Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Unite and conquer: univariate and multivariate approaches for finding differentially expressed gene sets

Motivation: Recently, many univariate and several multivariate approaches have been suggested for testing differential expression of gene sets between different phenotypes. However, despite a wealth of literature studying their performance on simulated and real biological data, still there is a need to quantify their relative performance when they are testing different null hypotheses.

Results: In this article, we compare the performance of univariate and multivariate tests on both simulated and biological data. In the simulation study we demonstrate that high correlations equally affect the power of both, univariate as well as multivariate tests. In addition, for most of them the power is similarly affected by the dimensionality of the gene set and by the percentage of genes in the set, for which expression is changing between two phenotypes. The application of different test statistics to biological data reveals that three statistics (sum of squared t-tests, Hotelling's T2, N-statistic), testing different null hypotheses, find some common but also some complementing differentially expressed gene sets under specific settings. This demonstrates that due to complementing null hypotheses each test projects on different aspects of the data and for the analysis of biological data it is beneficial to use all three tests simultaneously instead of focusing exclusively on just one.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Output convergence in Mercosur: multivariate time series evidence

The aim of this paper is to provide evidence on output convergence among the Mercosur countries and associates, using multivariate time-series tests. The methodology is based on a combination of tests and estimation procedures, both univariate and multivariate, applied to the differences in per capita real income. We use the definitions of time-series convergence proposed by Bernard & Durlauf and apply unit root and tests proposed by Abuaf & Jorion and Taylor & Sarno. In this same multivariate context, the Flôres, Preumont & Szafarz and Breuer, MbNown & Wallace tests, which allow for the existence of correlations across the series without imposing a common speed of mean reversion, identify the countries that convergence. Concerning the empirical results, there is evidence of long-run convergence or, at least, catching up, for the smaller countries, Bolivia, Paraguay, Peru and Uruguay, towards Brazil and, to some extent, Argentina. In contrast, the evidence on convergence for the larger countries is weaker, as they have followed different (or rather opposing) macroeconomic policy strategies. Thus the future of the whole area will critically depend on the ability of Brazil, Argentina and Chile to find some scope for more cooperative policy actions.

The role of competition and habitat in structuring small mammal communities in a tropical montane ecosystem in southern India

Small mammals were sampled in two natural habitats (montane stunted evergreen forests and montane grassland) and four anthropogenic habitats (tea, wattle, bluegum and pine plantation) in the Upper Nilgiris in southern India. Of the species trapped, eight were in montane evergreen forests and three were in other habitats. Habitat discrimination was studied in the rodents Rattus rattus and Mus famulus and the shrew Suncus montanus in the montane forest habitat. Multivariate tests on five variables (canopy cover, midstorey density, ground cover, tree density, canopy height) showed that R. rattus uses areas of higher tree density and lower canopy cover. Suncus montanus and M. famulus use habitat with higher tree density and ground cover and lower canopy height. Multivariate tests did not discriminate habitat use between the species. Univariate tests, however, showed that M. famulus uses areas of higher tree density than R. rattus and S. montanus. Rattus rattus was the dominant species in the montane forest, comprising 60.9% of total density, while the rodent Millardia meltada was the dominant species in the grassland. Studies of spatial interaction between these two species in habitats where they coexisted showed neither overlap nor avoidance between the species. Rattus rattus, however, did use areas of lower ground cover than did M. meltada. The analysis of spatial interactions between the species, habitat discrimination and use, and the removal experiments suggest that interspecific competition may not be a strong force in structuring these small mammal communities. There are distinct patterns in the use of different habitats by some species, but microhabitat selection and segregation is weak. Other factors such as intraspecific competition may play a more important role in these communities.

The area-independent effects of habitat complexity on biodiversity vary between regions.

Potential explanatory variables often co-vary in studies of species richness. Where topography varies within a survey it is difficult to separate area and habitat-diversity effects. Topographically complex surfaces may contain more species due to increased habitat diversity or as a result of increased area per se. Fractal geometry can be used to adjust species richness estimates to control for increases in area on complex surfaces. Application of fractal techniques to a survey of rocky shores demonstrated an unambiguous area-independent effect of topography on species richness in the Isle of Man. In contrast, variation in species richness in south-west England reflected surface availability alone. Multivariate tests and variation in limpet abundances also demonstrated regional variation in the area-independent effects of topography. Community composition did not vary with increasing surface complexity in south-west England. These results suggest large-scale gradients in the effects of heterogeneity on community processes or demography.

