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Nota Bene; Volume Xvi, Number I, Yale University Library Jun 2002

Nota Bene; Volume Xvi, Number I, Yale University Library

Nota Bene

Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.


Health And Labor Force Participation Of The Elderly In Taiwan, Cem Mete, T. Paul Schultz Jun 2002

Health And Labor Force Participation Of The Elderly In Taiwan, Cem Mete, T. Paul Schultz

Discussion Papers

No abstract provided.


Vouchers, School Choice And The Access To Higher Education, Dante Contreras Jun 2002

Vouchers, School Choice And The Access To Higher Education, Dante Contreras

Discussion Papers

No abstract provided.


Error Bounds And Asymptotic Expansions For Toeplitz Product Functionals Of Unbounded Spectra, Offer Lieberman, Peter C.B. Phillips Jun 2002

Error Bounds And Asymptotic Expansions For Toeplitz Product Functionals Of Unbounded Spectra, Offer Lieberman, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper establishes error orders for integral limit approximations to traces of powers to the p th order) of products of Toeplitz matrices. Such products arise frequently in the analysis of stationary time series and in the development of asymptotic expansions. The elements of the matrices are Fourier transforms of functions which we allow to be bounded, unbounded, or even to vanish on [- π,π ], thereby including important cases such as the spectral functions of fractional processes. Error rates are also given in the case in which the matrix product involves inverse matrices. The rates are sharp up to …


Decreto 905/2002, Republica Argentina Jun 2002

Decreto 905/2002, Republica Argentina

Documents

No abstract provided.


Yale Scientific Magazine: Volume 75, Number 4 Jun 2002

Yale Scientific Magazine: Volume 75, Number 4

Yale Scientific Magazine

No abstract provided.


More Efficient Kernel Estimation In Nonparametric Regression With Autocorrelated Errors, Zhijie Xiao, Oliver B. Linton, Raymond J. Carroll, E. Mammen Jun 2002

More Efficient Kernel Estimation In Nonparametric Regression With Autocorrelated Errors, Zhijie Xiao, Oliver B. Linton, Raymond J. Carroll, E. Mammen

Cowles Foundation Discussion Papers

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent variable that has to be estimated from the data. We establish the asymptotic distribution of our estimator under weak dependence conditions. It is shown that the proposed estimation procedure is more efficient than the conventional kernel method. We also provide simulation evidence to suggest that gains can be achieved in moderate sized samples.


A Practical Guide To Managing Systemic Financial Crises: A Review Of Approaches Taken In Indonesia, The Republic Of Korea, And Thailand, David Scott May 2002

A Practical Guide To Managing Systemic Financial Crises: A Review Of Approaches Taken In Indonesia, The Republic Of Korea, And Thailand, David Scott

Documents

No abstract provided.


Monetary Policy In Pre-Ecb Italy, Leonardo Bartolini May 2002

Monetary Policy In Pre-Ecb Italy, Leonardo Bartolini

Documents

No abstract provided.


Extensions Of Credit By Federal Reserve Banks, Federal Reserve Board Of Governors May 2002

Extensions Of Credit By Federal Reserve Banks, Federal Reserve Board Of Governors

Documents

No abstract provided.


Ooc And Frbny Letter From Scott N Waterhouse And Homer C Hill To Todd S Thomson Re Joint Examination Of Citigroups Allowance For Loan And Lease Losses, Homer Hill Iii, Scott N. Waterhouse May 2002

Ooc And Frbny Letter From Scott N Waterhouse And Homer C Hill To Todd S Thomson Re Joint Examination Of Citigroups Allowance For Loan And Lease Losses, Homer Hill Iii, Scott N. Waterhouse

Documents

This letter is addressed to Todd S Thomson


Joint Ministerial Statement Of The Asean+3 Finance Ministers Meeting, 10 May 2002, Shanghai, People's Republic Of China (Fifth Afmgm+3), Asean Plus Three May 2002

Joint Ministerial Statement Of The Asean+3 Finance Ministers Meeting, 10 May 2002, Shanghai, People's Republic Of China (Fifth Afmgm+3), Asean Plus Three

Documents

Shanghai, People's Republic of China


Thai Asset Management Company Press Release, Thai Asset Management Company May 2002

Thai Asset Management Company Press Release, Thai Asset Management Company

Documents

No abstract provided.


