Essays in Macroecometrics: methodological aspects and empirical applications

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of individuals of the panel is small relatively to the number of time series observations. I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries. In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time. I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets. The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Circoli collaterali porto-sistemici all'eco-color-Doppler addominale in pazienti con ipertensione portale cirrotica: correlazione con il gradiente porto-epatico e valore prognostico

Background. Abdominal porto-systemic collaterals (APSC) on Color-Doppler ultrasound are a frequent finding in portal hypertensive cirrhotic patients. In patients with cirrhosis, an HVPG ≥ 16mmHg has been shown to be associated with increased mortality in two studies. Non-invasive indicators of HVPG ≥ 16 mmHg might define a subgroup of high-risk patients, but data on this aspect are lacking. Aims. We aimed to investigate whether HVPG predicts mortality in patients with clinically significant portal hypertension, and if APSC may predict a severe portal hypertensive state (i.e. HVPG≥16mmHg) in patients with cirrhosis and untreated portal hypertension. Methods. We analysed paired HVPG and ultrasonographic data of 86 untreated portal hypertensive cirrhotic patients. On abdominal echo-color-Doppler data on presence, type and number of APSC were prospectively collected. HVPG was measured following published guidelines. Clinical, laboratory and endoscopic data were available in all cases. First decompensation of cirrhosis and liver-disease related mortality on follow-up (mean 28±20 months) were recorded. Results. 73% of patients had compensated cirrhosis, while 27% were decompensated. All patients had an HVPG≥10 mmHg (mean 17.8±5.1 mmHg). 58% of compensated patients and 82% of decompensated patients had an HVPG over 16 mmHg. 25% had no varices, 28% had small varices, and 47% had medium/large varices. HVPG was higher in patients with esophageal varices vs. patients without varices (19.0±4.8 vs. 14.1±4.2mmHg, p<0.0001), and correlated with Child-Pugh score (R=0.494,p=0.019). 36 (42%) patients had APSC were more frequent in decompensated patients (60% vs. 35%, p=0.03) and in patients with esophageal varices (52% vs. 9%,p=0.001). HVPG was higher in patients with APSC compared with those without PSC (19.9± 4.6 vs. 16.2± 4.9mmHg, p=0.001). The prevalence of APSC was higher in patients with HVPG≥16mmHg vs. those with HVPG<16mmHg (57% vs. 13%,p<0.0001). Decompensation was significantly more frequent in patients with HVPG≥16mmHg vs. HVPG<16mmHg (35.1% vs. 11.5%, p=0.02). On multivariate analysis only HVPG and bilirubin were independent predictors of first decompensation. 10 patients died during follow-up. All had an HVPG≥16 mmHg (26% vs. 0% in patients with HVPG <16mmHg,p=0.04). On multivariate analysis only MELD score and HVPG ≥16mmHg were independent predictors of mortality. In compensated patients the detection of APSC predicted an HVPG≥16mmHg with 92% specificity, 54% sensitivity, positive and negative likelihood ratio 7.03 and 0.50, which implies that the demonstration of APSC on ultrasound increased the probability of HVPG≥16mmHg from 58% to 91%. Conclusions. HVPG maintains an independent prognostic value in the subset of patients with cirrhosis and clinically significant portal hypertension. The presence of APSC is a specific indicator of severe portal hypertension in patients with cirrhosis. Detection of APSC on ultrasound allows the non-invasive identification of a subgroup of compensated patients with bad prognosis, avoiding the invasive measurement of HVPG.

Studio caso-controllo multicentrico su distacco di retina e movimentazione manuale di carichi