Exploration of geological variability and possible processes through the use of compositional data analysis: an example using scottish metamorphosed

Developments in the statistical analysis of compositional data over the last two decades have made possible a much deeper exploration of the nature of variability, and the possible processes associated with compositional data sets from many disciplines. In this paper we concentrate on geochemical data sets. First we explain how hypotheses of compositional variability may be formulated within the natural sample space, the unit simplex, including useful hypotheses of subcompositional discrimination and specific perturbational change. Then we develop through standard methodology, such as generalised likelihood ratio tests, statistical tools to allow the systematic investigation of a complete lattice of such hypotheses. Some of these tests are simple adaptations of existing multivariate tests but others require special construction. We comment on the use of graphical methods in compositional data analysis and on the ordination of specimens. The recent development of the concept of compositional processes is then explained together with the necessary tools for a staying- in-the-simplex approach, namely compositional singular value decompositions. All these statistical techniques are illustrated for a substantial compositional data set, consisting of 209 major-oxide and rare-element compositions of metamorphosed limestones from the Northeast and Central Highlands of Scotland. Finally we point out a number of unresolved problems in the statistical analysis of compositional processes

Effects of omega-3 PUFA on the vitamin E and glutathione antioxidant defense system in individuals at ultra-high risk of psychosis

BACKGROUND: Oxidative stress and impaired antioxidant defenses are reported in schizophrenia and are associated with disturbed neurodevelopment, brain structural alterations, glutamatergic imbalance, increased negative symptoms, and cognitive impairment. There is evidence that oxidative stress predates the onset of acute psychotic illness. Here, we investigate the effects of omega-3 PUFA on the vitamin E and glutathione antioxidant defense system (AODS). METHOD: In 64 help-seeking UHR-individuals (13-25 years of age), vitamin E levels and glutathione were investigated before and after 12 weeks of treatment with either 1.2g/d omega-3 (PUFA-E) or saturated fatty acids (SFA-E), with each condition also containing 30.4mg/d alpha-tocopherol to ensure absorption without additional oxidative risk. RESULTS: In multivariate tests, the effects on the AODS (alpha-tocopherol, total glutathione) were not significantly different (p=0.13, p=0.11, respectively) between treatment conditions. According to univariate findings, only PUFA-E caused a significant alpha-tocopherol increase, while PUFA-E and SFA-E caused a significant gamma- and delta-tocopherol decrease. Total glutathione (GSHt) was decreased by PUFA-E supplementation. CONCLUSION: Effects of the PUFA-E condition on the vitamin E and glutathione AODS could be mechanisms underlying its clinical effectiveness. In terms of the vitamin E protection system, PUFA-E seems to directly support the antioxidative defense at membrane level. The effect of PUFA-E on GSHt is not yet fully understood, but could reflect antioxidative effects, resulting in decreased demand for glutathione. It is still necessary to further clarify which type of PUFA/antioxidant combination, and in which dose, is effective at each stage of psychotic illness.

Iron oxides and quality of organic matter in sugarcane harvesting systems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Perceptions of beginning teachers in Florida regarding their preparation as it relates to the Florida Essential Generic Competencies

The purpose of the study is to investigate how beginning teachers in the state of Florida perceive their preparation to demonstrate the 27 Florida Essential Generic Competencies.^ The basic research question of this study was: How do beginning teachers perceive their level of preparation regarding their implementation of the Florida Essential Generic Competencies? This study identified and categorized the perceived degree of preparation for each of the competencies. Also, elementary, middle, and high school beginning teachers were compared to find significant differences and similarities in their perception of their preparation. A comparison was also done for graduates from in-state versus out-of-state and private versus public institutions.^ A survey developed in collaboration with the Department of Education, Florida State University, members of the Professional Orientation Program (POP) Coordinators, and the Project Director of Program Review in the College of Education at the University of South Florida, was sent to 5,076 beginning teachers. A total of 1,995 returned the survey in February of 1993. The Multivariate Analysis of Variance (MANOVA) procedure was used (Alpha =.05). Statistical analysis of the data involved a comparison of the different groups of beginning teachers by school level and kind of graduating institutions. The dependent variables analyzed were the responses to all items representing the generic competencies.^ The study identified and categorized the degree of preparation for each competency. The competencies receiving the lowest ratings for degree of preparation were: integrate computers in instruction; manage situations involving child abuse and/or neglect; severe emotional stress; alcohol and drug abuse.^ The Wilkes lambda and the Hotellings multivariate tests of significance were used to examine the differences among the groups. The competency items were further analyzed by a univariate F test. Results indicated that: (1) significant differences were found in nine competency items in which elementary teachers felt better prepared than middle and high school beginning teachers, (2) graduates from a Florida teacher education program felt they were better prepared in demonstrating the competencies than those from out-of-state schools, and (3) no significant difference was found in the perceptions of those who graduated from public versus private institutions.^ Based on the findings of this study, the following recommendations are made: (1) Florida's institutions responsible for teacher preparation programs need to focus on those competencies receiving the lowest ratings, (2) Districts should provide an orientation program for out-of-state beginning teachers, and (3) The survey instrument should be used annually to evaluate teacher education programs. ^

