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

(Pseudo)Scalar Charmonium in Finite Temperature QCD

The hadronic parameters of pseudoscalar ($\eta_c$) and scalar ($\chi_c$) charmonium are determined at finite temperature from Hilbert moment QCD sum rules. These parameters are the hadron mass, leptonic decay constant, total width, and continuum threshold ($s_0$). Results for $s_0(T)$ in both channels indicate that $s_0(T)$ starts approximately constant, and then it decreases monotonically with increasing $T$ until it reaches the QCD threshold, $s_{th} = 4 m_Q^2$, at a critical temperature T = T_c \simeq 180 \; \mbox{MeV} interpreted as the deconfinement temperature. The other hadronic parameters behave qualitatively similarly to those of the $J/\psi$, as determined in this same framework. The hadron mass is essentially constant, the total width is initially independent of T, and after $T/T_c \simeq 0.80$ it begins to increase with increasing $T$ up to $T/T_c \simeq 0.90 \; (0.95)$ for $\chi_c$ ($\eta_c$), and subsequently it decreases sharply up to $T \simeq 0.94 \; (0.99) \; T_c$, for $\chi_c$ ($\eta_c$), beyond which the sum rules are no longer valid. The decay constant of $\chi_c$ at first remains basically flat up to $T \simeq 0.80\; T_c$, then it starts to decrease up to $T \simeq 0.90 \;T_c$, and finally it increases sharply with increasing $T$. In the case of $\eta_c$ the decay constant does not change up to $T \simeq 0.80 \;T_c$ where it begins a gentle increase up to $T \simeq 0.95 \;T_c$ beyond which it increases dramatically with increasing $T$. This behaviour contrasts with that of light-light and heavy-light quark systems, and it suggests the survival of the $\eta_c$ and the $\chi_c$ states beyond the critical temperature, as already found for the $J/\psi$ from similar QCD sum rules. These conclusions are very stable against changes in the critical temperature in the wide range T_c = 180 - 260 \; \mbox{MeV}.Comment: 12 pages, 5 figures. A wide range of critical temperatures has been considered. No qualitative changes to the conclusion

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

Automated composite ellipsoid modelling for high frequency GTD analysis

The preliminary results of a scheme currently being developed to fit a composite ellipsoid to the fuselage of a helicopter in the vicinity of the antenna location are discussed under the assumption that the antenna is mounted on the fuselage. The parameters of the close-fit composite ellipsoid would then be utilized as inputs into NEWAIR3, a code programmed in FORTRAN 77 for high frequency Geometrical Theory of Diffraction (GTD) Analysis of the radiation of airborne antennas

On the abundance discrepancy problem in HII regions

The origin of the abundance discrepancy is one of the key problems in the physics of photoionized nebula. In this work, we analize and discuss data for a sample of Galactic and extragalactic HII regions where this abundance discrepancy has been determined. We find that the abundance discrepancy factor (ADF) is fairly constant and of the order of 2 in all the available sample of HII regions. This is a rather different behaviour than that observed in planetary nebulae, where the ADF shows a much wider range of values. We do not find correlations between the ADF and the O/H, O++/H+ ratios, the ionization degree, Te(High), Te(Low)/ Te(High), FWHM, and the effective temperature of the main ionizing stars within the observational uncertainties. These results indicate that whatever mechanism is producing the abundance discrepancy in HII regions it does not substantially depend on those nebular parameters. On the contrary, the ADF seems to be slightly dependent on the excitation energy, a fact that is consistent with the predictions of the classical temperature fluctuations paradigm. Finally, we obtain that Te values obtained from OII recombination lines in HII regions are in agreement with those obtained from collisionally excited line ratios, a behaviour that is again different from that observed in planetary nebulae. These similar temperature determinations are in contradiction with the predictions of the model based on the presence of chemically inhomogeneous clumps but are consistent with the temperature fluctuations paradigm. We conclude that all the indications suggest that the physical mechanism responsible of the abundance discrepancy in HII regions and planetary nebulae are different.Comment: 14 pages, 8 figures, 9 tables. Accepted for publication in the Ap