On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

A review of two journals found that articles using multivariable logistic regression frequently did not report commonly recommended assumptions

Background and Objective: To examine if commonly recommended assumptions for multivariable logistic regression are addressed in two major epidemiological journals. Methods: Ninety-nine articles from the Journal of Clinical Epidemiology and the American Journal of Epidemiology were surveyed for 10 criteria: six dealing with computation and four with reporting multivariable logistic regression results. Results: Three of the 10 criteria were addressed in 50% or more of the articles. Statistical significance testing or confidence intervals were reported in all articles. Methods for selecting independent variables were described in 82%, and specific procedures used to generate the models were discussed in 65%. Fewer than 50% of the articles indicated if interactions were tested or met the recommended events per independent variable ratio of 10: 1. Fewer than 20% of the articles described conformity to a linear gradient, examined collinearity, reported information on validation procedures, goodness-of-fit, discrimination statistics, or provided complete information on variable coding. There was no significant difference (P >.05) in the proportion of articles meeting the criteria across the two journals. Conclusion: Articles reviewed frequently did not report commonly recommended assumptions for using multivariable logistic regression. (C) 2004 Elsevier Inc. All rights reserved.

Adaptive responses of wild mungbean (Vigna radiata ssp sublobata) to photo-thermal environment. I. Phenology

The phenology of 11 diverse accessions of wild mungbean was observed under natural and artificial photoperiod - temperature conditions, in order to examine whether genotypic differences might be attributed to adaptive responses to photo-thermal conditions. There was large variation in phenological response among accessions and across environments, much of which was due to differences in the duration of the pre-flowering phase. Accessions that flowered earlier tended to flower for longer, apart from 2 earlier flowering, inland Australian lines that were also earlier maturing. The patterns of response in time from sowing to flowering over environment were consistent with quantitative short-day photoperiodic adaptation, a conclusion supported by the effects of artificial day-length extension and by 'goodness of fit' of the observed responses to standard models relating rate of development to photoperiod and temperature. The fitted models indicated that rate of development towards flowering was hastened by warmer temperatures, and delayed by longer day lengths, with differential sensitivity between accessions to both factors. The models also suggested that photoperiod was more important for accessions collected closer to the equator, which were generally later flowering as a consequence. Conversely, temperature was relatively more important in lines from higher latitudes. Modelling also suggested that the period from first flowering to maturity was sensitive to photoperiod and temperature. Again, longer days appeared to prolong growth and delay maturity. However, cooler temperatures accelerated rather than slowed maturity, by suppressing further vegetative growth. The variation observed indicated that there is considerable scope for using the wild population to broaden the adaptation of cultivated mungbean. In particular, the unusual response of a late-flowering, photoperiod-insensitive accession warrants further study to establish whether the wild population contains a unique 'long juvenile' trait analogous to that being used for improving phenological adaptation in soybean.

The functional impact of developmental co-ordination disorder during adolescence and early adult life

PURPOSE: The purpose of this study was to increase the understanding of the functional impact that coordination problems have during adolescence and early adult life. In particular, this study aimed to investigate the impact coordination deficits have on day-to-day functioning, activity levels, self-concept with respect to coordination, leisure pursuits, occupational types, accidents and injuries, as well as experiences learning to drive. RELEVANCE: This study may enable clinicians to identify at risk situations, such that appropriate prevention and targeting of treatment can occur. SUBJECTS: The participants involved in this study comprised two groups; 40 subjects previously diagnosed with DCD, and their matched controls. METHODS: Participants were initially contacted by mail for their consent to the study. Consenting participants were then contacted via telephone, and interviewed. ANALYSES: Data analysis was performed using SPSS. Chi squared analysis and Mann Whitney U test was also used to compare groups. RESULTS: During both age periods, the number of DCD subjects participating in sport was significantly less than the number of controls. Although in the 12-14 years age category, the two groups displayed similar results for the type of sport chosen, the 18 – 20 years age group, showed significant differences, with the number of DCD subjects participating in High level coordination activities, being significantly less than controls. Self-perception with respect to coordination was also significantly different amongst groups with more DCD subjects, having perceived themselves as being clumsy. Similarly, a significantly greater number of DCD subjects admitted to tripping over themselves regularly. Some differences have also been noted in the experiences of subjects learning to drive. First, the number of DCD subjects, who had difficulties learning to drive was significantly greater than controls. Second, a much greater number of Control subjects, compared to DCD subjects were successful in obtaining drivers license. Finally, also of interest is the 58% of DCD subjects who have experienced an accident whilst driving, compared to the 35% of controls. The last result of this study was that whilst there was no significant difference between groups, in the number of broken bones, dislocated joints, sprain, burns, stitches, or other significant injuries, the number of control subjects suffering muscle strains was significantly greater than the number of DCD subjects. CONCLUSION: The results of this study indicate that DCD has many implications on day-to-day functioning, both in adolescence and early adulthood. Findings have shown despite the significant sensory-motor deficits displayed by DCD subjects, the impact that this has on day-to-day functioning may be reduced by lifestyle modification.

