Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Food biotechnologies in Italy: a social psychological study

This dissertation presents an analysis of the representations of food biotechnologies in Italy. The thesis uses the analysis of discourse to illustrate the articulated ways in which representations are instantiated in different contexts. The theoretical thrust of the work resides in its discussion of the basic tenets of both Social Representations Theory and Discursive Psychology. The thesis offers a detailed description of the two frameworks; affinities and difference are highlighted, and a serious effort is made to develop an integrated set of theoretical resources to answer the research questions. The thesis proposes to combine a discursive methodology with Social Representations Theory. After a description of the relevant legislative framework follows an illustration of the categories used for the textual analysis. The study proposes the textual analysis of the following data: the first declaration issued by a small Italian council rejecting biotechnologies; four texts which focus on positions taken by the Catholic Church in the matter of food biotechnologies; several transcripts from a public debate in a small community of the north west of Italy. The latter study, which included an ethnographic dimension, focuses on recordings from interviews, a focus group, a public meeting and newspaper articles. Particular attention is paid to ideological representations and to the relevance of citizenship and governance to debates about food biotechnologies.

Tests of a Roman Pot Prototype for the TOTEM Experiment

The TOTEM collaboration has developed and tested the first prototype of its Roman Pots to be operated in the LHC. TOTEM Roman Pots contain stacks of 10 silicon detectors with strips oriented in two orthogonal directions. To measure proton scattering angles of a few microradians, the detectors will approach the beam centre to a distance of 10 sigma + 0.5 mm (= 1.3 mm). Dead space near the detector edge is minimised by using two novel "edgeless" detector technologies. The silicon detectors are used both for precise track reconstruction and for triggering. The first full-sized prototypes of both detector technologies as well as their read-out electronics have been developed, built and operated. The tests took place first in a fixed-target muon beam at CERN's SPS, and then in the proton beam-line of the SPS accelerator ring. We present the test beam results demonstrating the successful functionality of the system despite slight technical shortcomings to be improved in the near future.

Very Low Birth Weight Infants as Young Adults : Focus on aspects of cognition, behavior and sleep