Reading comprehension and mathematical concept acquisition through the use of math stories with bilingual children

Math storybooks are picture books in which the understanding of mathematical concepts is central to the comprehension of the story. Math stories have provided useful opportunities for children to expand their skills in the language arts area and to talk about mathematical factors that are related to their real lives. The purpose of this study was to examine bilingual children's reading and math comprehension of the math storybooks. ^ The participants were randomly selected from two Korean schools and two public elementary schools in Miami, Florida. The sample consisted of 63 Hispanic American and 43 Korean American children from ages five to seven. A 2 x 3 x (2) mixed-model design with two between- and one within-subjects variable was used to conduct this study. The two between-subjects variables were ethnicity and age, and the within-subjects variable was the subject area of comprehension. Subjects were read the three math stories individually, and then they were asked questions related to reading and math comprehension. ^ The overall ANOVA using multivariate tests was conducted to evaluate the factor of subject area for age and ethnicity. As follow-up tests for a significant main effect and a significant interaction effect, pairwise comparisons and simple main effect tests were conducted, respectively. ^ The results showed that there were significant ethnicity and age differences in total comprehension scores. There were also age differences in reading and math comprehension, but no significant differences were found in reading and math by ethnicity. Korean American children had higher scores in total comprehension than those of Hispanic American children, and they showed greater changes in their comprehension skills at the younger ages, from five to six, whereas Hispanic American children showed greater changes at the older ages, from six to seven. Children at ages five and six showed higher scores in reading than in math, but no significant differences between math and reading comprehension scores were found at age seven. ^ Through schooling with integrated instruction, young bilingual children can move into higher levels of abstraction and concepts. This study highlighted bilingual children's general nature of thinking and showed how they developed reading and mathematics comprehension in an integrated process. ^

Perceptions of beginning teachers in Florida regarding their preparation as it relates to the Florida essential generic competencies

The purpose of the study is to investigate how beginning teachers in the state of Florida perceive their preparation to demonstrate the 27 Florida Essential Generic Competencies. The basic research question of this study was: How do beginning teachers perceive their level of preparation regarding their implementation of the Florida Essential Generic Competencies? This study identified and categorized the perceived degree of preparation for each of the competencies. Also, elementary, middle, and high school beginning teachers were compared to find significant differences and similarities in their perception of their preparation. A comparison was also done for graduates from in-state versus out-of-state and private versus public institutions. A survey developed in collaboration with the Department of Education, Florida State University, members of the Professional Orientation Program (POP) Coordinators, and the Project Director of Program Review in the College of Education at the University of South Florida, was sent to 5,076 beginning teachers. A total of 1,995 returned the survey in February of 1993. The Multivariate Analysis of Variance (MANOVA) procedure was used (Alpha = .05). Statistical analysis of the data involved a comparison of the different groups of beginning teachers by school level and kind of graduating institutions. The dependent variables analyzed were the responses to all items representing the generic competencies. The study identified and categorized the degree of preparation for each competency. The competencies receiving the lowest ratings for degree of preparation were: integrate computers in instruction; manage situations involving child abuse and/or neglect; severe emotional stress; alcohol and drug abuse. The Wilkes lambda and the Hotellings multivariate tests of significance were used to examine the differences among the groups. The competency items were further analyzed by a univariate F test. Results indicated that: (1) significant differences were found in nine competency items in which elementary teachers felt better prepared than middle and high school beginning teachers, (2) graduates from a Florida teacher education program felt they were better prepared in demonstrating the competencies than those from out-of-state schools, and (3) no significant difference was found in the perceptions of those who graduated from public versus private institutions. Based on the findings of this study, the following recommendations are made: (1) Florida's institutions responsible for teacher preparation programs need to focus on those competencies receiving the lowest ratings, (2) Districts should provide an orientation program for out-of-state beginning teachers, and (3) The survey instrument should be used annually to evaluate teacher education programs.