Patients with neck pain demonstrate reduced electromyographic activity of the deep cervical flexor muscles during performance of the craniocervical flexion test

Study Design. Cross-sectional study. Objective. The present study compared activity of deep and superficial cervical flexor muscles and craniocervical flexion range of motion during a test of craniocervical flexion between 10 patients with chronic neck pain and 10 controls. Summary of Background Data. Individuals with chronic neck pain exhibit reduced performance on a test of craniocervical flexion, and training of this maneuver is effective in management of neck complaints. Although this test is hypothesized to reflect dysfunction of the deep cervical flexor muscles, this has not been tested. Methods. Deep cervical flexor electromyographic activity was recorded with custom electrodes inserted via the nose and fixed by suction to the posterior mucosa of the oropharynx. Surface electrodes were placed over the superficial neck muscles ( sternocleidomastoid and anterior scalene). Root mean square electromyographic amplitude and craniocervical flexion range of motion was measured during five incremental levels of craniocervical flexion in supine. Results. There was a strong linear relation between the electromyographic amplitude of the deep cervical flexor muscles and the incremental stages of the craniocervical flexion test for control and individuals with neck pain ( P = 0.002). However, the amplitude of deep cervical flexor electromyographic activity was less for the group with neck pain than controls, and this difference was significant for the higher increments of the task ( P < 0.05). Although not significant, there was a strong trend for greater sternocleidomastoid and anterior scalene electromyographic activity for the group with neck pain. Conclusions. These data confirm that reduced performance of the craniocervical flexion test is associated with dysfunction of the deep cervical flexor muscles and support the validity of this test for patients with neck pain.

Comparative assessment of the gelatin particle agglutination test and an enzyme-linked immunosorbent assay for diagnosis of strongyloidiasis

The performances of the gelatin particle agglutination test (GPAT) and enzyme-linked immunosorbent assay (ELISA) for the diagnosis of strongyloidiasis with reference to the results of the agar plate culture technique (APCT) were evaluated with samples from 459 individuals from communities in northeast Thailand where strongyloidiasis is endemic. The prevalence of strongyloidiasis in five sample groups determined by GPAT varied between 29.3 and 61.5% (mean, 38.8%). ELISA and APCT, employed concurrently, gave lower prevalence rates of 27.5% (range, 21.6 to 42.1%) and 22.7% (range, 12.7 to 53.8%), respectively. By using APCT as the standard method, the sensitivity of GPAT was generally higher than that of ELISA (81 versus 73%). The specificity of GPAT was slightly lower than that of ELISA (74 versus 86%). The resulting GPAT titers exhibited positive linear relationships with the ELISA values (optical density at 490 nm) (P < 0.05), which suggests that the GPAT titer also reflects the levels of specific antibody comparable to those reflected by the ELISA values. Based on the relative ease and simplicity of use of the technique as well as the acceptable rates of sensitivity and specificity of the test, GPAT is more practical for screening for strongyloidiasis than the conventional ELISA.

