Nonlinear State-Space Models for Microeconometric Panel Data

In applied microeconometric panel data analyses, time-constant random effects and first-order Markov chains are the most prevalent structures to account for intertemporal correlations in limited dependent variable models. An example from health economics shows that the addition of a simple autoregressive error terms leads to a more plausible and parsimonious model which also captures the dynamic features better. The computational problems encountered in the estimation of such models - and a broader class formulated in the framework of nonlinear state space models - hampers their widespread use. This paper discusses the application of different nonlinear filtering approaches developed in the time-series literature to these models and suggests that a straightforward algorithm based on sequential Gaussian quadrature can be expected to perform well in this setting. This conjecture is impressively confirmed by an extensive analysis of the example application

The physics of exceptional points

A short resume is given about the nature of exceptional points (EPs) followed by discussions about their ubiquitous occurrence in a great variety of physical problems. EPs feature in classical as well as in quantum mechanical problems. They are associated with symmetry breaking for ${\cal PT}$-symmetric Hamiltonians, where a great number of experiments have been performed in particular in optics, and to an increasing extent in atomic and molecular physics. EPs are involved in quantum phase transition and quantum chaos, they produce dramatic effects in multichannel scattering, specific time dependence and more. In nuclear physics they are associated with instabilities and continuum problems. Being spectral singularities they also affect approximation schemes.Comment: 13 pages, 2 figure

Exceptional Points of Non-hermitian Operators

Exceptional points associated with non-hermitian operators, i.e. operators being non-hermitian for real parameter values, are investigated. The specific characteristics of the eigenfunctions at the exceptional point are worked out. Within the domain of real parameters the exceptional points are the points where eigenvalues switch from real to complex values. These and other results are exemplified by a classical problem leading to exceptional points of a non-hermitian matrix.Comment: 8 pages, Latex, four figures, submitted to EPJ

Phases of Wave Functions and Level Repulsion

Avoided level crossings are associated with exceptional points which are the singularities of the spectrum and eigenfunctions, when they are considered as functions of a coupling parameter. It is shown that the wave function of {\it one} state changes sign but not the other, if the exceptional point is encircled in the complex plane. An experimental setup is suggested where this peculiar phase change could be observed.Comment: 4 pages Latex, 2 figures encapsulated postscripts (*.epsi) submitted to The European Physical Journal

Nonlinear State-Space Models for Microeconometric Panel Data

In applied microeconometric panel data analyses, time-constant random effects and first-order Markov chains are the most prevalent structures to account for intertemporal correlations in limited dependent variable models. An example from health economics shows that the addition of a simple autoregressive error terms leads to a more plausible and parsimonious model which also captures the dynamic features better. The computational problems encountered in the estimation of such models - and a broader class formulated in the framework of nonlinear state space models - hampers their widespread use. This paper discusses the application of different nonlinear filtering approaches developed in the time-series literature to these models and suggests that a straightforward algorithm based on sequential Gaussian quadrature can be expected to perform well in this setting. This conjecture is impressively confirmed by an extensive analysis of the example application.LDV models; panel data; state space; numerical integration; health

Specification(s) of Nested Logit Models

The nested logit model has become an important tool for the empirical analysis of discrete outcomes. There is some confusion about its specification of the outcome probabilities. Two major variants show up in the literature. This paper compares both and finds that one of them (called random utility maximization nested logit, RUMNL) is preferable in most situations. Since the command nlogit of Stata 7.0 implements the other variant (called non-normalized nested logit, NNNL), an implementation of RUMNL called nlogitrum is introduced. Numerous examples support and illustrate the differences of both specifications.

Estimation with Numerical Integration on Sparse Grids

For the estimation of many econometric models, integrals without analytical solutions have to be evaluated. Examples include limited dependent variables and nonlinear panel data models. In the case of one-dimensional integrals, Gaussian quadrature is known to work efficiently for a large class of problems. In higher dimensions, similar approaches discussed in the literature are either very specific and hard to implement or suffer from exponentially rising computational costs in the number of dimensions - a problem known as the "curse of dimensionality" of numerical integration. We propose a strategy that shares the advantages of Gaussian quadrature methods, is very general and easily implemented, and does not suffer from the curse of dimensionality. Monte Carlo experiments for the random parameters logit model indicate the superior performance of the proposed method over simulation techniques

Quantum Chaos, Degeneracies and Exceptional Points

It is argued that, if a regular Hamiltonian is perturbed by a term that produces chaos, the onset of chaos is shifted towards larger values of the perturbation parameter if the unperturbed spectrum is degenerate and the lifting of the degeneracy is of second order in this parameter. The argument is based on the behaviour of the exceptional points of the full problem.Comment: RevTeX with 4 figs. available from the authors; to appear in Phys.Rev.

Fano-Feshbach resonances in two-channel scattering around exceptional points

It is well known that in open quantum systems resonances can coalesce at an exceptional point, where both the energies {\em and} the wave functions coincide. In contrast to the usual behaviour of the scattering amplitude at one resonance, the coalescence of two resonances invokes a pole of second order in the Green's function, in addition to the usual first order pole. We show that the interference due to the two pole terms of different order gives rise to patterns in the scattering cross section which closely resemble Fano-Feshbach resonances. We demonstrate this by extending previous work on the analogy of Fano-Feshbach resonances to classical resonances in a system of two driven coupled damped harmonic oscillators.Comment: 8 pages, 5 figures, submitted to J. Phys.