Instrumental variables quantile regression for panel data with measurement errors

This paper develops an instrumental variables estimator for quantile regression in panel data with fixed effects. Asymptotic properties of the instrumental variables estimator are studied for large N and T when Na/T ! 0, for some a > 0. Wald and Kolmogorov-Smirnov type tests for general linear restrictions are developed. The estimator is applied to the problem of measurement errors in variables, which induces endogeneity and as a result bias in the model. We derive an approximation to the bias in the quantile regression fixed effects estimator in the presence of measurement error and show its connection to similar effects in standard least squares models. Monte Carlo simulations are conducted to evaluate the finite sample properties of the estimator in terms of bias and root mean squared error. Finally, the methods are applied to a model of firm investment. The results show interesting heterogeneity in the Tobin’s q and cash flow sensitivities of investment. In both cases, the sensitivities are monotonically increasing along the quantiles

Threshold quantile autoregressive models

We study in this article threshold quantile autoregressive processes. In particular we propose estimation and inference of the parameters in nonlinear quantile processes when the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vector is estimated consistently. We derive the asymptotic properties of the nonlinear threshold quantile autoregressive estimator. In addition, we develop hypothesis tests for detecting threshold nonlinearities in the quantile process when the threshold parameter vector is not identified under the null hypothesis. In this case we propose to approximate the asymptotic distribution of the composite test using a p-value transformation. This test contributes to the literature on nonlinearity tests by extending Hansen’s (Econometrica 64, 1996, pp.413-430) methodology for the conditional mean process to the entire quantile process. We apply the proposed methodology to model the dynamics of US unemployment growth after the Second World War. The results show evidence of important heterogeneity associated with unemployment, and strong asymmetric persistence on unemployment growth

Proper motions in the VVV Survey: Results for more than 15 million stars across NGC 6544

Context: In the last six years, the VVV survey mapped 562 sq. deg. across the bulge and southern disk of the Galaxy. However, a detailed study of these regions, which includes $\sim 36$ globular clusters (GCs) and thousands of open clusters is by no means an easy challenge. High differential reddening and severe crowding along the line of sight makes highly hamper to reliably distinguish stars belonging to different populations and/or systems. Aims: The aim of this study is to separate stars that likely belong to the Galactic GC NGC 6544 from its surrounding field by means of proper motion (PM) techniques. Methods: This work was based upon a new astrometric reduction method optimized for images of the VVV survey. Results: Photometry over the six years baseline of the survey allowed us to obtain a mean precision of $\sim0.51$ mas/yr, in each PM coordinate, for stars with Ks < 15 mag. In the area studied here, cluster stars separate very well from field stars, down to the main sequence turnoff and below, allowing us to derive for the first time the absolute PM of NGC 6544. Isochrone fitting on the clean and differential reddening corrected cluster color magnitude diagram yields an age of $\sim$ 11-13 Gyr, and metallicity [Fe/H] = -1.5 dex, in agreement with previous studies restricted to the cluster core. We were able to derive the cluster orbit assuming an axisymmetric model of the Galaxy and conclude that NGC 6544 is likely a halo GC. We have not detected tidal tail signatures associated to the cluster, but a remarkable elongation in the galactic center direction has been found. The precision achieved in the PM determination also allows us to separate bulge stars from foreground disk stars, enabling the kinematical selection of bona fide bulge stars across the whole survey area. Our results show that VVV data is perfectly suitable for this kind of analysis.Comment: 13 pages, 12 figures, accepted in A&

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

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

Density-dependent interactions and structure of charged colloidal dispersions in the weak screening regime

We determine the structure of charge-stabilized colloidal suspensions at low ionic strength over an extended range of particle volume fractions using a combination of light and small angle neutron scattering experiments. The variation of the structure factor with concentration is analyzed within a one-component model of a colloidal suspension. We show that the observed structural behavior corresponds to a non-monotonic density dependence of the colloid effective charge and the mean interparticle interaction energy. Our findings are corroborated by similar observations from primitive model computer simulations of salt-free colloidal suspensions.Comment: Revised version, accepted to Phys. Rev. Let

Clarificación de valores en estudiantes de 9° de educación básica. Una experiencia desde la investigación acción participante (IAP)

Este texto se presentó como comunicación al II Congreso Internacional de Etnografía y Educación: Migraciones y Ciudadanías. Universidad Autónoma de Barcelona, Barcelona, 5-8 Septiembre 2008La formación ética y moral del estudiantado es sin duda un compromiso de la educación formal y un deber insoslayable de todo docente. Autores como Payá (1999) sostienen que la educación no es neutra, que educar significa educar en valores. En los últimos años la información sobre educación en valores se ha difundido ampliamente y a todos los niveles. Este proceso implica, además de un período de sensibilización, la puesta en práctica de una serie de metodologías destinadas a facilitar la educación en valores en los distintos niveles del quehacer educativo. Una de las más utilizadas es el Método de Clarificación de Valores, razón por la cual se abordó la presente investigación en el proceso educativo de estudiantes de 9º de educación básica desde la experiencia de investigación acción participante (IAP). El tipo de investigación utilizado fue la etnografía, mediante el diseño metodológico de Investigación Acción Participativa. La información ha sido recogida a través de entrevistas, observación, registro descriptivo y diario de campo. Los insumos se analizaron mediante la técnica de la triangulación, obteniendo resultados que permiten concluir la necesidad de efectuar el proceso educativo centrado en valores, donde los alumnos desarrollen y practiquen los valores que regirán su vida; la apreciación de una actitud reflexiva por parte de los involucrados, durante y después de las actividades desarrolladas así como la adquisición de una herramienta para el abordaje de nuevos valores. Adicionalmente a esta conclusión se resalta el papel que juegan los docentes de todo nivel para la supervivencia de valores cónsonos con el desarrollo de la humanidad, serán ellos lo protagonistas y deberán asumir implícitamente las relaciones simbióticas entre el hombre, sociedad, tecnología, conocimiento y naturaleza y trasladarlas hacia el joven estudiante, se trata de crear a unos jóvenes capaces de resistir la barbarie que ha traído la modernización y con ella el cambio de la escala de los valores de los ciudadanos, en tanto el rol de las instituciones educativas debe estar dirigido hacia la promoción de experiencias significativas que conduzcan a la formación de un ser humano capaz de desarrollarse en la sociedad en la cual estamos inmersos y que de una manera crítica, practique como norma de vida la libertad, la tolerancia, la honestidad, el compañerismo, la cooperación y la justicia, ya que la clave del éxito está en crear una dinámica donde se desarrollen los valores