On Some Measures To Increase Bank Debt Recovery, Mongolia: Minister Of Finance And Economy May 2002

On Some Measures To Increase Bank Debt Recovery, Mongolia: Minister Of Finance And Economy

Documents

No abstract provided.


An Introduction To The Documentation Of Otc Derivatives, Allen & Overy May 2002

An Introduction To The Documentation Of Otc Derivatives, Allen & Overy

Documents

No abstract provided.


Mutagenesis Induced By The Tumor Microenvironment: Implications Of Increased Dna Damage And Diminished Dna Repair, Jianling Yuan May 2002

Mutagenesis Induced By The Tumor Microenvironment: Implications Of Increased Dna Damage And Diminished Dna Repair, Jianling Yuan

Yale Medicine Thesis Digital Library

Tumors are characterized by microenvironmental heterogeneity, with regions of hypoxia, low pH, and nutrient deprivation. It has been proposed that such conditions may be an important factor contributing to cancer genetic instability. Using a chromosomally based lambda phage shuttle vector as a mutation reporter, we show that growth of cells in hypoxia and/or at low pH results in elevated mutation frequencies in two different reporter genes. To elucidate the mechanism of the tumor microenvironment-induced genetic instability, we first measured the production of DNA damage upon hypoxia and re-oxygenation in culture. We found that under such conditions, the intracellular level of …


Dynamics Of The Federal Funds Target Rate: A Nonstationary Discrete Choice Approach, Ling Hu, Peter C.B. Phillips May 2002

Dynamics Of The Federal Funds Target Rate: A Nonstationary Discrete Choice Approach, Ling Hu, Peter C.B. Phillips

Cowles Foundation Discussion Papers

We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by the Fed and are believed to affect decisions to adjust interest rate targets display some nonstationarity over time. The empirical model is determined using the PIC criterion (Phillips and Ploberger, 1996; Phillips, 1996) as a model selection …


The Mildest Recession: Output, Profits, And Stock Prices As The U.S. Emerges From The 2001 Recession, William D. Nordhaus May 2002

The Mildest Recession: Output, Profits, And Stock Prices As The U.S. Emerges From The 2001 Recession, William D. Nordhaus

Cowles Foundation Discussion Papers

This essay examines the state of the United States economy as it emerges from the 2001 recession. A comparison of several central economic variables indicates that the 2001 recession was the mildest recession in the postwar period. In light of highly differentiated characteristics of recessions, the paper suggests that we differentiate among downturns by a five-category “recession severity scale,” analogous to the Saffir-Simpson Hurricane Scale. According to this approach, the 2001 recession fits in the least severe box, a “category I recession,” along with the 1963 and 1967 non-recessions. The paper next examines the behavior of profits in recent years …


Dynamic Panel Estimation And Homogeneity Testing Under Cross Section Dependence, Peter C.B. Phillips, Donggyu Sul May 2002

Dynamic Panel Estimation And Homogeneity Testing Under Cross Section Dependence, Peter C.B. Phillips, Donggyu Sul

Cowles Foundation Discussion Papers

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The new estimators given here considerably reduce the effects of bias and gain precision from estimating cross section error correlation. The paper also develops an asymptotic theory for tests of coefficient homogeneity under cross section dependence, and proposes a modified Hausman test to test for the presence of homogeneous unit roots. An orthogonalization procedure is developed to remove cross section dependence …


Efficient Regression In Time Series Partial Linear Models, Peter C.B. Phillips, Binbin Guo, Zhijie Xiao May 2002

Efficient Regression In Time Series Partial Linear Models, Peter C.B. Phillips, Binbin Guo, Zhijie Xiao

Cowles Foundation Discussion Papers

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain estimator for partial linear models with serially correlated residuals. A nonparametric treatment of regression errors is permitted so that it is not necessary to be explicit about the dynamic specification of the errors other than to assume stationarity. A new concept of weak dependence is introduced based on regularity conditions on the joint density. Under these and some …


Nonstationary Discrete Choice, Ling Hu, Peter C.B. Phillips May 2002

Nonstationary Discrete Choice, Ling Hu, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper develops an asymptotic theory for time series discrete choice models with explanatory variables generated as integrated processes and with multiple choices and threshold parameters determining the choices. The theory extends recent work by Park and Phillips (2000) on binary choice models. As in this earlier work, the maximum likelihood (ML) estimator is consistent and has a limit theory with multiple rates of convergence ( n 3/4 and n 1 /4 ) and mixture normal distributions where the mixing variates depend on Brownian local time as well as Brownian motion. An extended arc sine limit law is given for …