Major advances in the treatment of preterm infants have occurred during the last three decades. Survival rates have increased, and the first generations of preterm infants born at very low birth weight (VLBW; less than 1500 g) who profited from modern neonatal intensive care are now in young adulthood. The literature shows that VLBW children achieve on average lower scores on cognitive tests, even after exclusion of individuals with obvious neurosensory deficits. Evidence also exists for an increased risk in VLBW children for various neuropsychiatric disorders such as attention-deficit hyperactivity disorder (ADHD) and related behavioral symptoms. Up till now, studies extending into adulthood are sparse, and it remains to be seen whether these problems persist into adulthood. The aim of this thesis was to study ADHD-related symptoms and cognitive and executive functioning in young adults born at VLBW. In addition, we aimed to study sleep disturbances, known to adversely affect both cognition and attention. We hypothesized that preterm birth at VLBW interferes with early brain development in a way that alters the neuropsychological phenotype; this may manifest itself as ADHD symptoms and impaired cognitive abilities in young adulthood. In this cohort study from a geographically defined region, we studied 166 VLBW adults and 172 term-born controls born from 1978 through 1985. At ages 18 to 27 years, the study participants took part in a clinic study during which their physical and psychological health was assessed in detail. Three years later, 213 of these individuals participated in a follow-up. The current study is part of a larger research project (The Helsinki Study of Very Low Birth Weight Adults), and the measurements of interest for this particular study include the following: 1) The Adult Problem Questionnaire (APQ), a self-rating scale of ADHD-related symptoms in adults; 2) A computerized cognitive test battery designed for population studies (CogState®) which measures core cognitive abilities such as reaction time, working memory, and visual learning; 3) Sleep assessment by actigraphy, the Basic Nordic Sleep Questionnaire, and the Morningness-Eveningness Questionnaire. Actigraphs are wrist-worn accelerometers that separate sleep from wakefulness by registering body movements. Contrary to expectations, VLBW adults as a group reported no more ADHD-related behavioral symptoms than did controls. Further subdivision of the VLBW group into SGA (small for gestational age) and AGA (appropriate for gestational age) subgroups, however, revealed more symptoms on ADHD subscales pertaining to executive dysfunction and emotional instability among those born SGA. Thus, it seems that intrauterine growth retardation (for which SGA served as a proxy) is a more essential predictor for self-perceived ADHD symptoms in adulthood than is VLBW birth as such. In line with observations from other cohorts, the VLBW adults reported less risk-taking behavior in terms of substance use (alcohol, smoking, and recreational drugs), a finding reassuring for the VLBW individuals and their families. On the cognitive test, VLBW adults free from neurosensory deficits had longer reaction times than did term-born peers on all tasks included in the test battery, and lower accuracy on the learning task, with no discernible effect of SGA status over and above the effect of VLBW. Altogether, on a group level, even high-functioning VLBW adults show subtle deficits in psychomotor processing speed, visual working memory, and learning abilities. The sleep studies provided no evidence for differences in sleep quality or duration between the two groups. The VLBW adults were, however, at more than two-fold higher risk for sleep-disordered breathing (in terms of chronic snoring). Given the link between sleep-disordered breathing and health sequelae, these results suggest that VLBW individuals may benefit from an increased awareness among clinicians of this potential problem area. An unexpected finding from the sleep studies was the suggestion of an advanced sleep phase: The VLBW adults went to bed earlier according to the actigraphy registrations and also reported earlier wake-up times on the questionnaire. In further study of this issue in conjunction with the follow-up three years later, the VLBW group reported higher levels of morningness propensity, further corroborating the preliminary findings of an advanced sleep phase. Although the clinical implications are not entirely clear, the issue may be worth further study, since circadian rhythms are closely related to health and well-being. In sum, we believe that increased understanding of long-term outcomes after VLBW, and identification of areas and subgroups that are particularly vulnerable, will allow earlier recognition of potential problems and ultimately lead to improved prevention strategies.

Loading of itraconazole into porous silica and silicon microparticles: characterization and dissolution tests

Most new drug molecules discovered today suffer from poor bioavailability. Poor oral bioavailability results mainly from poor dissolution properties of hydrophobic drug molecules, because the drug dissolution is often the rate-limiting event of the drug’s absorption through the intestinal wall into the systemic circulation. During the last few years, the use of mesoporous silica and silicon particles as oral drug delivery vehicles has been widely studied, and there have been promising results of their suitability to enhance the physicochemical properties of poorly soluble drug molecules. Mesoporous silica and silicon particles can be used to enhance the solubility and dissolution rate of a drug by incorporating the drug inside the pores, which are only a few times larger than the drug molecules, and thus, breaking the crystalline structure into a disordered, amorphous form with better dissolution properties. Also, the high surface area of the mesoporous particles improves the dissolution rate of the incorporated drug. In addition, the mesoporous materials can also enhance the permeability of large, hydrophilic drug substances across biological barriers. T he loading process of drugs into silica and silicon mesopores is mainly based on the adsorption of drug molecules from a loading solution into the silica or silicon pore walls. There are several factors that affect the loading process: the surface area, the pore size, the total pore volume, the pore geometry and surface chemistry of the mesoporous material, as well as the chemical nature of the drugs and the solvents. Furthermore, both the pore and the surface structure of the particles also affect the drug release kinetics. In this study, the loading of itraconazole into mesoporous silica (Syloid AL-1 and Syloid 244) and silicon (TOPSi and TCPSi) microparticles was studied, as well as the release of itraconazole from the microparticles and its stability after loading. Itraconazole was selected for this study because of its highly hydrophobic and poorly soluble nature. Different mesoporous materials with different surface structures, pore volumes and surface areas were selected in order to evaluate the structural effect of the particles on the loading degree and dissolution behaviour of the drug using different loading parameters. The loaded particles were characterized with various analytical methods, and the drug release from the particles was assessed by in vitro dissolution tests. The results showed that the loaded drug was apparently in amorphous form after loading, and that the loading process did not alter the chemical structure of the silica or silicon surface. Both the mesoporous silica and silicon microparticles enhanced the solubility and dissolution rate of itraconazole. Moreover, the physicochemical properties of the particles and the loading procedure were shown to have an effect on the drug loading efficiency and drug release kinetics. Finally, the mesoporous silicon particles loaded with itraconazole were found to be unstable under stressed conditions (at 38 qC and 70 % relative humidity).

