Quantile autoregressive distributed lag model with an application to house price returns

This paper studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. Hence, we develop a quantile autoregressive distributed lag model (QADL). We show that these estimators are consistent and asymptotically normal. Inference based on Wald and Kolmogorov-Smirnov tests for general linear restrictions is proposed. An extensive Monte Carlo simulation is conducted to evaluate the properties of the estimators. We demonstrate the potential of the QADL model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behavior across the quantiles. The real GDP growth and interest rates also have an asymmetric impact on house prices variations

Tunneling of Born-Infeld Strings to D2-Branes

A Born-Infeld theory describing a D2-brane coupled to a 4-form RR field strength is considered, and the general solutions of the static and Euclidean time equations are derived and discussed. The period of the bounce solutions is shown to allow a consideration of tunneling and quantum-classical transitions in the sphaleron region. The order of such transitions, depending on the strength of the RR field strength, is determined. A criterion is then derived to confirm these findings.Comment: 20 pages, 7 postscript figures, will appear in NP

Performance of a prototype active veto system using liquid scintillator for a dark matter search experiment

We report the performance of an active veto system using a liquid scintillator with NaI(Tl) crystals for use in a dark matter search experiment. When a NaI(Tl) crystal is immersed in the prototype detector, the detector tags 48% of the internal K-40 background in the 0-10 keV energy region. We also determined the tagging efficiency for events at 6-20 keV as 26.5 +/- 1.7% of the total events, which corresponds to 0.76 +/- 0.04 events/keV/kg/day. According to a simulation, approximately 60% of the background events from U, Th, and K radioisotopes in photomultiplier tubes are tagged at energies of 0-10 keV. Full shielding with a 40-cm-thick liquid scintillator can increase the tagging efficiency for both the internal K-40 and external background to approximately 80%.Comment: Submitted to Nuclear Instruments and Methods in Physics Research Section

Which quantile is the most informative? Maximum likelihood, maximum entropy and quantile regression

This paper studies the connections among quantile regression, the asymmetric Laplace distribution, maximum likelihood and maximum entropy. We show that the maximum likelihood problem is equivalent to the solution of a maximum entropy problem where we impose moment constraints given by the joint consideration of the mean and median. Using the resulting score functions we propose an estimator based on the joint estimating equations. This approach delivers estimates for the slope parameters together with the associated “most probable” quantile. Similarly, this method can be seen as a penalized quantile regression estimator, where the penalty is given by deviations from the median regression. We derive the asymptotic properties of this estimator by showing consistency and asymptotic normality under certain regularity conditions. Finally, we illustrate the use of the estimator with a simple application to the U.S. wage data to evaluate the effect of training on wages