End-Of-Sample Instability Tests, Donald W.K. Andrews May 2002

End-Of-Sample Instability Tests, Donald W.K. Andrews

Cowles Foundation Discussion Papers

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m , of observations in the period of potential change is relatively small — possibly as small as one. The well-known F test of Chow (1960) for this problem only applies in a linear regression model with normally distributed iid errors and strictly exogenous regressors, even when the total number of observations, n + m , is large. We generalize the F test to cover regression models with much more general …


The Block-Block Bootstrap: Improved Asymptotic Refinements, Donald W.K. Andrews May 2002

The Block-Block Bootstrap: Improved Asymptotic Refinements, Donald W.K. Andrews

Cowles Foundation Discussion Papers

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join-point problem. In this paper, we propose a method of solving this problem. The idea is not to alter the block bootstrap. Instead, we alter the original sample statistics to which the block bootstrap is applied. We introduce block statistics that possess join-point features that are similar …


Unmediated Communication In Games With Complete And Incomplete Information, Dino Gerardi May 2002

Unmediated Communication In Games With Complete And Incomplete Information, Dino Gerardi

Cowles Foundation Discussion Papers

In this paper we study the effects of adding unmediated communication to static, finite games of complete and incomplete information. We characterize S U ( G ), the set of outcomes of a game G , that are induced by sequential equilibria of cheap talk extensions. A cheap talk extension of G is an extensive-form game in which players communicate before playing G . A reliable mediator is not available and players exchange private or public messages that do not affect directly their payoffs. We first show that if G is a game of complete information with five or more …


Limit Theorems For Estimating The Parameters Of Differentiated Product Demand Systems, Steven T. Berry, Oliver B. Linton, Ariel Pakes May 2002

Limit Theorems For Estimating The Parameters Of Differentiated Product Demand Systems, Steven T. Berry, Oliver B. Linton, Ariel Pakes

Cowles Foundation Discussion Papers

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the sampling error in estimating market shares, the simulation error in approximating the shares predicted by the model, and the underlying model error. The limiting distribution of the parameter estimator is normal provided the size of the consumer sample and the number of simulation draws grow at a large enough rate relative to …


The Kpss Test With Seasonal Dummies, Sainan Jin, Peter C.B. Phillips May 2002

The Kpss Test With Seasonal Dummies, Sainan Jin, Peter C.B. Phillips

Cowles Foundation Discussion Papers

It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.


The Splicing Of U12-Type Introns Is A Rate-Limiting Step In Gene Expression, Abhijit A. Patel May 2002

The Splicing Of U12-Type Introns Is A Rate-Limiting Step In Gene Expression, Abhijit A. Patel

Yale Medicine Thesis Digital Library

Metazoan genes have recently been found to contain a novel class of introns that display non-canonical consensus sequences and are excised by a distinct splicing machinery. These introns occur very rarely, and have been called U12-type introns because recognition of their branch point sequences requires the U12 snRNP, which performs an analogous function to the U2 snRNP in splicing major-class introns. The persistence of two spliceosomes throughout virtually all of metazoan evolution suggests that the two spliceosomes play distinct and probably indispensable cellular roles. One enticing possibility is that the U12-type spliceosome functions in post-transcriptional regulation, serving as the rate-determining …


The Liquidity Management Of The Ecb, European Central Bank (Ecb) May 2002

The Liquidity Management Of The Ecb, European Central Bank (Ecb)

Documents

No abstract provided.


Local Whittle Estimation Of Fractional Integration, Katsumi Shimotsu, Peter C.B. Phillips May 2002

Local Whittle Estimation Of Fractional Integration, Katsumi Shimotsu, Peter C.B. Phillips

Cowles Foundation Discussion Papers

An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter ( d ) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same N (0,1/4) limit distribution for all values of d if the optimization covers an interval of width less than 9/2 and the initial value of the process is known.


Nonlinear Log-Periodogram Regression For Perturbed Fractional Processes, Yixiao Sun, Peter C.B. Phillips May 2002

Nonlinear Log-Periodogram Regression For Perturbed Fractional Processes, Yixiao Sun, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as log periodogram (LP) regression) may be used in a components model where the data are affected by weakly dependent perturbations, but these estimates can suffer from serious downward bias. To circumvent this problem, the present paper proposes a new procedure that allows for the possible presence of additive perturbations in the data. …