Obiettivo Valutare l’ipotesi secondo cui la movimentazione manuale di carichi possa essere un fattore di rischio per il di distacco di retina. Metodi Si è condotto uno studio caso-controllo ospedaliero multicentrico, a Bologna, (reparto di Oculistica del policlinico S. Orsola Malpighi, Prof. Campos), e a Brescia (reparto di oculistica “Spedali Civili” Prof. Semeraro). I casi sono 104 pazienti operati per distacco di retina. I controlli sono 173 pazienti reclutati tra l’utenza degli ambulatori del medesimo reparto di provenienza dei casi. Sia i casi che i controlli (all’oscuro dall’ipotesi in studio) sono stati sottoposti ad un’intervista, attraverso un questionario strutturato concernente caratteristiche individuali, patologie pregresse e fattori di rischio professionali (e non) relativi al distacco di retina. I dati relativi alla movimentazione manuale di carichi sono stati utilizzati per creare un “indice di sollevamento cumulativo―ICS” (peso del carico sollevato x numero di sollevamenti/ora x numero di anni di sollevamento). Sono stati calcolati mediante un modello di regressione logistica unconditional (aggiustato per età e sesso) gli Odds Ratio (OR) relativi all’associazione tra distacco di retina e vari fattori di rischio, tra cui la movimentazione manuale di carichi. Risultati Oltre alla chirurgia oculare e alla miopia (fattori di rischio noti), si evidenzia un trend positivo tra l’aumento dell’ICS e il rischio di distacco della retina. Il rischio maggiore si osserva per la categoria di sollevamento severo (OR 3.6, IC 95%, 1.5–9.0). Conclusione I risultati, mostrano un maggiore rischio di sviluppare distacco di retina per coloro che svolgono attività lavorative che comportino la movimentazione manuale di carichi e, a conferma di quanto riportato in letteratura, anche per i soggetti miopi e per coloro che sono stati sottoposti ad intervento di cataratta. Si rende quindi evidente l’importanza degli interventi di prevenzione in soggetti addetti alla movimentazione manuale di carichi, in particolare se miopi.

The XENON1T experiment: Monte Carlo background estimation and sensitivity curves study

Despite the scientific achievement of the last decades in the astrophysical and cosmological fields, the majority of the Universe energy content is still unknown. A potential solution to the “missing mass problem” is the existence of dark matter in the form of WIMPs. Due to the very small cross section for WIMP-nuleon interactions, the number of expected events is very limited (about 1 ev/tonne/year), thus requiring detectors with large target mass and low background level. The aim of the XENON1T experiment, the first tonne-scale LXe based detector, is to be sensitive to WIMP-nucleon cross section as low as 10^-47 cm^2. To investigate the possibility of such a detector to reach its goal, Monte Carlo simulations are mandatory to estimate the background. To this aim, the GEANT4 toolkit has been used to implement the detector geometry and to simulate the decays from the various background sources: electromagnetic and nuclear. From the analysis of the simulations, the level of background has been found totally acceptable for the experiment purposes: about 1 background event in a 2 tonne-years exposure. Indeed, using the Maximum Gap method, the XENON1T sensitivity has been evaluated and the minimum for the WIMP-nucleon cross sections has been found at 1.87 x 10^-47 cm^2, at 90% CL, for a WIMP mass of 45 GeV/c^2. The results have been independently cross checked by using the Likelihood Ratio method that confirmed such results with an agreement within less than a factor two. Such a result is completely acceptable considering the intrinsic differences between the two statistical methods. Thus, in the PhD thesis it has been proven that the XENON1T detector will be able to reach the designed sensitivity, thus lowering the limits on the WIMP-nucleon cross section by about 2 orders of magnitude with respect to the current experiments.

Sviluppo di metodologie di localizzazione nel contesto del Comprehensive Nuclear Test-Ban Treaty

