex, 49 pages, 8 figure

An Exact Prediction of N=4 SUSYM Theory for String Theory

We propose that the expectation value of a circular BPS-Wilson loop in N=4 SUSYM can be calculated exactly, to all orders in a 1/N expansion and to all orders in g^2 N. Using the AdS/CFT duality, this result yields a prediction of the value of the string amplitude with a circular boundary to all orders in alpha' and to all orders in g_s. We then compare this result with string theory. We find that the gauge theory calculation, for large g^2 N and to all orders in the 1/N^2 expansion does agree with the leading string theory calculation, to all orders in g_s and to lowest order in alpha'. We also find a relation between the expectation value of any closed smooth Wilson loop and the loop related to it by an inversion that takes a point along the loop to infinity, and compare this result, again successfully, with string theory.Comment: LaTeX, 22 pages, 3 figures. Argument corrected and two new sections adde

Exact Results in ABJM Theory from Topological Strings

Recently, Kapustin, Willett and Yaakov have found, by using localization techniques, that vacuum expectation values of Wilson loops in ABJM theory can be calculated with a matrix model. We show that this matrix model is closely related to Chern-Simons theory on a lens space with a gauge supergroup. This theory has a topological string large N dual, and this makes possible to solve the matrix model exactly in the large N expansion. In particular, we find the exact expression for the vacuum expectation value of a 1/6 BPS Wilson loop in the ABJM theory, as a function of the 't Hooft parameters, and in the planar limit. This expression gives an exact interpolating function between the weak and the strong coupling regimes. The behavior at strong coupling is in precise agreement with the prediction of the AdS string dual. We also give explicit results for the 1/2 BPS Wilson loop recently constructed by Drukker and TrancanelliComment: 18 pages, two figures, small misprints corrected and references added, final version to appear in JHE

Generalized method of moments estimators in Stata

Stata 11 has new command gmm for estimating parameters by the generalized method of moments (GMM). gmm can estimate the parameters of linear and nonlinear models for cross-sectional, panel, and time-series data. In this presentation, I provide an introduction to GMM and to the gmm command.

New multivariate time-series estimators in Stata

Stata 11 has new commands sspace and dvech for estimating the parameters of space-space models and diagonal-vech multivariate GARCH models, respectively. In this presentation, I provide an introduction to space-space models, diagonal-vech multivariate GARCH models, the implemented estimators, and the new Stata commands.

A note on perturbation series in supersymmetric gauge theories

Exact results in supersymmetric Chern-Simons and N=2 Yang-Mills theories can be used to examine the quantum behavior of observables and the structure of the perturbative series. For the U(2) x U(2) ABJM model, we determine the asymptotic behavior of the perturbative series for the partition function and write it as a Borel transform. Similar results are obtained for N=2 SU(2) super Yang-Mills theory with four fundamental flavors and in N=2* super Yang-Mills theory, for the partition function as well as for the expectation values for Wilson loop and 't Hooft loop operators (in the 0 and 1 instanton sectors). In all examples, one has an alternate perturbation series where the coefficient of the nth term increases as n!, and the perturbation series are Borel summable. We also calculate the expectation value for a Wilson loop operator in the N=2* SU(N) theory at large N in different regimes of the 't Hooft gauge coupling and mass parameter. For large masses, the calculation reproduces the running gauge coupling for the pure N=2 SYM theory.Comment: 28 pages. V2: minor additions and reference adde