Cointegration: Bayesian Significance Test

To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or multivariate models: VAR (VEC or VECM) models. These models usually include at least one cointegration relation. Although the Bayesian literature on VAR/VEC is quite advanced, Bauwens et al. (1999) highlighted that "the topic of selecting the cointegrating rank has not yet given very useful and convincing results". The present article applies the Full Bayesian Significance Test (FBST), especially designed to deal with sharp hypotheses, to cointegration rank selection tests in VECM time series models. It shows the FBST implementation using both simulated and available (in the literature) data sets. As illustration, standard non informative priors are used.

Estimate of corrected values and the effect of correction for measurement error in dietary data obtained by the Food Frequency Questionnaire for Adolescents (AFFQ)

The scope of this study was to estimate calibrated values for dietary data obtained by the Food Frequency Questionnaire for Adolescents (FFQA) and illustrate the effect of this approach on food consumption data. The adolescents were assessed on two occasions, with an average interval of twelve months. In 2004, 393 adolescents participated, and 289 were then reassessed in 2005. Dietary data obtained by the FFQA were calibrated using the regression coefficients estimated from the average of two 24-hour recalls (24HR) of the subsample. The calibrated values were similar to the the 24HR reference measurement in the subsample. In 2004 and 2005 a significant difference was observed between the average consumption levels of the FFQA before and after calibration for all nutrients. With the use of calibrated data the proportion of schoolchildren who had fiber intake below the recommended level increased. Therefore, it is seen that calibrated data can be used to obtain adjusted associations due to reclassification of subjects within the predetermined categories.

Error Autocorrelation and Linear Regression for Temperature-Based Evapotranspiration Estimates Improvement

Estimates of evapotranspiration on a local scale is important information for agricultural and hydrological practices. However, equations to estimate potential evapotranspiration based only on temperature data, which are simple to use, are usually less trustworthy than the Food and Agriculture Organization (FAO)Penman-Monteith standard method. The present work describes two correction procedures for potential evapotranspiration estimates by temperature, making the results more reliable. Initially, the standard FAO-Penman-Monteith method was evaluated with a complete climatologic data set for the period between 2002 and 2006. Then temperature-based estimates by Camargo and Jensen-Haise methods have been adjusted by error autocorrelation evaluated in biweekly and monthly periods. In a second adjustment, simple linear regression was applied. The adjusted equations have been validated with climatic data available for the Year 2001. Both proposed methodologies showed good agreement with the standard method indicating that the methodology can be used for local potential evapotranspiration estimates.

Computational tools for comparing asymmetric GARCH models via Bayes factors

In this paper we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compare GARCH models from a Bayesian perspective. We allow for possibly heavy tailed and asymmetric distributions in the error term. We use a general method proposed in the literature to introduce skewness into a continuous unimodal and symmetric distribution. For each model we compute an approximation to the marginal likelihood, based on the MCMC output. From these approximations we compute Bayes factors and posterior model probabilities. (C) 2012 IMACS. Published by Elsevier B.V. All rights reserved.

Bartlett corrections in Birnbaum-Saunders nonlinear regression models

Lemonte and Cordeiro [Birnbaum-Saunders nonlinear regression models, Comput. Stat. Data Anal. 53 (2009), pp. 4441-4452] introduced a class of Birnbaum-Saunders (BS) nonlinear regression models potentially useful in lifetime data analysis. We give a general matrix Bartlett correction formula to improve the likelihood ratio (LR) tests in these models. The formula is simple enough to be used analytically to obtain several closed-form expressions in special cases. Our results generalize those in Lemonte et al. [Improved likelihood inference in Birnbaum-Saunders regressions, Comput. Stat. DataAnal. 54 (2010), pp. 1307-1316], which hold only for the BS linear regression models. We consider Monte Carlo simulations to show that the corrected tests work better than the usual LR tests.

Validation of the MAPGEO2010 and comparison with recent geopotential models

This paper presents the offorts to calculate the geoid model for Brazil. It is limited by 6 degrees N and 35 degrees S in latitude and 30 degrees W and 75 degrees W in longitude. The terrestrial gravity data for the continent have been updated by means of the most recent surveys in Brazil and in the neighbour countries. The complete Bouguer and Helmert gravity anomalies have been derived through the Canadian package SHGEO. The short wavelength component was estimated via FFT. The geopotential model EGM2008 was used as a reference field restricted to degree and order 150. The model was validated over 844 GPS observations on Bench Marks of the spirit leveling network. The height anomalies plus a topography dependent correction term derived from EGM2008 (degree 2190 and order 2159), GO_CONS_GCF_2_DIR_R2 (degree and order 240), GOCO02S (degree and order 250), EIGEN 51C (degree and order 359) and EIGEN 6C (degree and order 1420), geoidal height derived from MAPGEO2004 (old official geoid model in Brazil) have also been compared to the GPS points on Bench Marks.

On Wald Residuals in Generalized Linear Models

A rigorous asymptotic theory for Wald residuals in generalized linear models is not yet available. The authors provide matrix formulae of order O(n(-1)), where n is the sample size, for the first two moments of these residuals. The formulae can be applied to many regression models widely used in practice. The authors suggest adjusted Wald residuals to these models with approximately zero mean and unit variance. The expressions were used to analyze a real dataset. Some simulation results indicate that the adjusted Wald residuals are better approximated by the standard normal distribution than the Wald residuals.

Validation of models for predicting milk urea nitrogen concentrations, estimating dry matter intake by the NRC (2001)

The objective of this study was to validate three different models for predicting milk urea nitrogen using field conditions, attempting to evaluate the nutritional adequacy diets for dairy cows and prediction of nitrogen excreted to the environment. Observations (4,749) from 855 cows were used. Milk yield, body weight (BW), days in milk and parity were recorded on the milk sampling days. Milk was sampled monthly, for analysis of milk urea nitrogen (MUN), fat, protein, lactose and total solids concentration and somatic cells count. Individual dry matter intake was estimated using the NRC (2001). The three models studied were derived from a first one to predict urinary nitrogen (UN). Model 1 was MUN = UN/12.54, model 2 was MUN = UN/17.6 and model 3 was MUN = UN/(0.0259 × BW), adjusted by body weight effect. To evaluate models, they were tested for accuracy, precision and robustness. Despite being more accurate (mean bias = 0.94 mg/dL), model 2 was less precise (residual error = 4.50 mg/dL) than model 3 (mean bias = 1.41 and residual error = 4.11 mg/dL), while model 1 was the least accurate (mean bias = 6.94 mg/dL) and the least precise (residual error = 5.40 mg/dL). They were not robust, because they were influenced by almost all the variables studied. The three models for predicting milk urea nitrogen were different with respect to accuracy, precision and robustness.