Since the first underground nuclear explosion, carried out in 1958, the analysis of seismic signals generated by these sources has allowed seismologists to refine the travel times of seismic waves through the Earth and to verify the accuracy of the location algorithms (the ground truth for these sources was often known). Long international negotiates have been devoted to limit the proliferation and testing of nuclear weapons. In particular the Treaty for the comprehensive nuclear test ban (CTBT), was opened to signatures in 1996, though, even if it has been signed by 178 States, has not yet entered into force, The Treaty underlines the fundamental role of the seismological observations to verify its compliance, by detecting and locating seismic events, and identifying the nature of their sources. A precise definition of the hypocentral parameters represents the first step to discriminate whether a given seismic event is natural or not. In case that a specific event is retained suspicious by the majority of the State Parties, the Treaty contains provisions for conducting an on-site inspection (OSI) in the area surrounding the epicenter of the event, located through the International Monitoring System (IMS) of the CTBT Organization. An OSI is supposed to include the use of passive seismic techniques in the area of the suspected clandestine underground nuclear test. In fact, high quality seismological systems are thought to be capable to detect and locate very weak aftershocks triggered by underground nuclear explosions in the first days or weeks following the test. This PhD thesis deals with the development of two different seismic location techniques: the first one, known as the double difference joint hypocenter determination (DDJHD) technique, is aimed at locating closely spaced events at a global scale. The locations obtained by this method are characterized by a high relative accuracy, although the absolute location of the whole cluster remains uncertain. We eliminate this problem introducing a priori information: the known location of a selected event. The second technique concerns the reliable estimates of back azimuth and apparent velocity of seismic waves from local events of very low magnitude recorded by a trypartite array at a very local scale. For the two above-mentioned techniques, we have used the crosscorrelation technique among digital waveforms in order to minimize the errors linked with incorrect phase picking. The cross-correlation method relies on the similarity between waveforms of a pair of events at the same station, at the global scale, and on the similarity between waveforms of the same event at two different sensors of the try-partite array, at the local scale. After preliminary tests on the reliability of our location techniques based on simulations, we have applied both methodologies to real seismic events. The DDJHD technique has been applied to a seismic sequence occurred in the Turkey-Iran border region, using the data recorded by the IMS. At the beginning, the algorithm was applied to the differences among the original arrival times of the P phases, so the cross-correlation was not used. We have obtained that the relevant geometrical spreading, noticeable in the standard locations (namely the locations produced by the analysts of the International Data Center (IDC) of the CTBT Organization, assumed as our reference), has been considerably reduced by the application of our technique. This is what we expected, since the methodology has been applied to a sequence of events for which we can suppose a real closeness among the hypocenters, belonging to the same seismic structure. Our results point out the main advantage of this methodology: the systematic errors affecting the arrival times have been removed or at least reduced. The introduction of the cross-correlation has not brought evident improvements to our results: the two sets of locations (without and with the application of the cross-correlation technique) are very similar to each other. This can be commented saying that the use of the crosscorrelation has not substantially improved the precision of the manual pickings. Probably the pickings reported by the IDC are good enough to make the random picking error less important than the systematic error on travel times. As a further justification for the scarce quality of the results given by the cross-correlation, it should be remarked that the events included in our data set don’t have generally a good signal to noise ratio (SNR): the selected sequence is composed of weak events ( magnitude 4 or smaller) and the signals are strongly attenuated because of the large distance between the stations and the hypocentral area. In the local scale, in addition to the cross-correlation, we have performed a signal interpolation in order to improve the time resolution. The algorithm so developed has been applied to the data collected during an experiment carried out in Israel between 1998 and 1999. The results pointed out the following relevant conclusions: a) it is necessary to correlate waveform segments corresponding to the same seismic phases; b) it is not essential to select the exact first arrivals; and c) relevant information can be also obtained from the maximum amplitude wavelet of the waveforms (particularly in bad SNR conditions). Another remarkable point of our procedure is that its application doesn’t demand a long time to process the data, and therefore the user can immediately check the results. During a field survey, such feature will make possible a quasi real-time check allowing the immediate optimization of the array geometry, if so suggested by the results at an early stage.

Ruolo del test da sforzo cardiopolmonare nei pazienti affetti da cardiomiopatia ipertrofica in età pediatrica

Background Decreased exercise capacity, and reduction in peak oxygen uptake are present in most patients affected by hypertrophic cardiomyopathy (HCM) . In addition an abnormal blood pressure response during a maximal exercise test was seen to be associated with high risk for sudden cardiac death in adult patients affected by HCM. Therefore exercise test (CPET) has become an important part of the evaluation of the HCM patients, but data on its role in patients with HCM in the pediatric age are quite limited. Methods and results Between 2004 and 2010, using CPET and echocardiography, we studied 68 children (mean age 13.9 ± 2 years) with HCM. The exercise test was completed by all the patients without adverse complications. The mean value of achieved VO2 max was 31.4 ± 8.3 mL/Kg/min which corresponded to 77.5 ± 16.9 % of predicted range. 51 patients (75%) reached a subnormal value of VO2max. On univariate analysis the achieved VO2 as percentage of predicted and the peak exercise systolic blood pressure (BP) Z score were inversely associated with max left ventricle (LV) wall thickness, with E/Ea ratio, and directly related with Ea and Sa wave velocities No association was found with the LV outflow tract gradient. During a mean follow up of 2.16 ± 1.7 years 9 patients reached the defined clinical end point of death, transplantation, implanted cardioverter defibrillator (ICD) shock, ICD implantation for secondary prevention or myectomy. Patients with peak VO2 < 52% or with peak systolic BP Z score < -5.8 had lower event free survival at follow up. Conclusions Exercise capacity is decreased in patients with HCM in pediatric age and global ventricular function seems being the most important determinant of exercise capacity in these patients. CPET seems to play an important role in prognostic stratification of children affected by HCM.