Rank test of location optimal for hyperbolic secant distribution

There are at least two reasons for a symmetric, unimodal, diffuse tailed hyperbolic secant distribution to be interesting in real-life applications. It displays one of the common types of non normality in natural data and is closely related to the logistic and Cauchy distributions that often arise in practice. To test the difference in location between two hyperbolic secant distributions, we develop a simple linear rank test with trigonometric scores. We investigate the small-sample and asymptotic properties of the test statistic and provide tables of the exact null distribution for small sample sizes. We compare the test to the Wilcoxon two-sample test and show that, although the asymptotic powers of the tests are comparable, the present test has certain practical advantages over the Wilcoxon test.

Effect of Australia's walk to work day campaign on adults' active commuting and physical activity behavior

Purpose. To determine whether Australia's Walk to Work Day media campaign resulted in behavioural change among targeted groups. Methods. Pre- and postcampaign telephone surveys of a cohort of adults aged 18 to 65 years (n = 1100, 55% response rate) were randomly sampled from Australian major melropolitan areas. Tests for dependent samples were applied (McNemax chi(2) or paired t-test). Results. Among participants who did not usually actively commute to work was a significant decrease in car only use an increase in walking combined with public transport. Among those who were employed was a significant increase in total time walking (+16 min/wk; t [780] = 2.04, p < .05) and in other moderate physical activity (+120 min/wk; t [1087] = 4.76, p < .005), resulting in a significant decrease in the proportion who were inactive (chi(2) (1) = 6.1, p < .05). Conclusion. Although nonexperimental, the Walk to Work Day initiative elicited short-term changes in targeted behaviors among target groups. Reinforcement by integrating worksite health promotion strategies may be required for sustained effects.

A time-domain test for some types of nonlinearity

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the bispectrum is that its estimator comprises terms that are asymptotically independent at distinct bifrequencies under the null hypothesis of linearity. An advantage of the third-order moment is that its values in any subset of joint lags can be used in the test, whereas when using the bispectrum the entire (or truncated) third-order moment is required to construct the Fourier transform. In this paper, we propose a test for nonlinearity based upon the estimated third-order moment. We use the phase scrambling bootstrap method to give a nonparametric estimate of the variance of our test statistic under the null hypothesis. Using a simulation study, we demonstrate that the test obtains its target significance level, with large power, when compared to an existing standard parametric test that uses the bispectrum. Further we show how the proposed test can be used to identify the source of nonlinearity due to interactions at specific frequencies. We also investigate implications for heuristic diagnosis of nonstationarity.

A survey of regular ecstasy users' knowledge and practices around determining pill content and purity: Implications for policy and practice.

Objective: To examine the methods used by a sample of regular ecstasy users to determine the content and purity of ecstasy pills, their knowledge of the limitations of available pill testing methods, and how pill test results would influence their drug use behaviour. Method: Data were collected from regular ecstasy users (n = 810) recruited from all eight capital cities of Australia. Data were analysed using multiple logistic regression and chi-square (chi(2)) tests of association. Open-ended responses were coded for themes. Results: The majority of the sample(84%) reported attempting to find out the content and purity of ecstasy at least some of the time, most commonly asking friends or dealers. Less than one quarter (22%) reported personal use of testing kits. There was a moderate level of awareness of the limitations of testing kits among those who reported having used them. Over half (57%) of those reporting personal use of testing kits reported that they would not take a pill if test results indicated that it contained ketamine and over three quarters (76%) reported that they would not take an "unknown" pill (producing no reaction in a reagent test). Finally, a considerable majority (63%) expressed interest in pill testing should it be more widely available. Conclusions: The majority of regular ecstasy users sampled in this Australian study report previous attempts to determine the content and purity of pills sold as ecstasy. Although only a small proportion have used testing kits, many report that they would do so if they were more widely available. The results of pill tests may influence drug use if they indicate that pills contain substances which ecstasy users do not want to ingest or are of unknown content. More detailed research examining ways in which pill testing may influence drug use is required to inform evidence-based policy. (c) 2006 Elsevier B.V. All rights reserved.