Semiparametric Cointegrating Rank Selection

Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient C_n -> infinity and C_n/n -> 0 as n -> infinity. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on finite sample performance of the criterion are reported.Cointegrating rank, Consistency, Information criteria, Model selection, Nonparametric, Short memory, Unit roots

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. These are shown to be asymptotically efficient, having the same limit distribution as the infeasible generalized least squares (GLS). Comparisons of the efficient procedure and the ordinary least squares (OLS) reveal that least squares can be extremely inefficient in some cases while nearly optimal in others. Simulations show that, when least squares work well, the adaptive estimators perform comparably well, whereas when least squares work poorly, major efficiency gains are achieved by the new estimators.Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. These are shown to be asymptotically efficient, having the same limit distribution as the infeasible generalized least squares (GLS). Comparisons of the efficient procedure and ordinary least squares (OLS) reveal that least squares can be extremely inefficient in some cases while nearly optimal in others. Simulations show that, when least squares work well, the adaptive estimators perform comparably well, whereas when least squares work poorly, major efficiency gains are achieved by the new estimators.Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

Cointegrating Rank Selection in Models with Time-Varying Variance

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting volatility provided the penalty coefficient C n → infinity and C n /n → 0 as n → ∞. The AIC criterion is inconsistent and its limit distribution is given. The results extend those in Cheng and Phillips (2008) and are useful in empirical work where structural breaks or time evolution in the error variances is present. An empirical application to exchange rate data is provided

Upregulation of contractile endothelin type B receptors by lipid-soluble cigarette smoking particles in rat cerebral arteries via activation of MAPK

Cigarette smoke exposure increases the risk of stroke. However, the underlying molecular mechanisms are poorly understood. Endothelin system plays key roles in the pathogenesis of stroke. The present study was designed to examine if lipid-soluble (dimethyl sulfoxide-soluble) cigarette smoke particles (DSP) induces upregulation of contractile endothelin type B (ETB) receptors in rat cerebral arteries and if activation of mitogen activated protein kinase (MAPK) and nuclear factor-kappaB (NF-kappa B) mediate the upregulation of contractile endothelin receptors in the cerebral arteries. Rat middle cerebral arteries were isolated and organ cultured in serum free medium for 24 h in the presence of DSP with or without specific inhibitors: MEK specific (U0126), p38 specific (SB202190). JNK specific (SP600125), NF-kappa B specific (BMS-345541) or (IMD-0354), transcription inhibitor (actinomycin D), or translation blocker (cycloheximide). Contractile responses to the ETB receptor agonist sarafotoxin 6c were investigated by a sensitive myograph. The expression of the ETB receptors were studied at mRNA and protein levels using quantitative real time PCR and immunohistochemistry, respectively. Results show that organ culture per se induced transcriptional upregulation of contractile ETB receptors in the cerebral vascular smooth muscle cells. This upregulation was further increased at the translational level by addition of DSP to the organ culture, but this increase was not seen by addition of nicotine or water-soluble cigarette smoke particles to the organ culture. The increased upregulation of contractile ETB receptors by DSP was abrogated by U0126. SP600125, actinomycin D. and cycloheximide, suggesting that the underlying molecular mechanisms involved in this process include activation of MEK and JNK MAPK-mediated transcription and translation of new contractile ETB receptors. Thus, the MAPK-mediated upregulation of contractile ETB receptors in cerebral arteries might be a pharmacological target for the treatment of smoke-associated cerebral vascular disease like stroke. (C) 2010 Elsevier Inc. All rights reserved

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications

This paper proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local level nonparametric regression applied to squared mean regression residuals. The estimator is shown to be asymptotically equivalent to the local linear estimator in the case of unbounded support but, unlike that estimator, is restricted to be non-negative in finite samples. It is fully adaptive to the unknown conditional mean function. Simulations are conducted to evaluate the finite sample performance of the estimator. Two empirical applications are reported. One uses cross section data and studies the relationship between occupational prestige and income. The other uses time series data on Treasury bill rates to fit the total volatility function in a continuous-time jump diffusion model

