1,476 research outputs found
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
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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.
Filtering and decomposing time series in Stata 12
In this talk, I introduce new methods in Stata 12 for filtering and decomposing time series and I show how to implement them. I provide an underlying framework for understanding and comparing the different methods. I also present a framework for interpreting the parameters.
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