A model of school managerial control : the systematic analysis of managerial behaviors, processes, and indicators

The theoretical construct of control has been defined as necessary (Etzioni, 1965), ubiquitous (Vickers, 1967), and on-going (E. Langer, 1983). Empirical measures, however, have not adequately given meaning to this potent construct, especially within complex organizations such as schools. Four stages of theory-development and empirical testing of school building managerial control using principals and teachers working within the nation's fourth largest district are presented in this dissertation as follows: (1) a review and synthesis of social science theories of control across the literatures of organizational theory, political science, sociology, psychology, and philosophy; (2) a systematic analysis of school managerial activities performed at the building level within the context of curricular and instructional tasks; (3) the development of a survey questionnaire to measure school building managerial control; and (4) initial tests of construct validity including inter-item reliability statistics, principal components analyses, and multivariate tests of significance. The social science synthesis provided support of four managerial control processes: standards, information, assessment, and incentives. The systematic analysis of school managerial activities led to further categorization between structural frequency of behaviors and discretionary qualities of behaviors across each of the control processes and the curricular and instructional tasks. Teacher survey responses (N=486) reported a significant difference between these two dimensions of control, structural frequency and discretionary qualities, for standards, information, and assessments, but not for incentives. The descriptive model of school managerial control suggests that (1) teachers perceive structural and discretionary managerial behaviors under information and incentives more clearly than activities representing standards or assessments, (2) standards are primarily structural while assessments are primarily qualitative, (3) teacher satisfaction is most closely related to the equitable distribution of incentives, (4) each of the structural managerial behaviors has a qualitative effect on teachers, and that (5) certain qualities of managerial behaviors are perceived by teachers as distinctly discretionary, apart from school structure. The variables of teacher tenure and school effectiveness reported significant effects on school managerial control processes, while instructional levels (elementary, junior, and senior) and individual school differences were not found to be significant for the construct of school managerial control.

Perceived and actual sex differences in attributional style for affiliative behavior

The objectives of this thesis were threefold: (1) to review the concept of attributional style, (2) to demonstrate its applicability to affiliative behavior, and (3) to document the existence of actual and perceived sex differences in attributional style for affiliative behavior. To fulfill the first two objectives the development of attributional theory was traced from the Abramson, Seligman, and Teasdale (1978) presentation of the reformulated learned helplessness model through Weiner's (1979) examination of attributional style as a motivational feature of achievement behavior to the application of attribution theory to affiliative behavior. To fulfill the third objective the evidence detailing the sex differences in achievement and affiliative attributional styles was reviewed within the framework of perceptions of sex appropriate behavior. A study was then designed to assess both actual and perceived affiliative attributional sex differences. The Escovar, Brown, and Rodriguez Attributional Style Questionnaire for Affiliative Behavior was administered to 107 male and female University of Miami and Florida International University students. Each subject answered the questionnaire twice, once for themselves and once as if they were a member of the opposite sex. The results indicated that the EBR-ASQ maintained previous levels of internal consistency and reliability. Analyses performed on the covariate of the order of perspective presentation were negative; all further analyses were performed without a covariate. The data were analyzed using a 2(Sex) X 2(Perspective) X 2(Outcome) factorial, multivariate, repeated measures design with the three attributional dimensions serving as the dependent variable repeated measures. As expected all multivariate tests revealed that each of the three factors was a significant influence over all three of the dependent variables. Of the 21 univariate tests 12 of the main effect and two-way interactions were significant and one approached significance. Examination of the means revealed that of the eight significant main effects six were in the expected direction; of the four significant two-way interactions three were in the expected direction. Although the results were not totally supportive of the hypotheses they did support the thesis that affiliation is the female sex-role appropriate analogue to male achievement behavior.