Pileup Behavior in Sharp Nanoindentation of AISI 1045 Steel

AbstractExperimental measurements have been used to investigate the pileup behavior during nanoindentation with a sharp indenter. The AISI 1045 steels treated by quenching and annealing were examined. The results show that during sharp nanoindentation process, the amount of pileup is related to the residual stress state, the indentation depth and the work hardening. The quenched steel with compressive residual stress will tend to pile up, and the stress-free annealed steel can decrease the pileup height. It is found that the pileup height gradually increases for the two steels as the indentation depth becomes larger. It is also shown that the low work hardening of the two steels can also result in the pileup deformation

Exploring the Lattice Gas Model for isoscaling

Isotopic spin dependent lattice gas model is used to examine if it produces the isoscaling behaviour seen in intermediate energy heavy ion collisions. Qualitative features are reproduced but quantitative agreement with experiments is lacking.Comment: 13 pages including 6 figures. (Some typing mistakes in the references have been corrected in the 2nd version

A failure study of the railway rail serviced for heavy cargo trains

AbstractIn this case study, a failed railway rail which was used for heavy cargo trains was investigated in order to find out its root cause. The macroscopic beach marks and microscopic fatigue striations were not observed by macro and microscopic observations. The chevron patterns were observed by macro observations. The crack origin was at the tip of chevron patterns. The fan-shaped patterns, cleavage step and the river patterns were observed at the crack origin, which demonstrated the feature of cleavage fracture. The metallurgical structures at the crack origin were pearlite and ferrite networks. The crack is supposed to be initiated from the weaker ferrite networks. Given all of that, the failed railway rail is considered to be caused by overload. It is of great importance to improve the welding technology, and control the load of train in order to prevent similar failure in future

Alteration in contractile G-protein coupled receptor expression by moist snus and nicotine in rat cerebral arteries

The cardiovascular risk for users of use of Swedish snus/American snuff (moist tobacco) has been debated for a long time. The present study was designed to examine the effects of water- or lipid-soluble (DMSO-soluble) snus and nicotine, the most important substance in tobacco, on the expression of vasocontractile G-protein coupled receptors (GPCR), such as endothelin ETB, serotonin 5-HT1B, and thromboxane A(2) TP receptors, in rat cerebral arteries. Studies show that these vasocontractile GPCR show alterations by lipid-soluble cigarette smoke particles via activation of mitogen-activated protein kinases (MAPK). However, the effects of moist tobacco on the expression of GPCR are less studied. Rat middle cerebral arteries were isolated and organ cultured in serum-free medium for 24 h in the presence of water-soluble snus (WSS), DMSO-soluble snus (DSS), or nicotine. The dose of snus and nicotine was kept at plasma level of snus users (25 ng nicotine/ml). A high dose (250 ng nicotine/ml) was also included due to the previous results showing alteration in the GPCR expression by nicotine at this concentration. Contractile responses to the ETB receptor agonist sarafotoxin 6c, 5-HT1B receptor agonist 5-carboxamidotryptamine, and TP receptor agonist U46619 were investigated by a sensitive myograph. The expression of ETB, 5-HT1B, and TP receptors was studied at mRNA and protein levels using quantitative real-time PCR and immunohistochemistry, respectively. Organ culture with WSS or DSS (25 ng nicotine/ml) lowered the 5-HT1B receptor-mediated contraction. Furthermore, DSS shifted the TP receptor-mediated contraction curve left-wards with a stronger contraction. High dose of nicotine (250 ng nicotine/ml) increased the ETB receptor-mediated contraction. The combined 5-HT1B and 5-HT2A receptor-mediated contraction was increased, and both the 5-CT and TxA2 induced contractions were left-ward shifted by WSS, DSS, or nicotine (250 ng nicotine/ml). Only the DSS group showed that the increase of 5-HT1B receptor-mediated contraction occurred at the transcriptional level, demonstrated by an increased mRNA expression for the receptor. Thus, snus and nicotine alter the GPCR expression in the cerebral arteries, which may be involved in cerebral vascular disease. (C) 2011 Elsevier Inc. All rights reserved