The Impact of Readily Detected- and Underlying Attributes on Social Integration in Cross-Cultural Settings

The benefits and drawbacks of homogeneity and heterogeneity have been debated at length. Whereas some researchers assert that heterogeneity is beneficial for groups that are engaged in complex problem solving, the other researchers emphasize the potential costs associated with diversity. The inconsistency is a result of the incomplete measurement of diversity and focus one or two types of diversity. Most research concentrates on the readily detected/visible characteristics, making the assumption that such characteristics are related to underlying attributes (e.g., attitudes and values). In many cases, the demographic characteristics do not covary perfectly with the psychological attributes. Thus both types of attributes need to be utilized to fully understand the impact of diversity. The present research with four essays takes into account both types of attributes and tests their impact on social integration in cross-cultural settings. The results indicate that: (1) readily detectable- and underlying attributes are not related; (2) diversity has overall a negative impact on social integration; (3) socio-cultural context potentially influences the salience of diversity; and (4) diversity and social integration influences the formation of social cognition in form of transactive memory directories. The limits of research and managerial implications are discussed.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

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.

Constructing and negotiating entrepreneurial agency : A social psychological approach to entrepreneurship discourse in the farm context

Entrepreneurship, understood as the autonomous, effective pursuit of opportunities regardless of resources, is currently subject to a multitude of interests, expectations, and facilitation efforts. On the one hand, such entrepreneurial agency has broad appeal to individuals in Western market democracies and resonates with their longing for an autonomous, personally tailored, meaningful, and materially rewarding way of life. On the other hand, entrepreneurship represents a tempting and increasingly popular means of governance and policy making, and thus a model for the re-organization of a variety of societal sectors. This study focuses on the diffusion and reception of entrepreneurship discourse in the context of farming and agriculture, where pressures to adopt entrepreneurial orientations have been increasingly pronounced while, on the other hand, the context of farming has historically enjoyed state protection and adhered to principles that seem at odds with aspects of individualistic entrepreneurship discourse . The study presents an interpretation of the psychologically and politically appealing uses of the notion of entrepreneurial agency , reviews the historical and political background of the current situation of farming and agriculture with regard to entrepreneurship, and examines their relationships in four empirical studies. The study follows and develops a social psychological, situated relational approach that guides the qualitative analyses and interpretations of the empirical studies. Interviews with agents from the farm sector aim to stimulate evaluative responses and comments on the idea of entrepreneurship on farms. Analysis of the interview talk, in turn, detects the variety of evaluative responses and argumentative contexts with which the interviewees relate themselves to the entrepreneurship discourse and adopt, use, resist, or reject it. The study shows that despite the pressures towards entrepreneurialism, the diffusion of entrepreneurship discourse and the construction of entrepreneurial agency in farm context encounter many obstacles. These obstacles can be variably related to aspects dealing with the individual agent, the action situation, the characteristics of the action itself, or to the broader social, institutional and cultural context. Many aspects of entrepreneurial agency, such as autonomy, personal initiative and achievement orientation, are nevertheless familiar to farmers and are eagerly related to one s own farming activities. The idea of entrepreneurship is thus rarely rejected outright. The findings highlight the relational and situational preconditions for the construction of entrepreneurial agency in the farm context: When agents demonstrate entrepreneurial agency, they do so by drawing on available and accessed relational resources characteristic of their action context. Likewise, when agents fail or are reluctant to demonstrate entrepreneurial agency, they nevertheless actively account for their situation and demonstrate personal agency by drawing on the relational resources available to them.