Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

Identification, Weak Instruments and Statistical Inference in Econometrics

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on weakly identified models (or weak instruments). We point out that many hypotheses, for which test procedures are commonly proposed, are not testable at all, while some frequently used econometric methods are fundamentally inappropriate for the models considered. Such situations lead to ill-defined statistical problems and are often associated with a misguided use of asymptotic distributional results. Concerning nonparametric hypotheses, we discuss three basic problems for which such difficulties occur: (1) testing a mean (or a moment) under (too) weak distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited number of parameters. Concerning weakly identified models, we stress that valid inference should be based on proper pivotal functions —a condition not satisfied by standard Wald-type methods based on standard errors — and we discuss recent developments in this field, mainly from the viewpoint of building valid tests and confidence sets. The techniques discussed include alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests. The possibility of deriving a finite-sample distributional theory, robustness to the presence of weak instruments, and robustness to the specification of a model for endogenous explanatory variables are stressed as important criteria assessing alternative procedures.

Bayesian Analysis for a Theory of Random Consumer Demand: The Case of Indivisible Goods

McCausland (2004a) describes a new theory of random consumer demand. Theoretically consistent random demand can be represented by a \"regular\" \"L-utility\" function on the consumption set X. The present paper is about Bayesian inference for regular L-utility functions. We express prior and posterior uncertainty in terms of distributions over the indefinite-dimensional parameter set of a flexible functional form. We propose a class of proper priors on the parameter set. The priors are flexible, in the sense that they put positive probability in the neighborhood of any L-utility function that is regular on a large subset bar(X) of X; and regular, in the sense that they assign zero probability to the set of L-utility functions that are irregular on bar(X). We propose methods of Bayesian inference for an environment with indivisible goods, leaving the more difficult case of indefinitely divisible goods for another paper. We analyse individual choice data from a consumer experiment described in Harbaugh et al. (2001).

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate).

Parametric and Nonparametric Approaches to Price and Tax Reform.

In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax-induced price changes affect quantities supplied and demanded. in this paper, we present various econometric procedures for estimating how taxes affect demand.

El Tropel, un sitio arqueológico del Clásico en el Occidente Mesoamericano.

Cette recherche doctorale a été réalisée dans le cadre d’un projet de sauvetage archéologique à Villa de Álvarez, dans l’état de Colima (Mexique). Dans la zone géographique à l’étude, plusieurs traces indiquant la présence de contextes funéraires ont été relevées par le passé, mais aucun de ces sites n’a fait l’objet d’un rapport archéologique. L’état de Colima est connu pour ses tombes à puits (tumbas de tiro), ses céramiques de manufacture typique, ainsi que pour les fameux « chiens de Colima ». Malgré la relation entre ces objets et les contextes funéraires, peu d’études se sont attardées à comprendre la composante biologique de ces contextes, c’est-à-dire les êtres humains. Ainsi, la richesse du projet de sauvetage archéologique nous a donné l’opportunité de structurer un projet de recherche de thèse doctorale beaucoup plus profond en ce qui concerne un des sujets les plus importants de cette région mésoaméricaine : les traditions funéraires. C’est de cette façon, à la lumière des résultats particuliers obtenus sur le site du Tropel, que nous avons décidé de travailler les liens culturels existants entre ce dernier, la région de Colima, l’Ouest mésoaméricain et l’aire culturelle dans son ensemble. La campagne de fouille ainsi menée a permis la récupération de vingt-six individus de différents sexes et âges. Au moins quatre périodes d’occupation ont été enregistrées sur le site. La présence humaine sur le site s’étend donc de 339AD à 682 AD (datations au radiocarbone sur trois individus du site El Tropel), ce qui correspond à la phase archéologique Comala à Colima. L’abondance d’artefacts de cette phase dans les quatre strates culturelles du site a permis de réaliser une datation relative en relation avec l’apparition et la fréquence de céramiques d’autres phases culturelles connues : Ortices, Colima, Armería y Chanal. Concernant les pratiques funéraires, la fouille a permis de constater le traitement des cadavres avant, pendant et après l’enterrement des défunts. Bien que des contextes funéraires similaires aient déjà été mentionnés dans la région, aucun d’entre eux n’a pu être identifié clairement. Ces traitements funéraires démontrent l’existence chez les anciens habitants de Colima d’une transmission des connaissances concernant l’anatomie, les processus de décomposition des cadavres, et même possiblement d’un culte des os humains. Une étude ostéologique a été menée sur les squelettes afin de documenter les aspects démographiques, pathologiques, sociaux et économiques de la population du site. Parmi les éléments les plus significatifs de l’étude, il est possible de mentionner la présence de certaines pathologies peu connues dans cette région de la Mésoamérique telles que la syphilis et la tuberculose. Des déformations crâniennes ont aussi été observées, ainsi que la présence d’un déformateur crânien en céramique. De plus, de nombreuses données ont été relevées concernant la présence d’os wormiens sur les crânes déformés artificiellement. Finalement, des analyses d’isotopes stables ont été pratiquées sur des os des individus, ainsi que sur des os de chiens et de cerfs retrouvés sur le site, afin de mieux connaître l’alimentation et la vie des communautés anciennes de la région.

Anisotropy in elastic properties of lithium sodium sulphate hexahydrate single crystal—An ultrasonic study

The double sulfate family (ABSO4), where A and B are alkali metal cations, is the object of great interest owing to the complexity and richness of its sequence of phase transition induced by temperature variation. A new sulfate salt characterized by the presence of water molecule in the unit cell with the chemical formula, Li2Na3(SO4)2⋅6H2O (LSSW), was obtained. The ultrasonic velocity measurement was done with pulse echo overlap technique [PEO]. All the six second order elastic stiffness constants, C11 = C22, C33, C44 = C55, C12, C14 and C13 = C23 are reported for the first time. The anisotropy in the elastic properties of the crystal are well explained by the pictorial representation of the polar plots of phase velocity, slowness, Young’s modulus and linear compressibility in a–b and a–c planes.

Characterization of the layered structure in main chain dibenzo-18-crown-6 ether polymers by simultaneous WAXS/MAXS-SAXS/DSC measurements

The structure and thermal properties of polymers containing dibenzo-18-crown-6 ether units in the main chain linked to an aliphatic spacer of different lengths (C10-C14) is reported. X-ray diffraction patterns of all the studied samples exhibit a peak in the medium angle region, revealing the existence of a lamellar structure. Simultaneous calorimetry and small, medium (SAXS-MAXS) and wide (WAXS) X-ray measurements during cooling and subsequent heating of the samples reveal that a layer phase is formed upon cooling. In the case of the homopolymers, this phase is almost simultaneously accompanied by the appearance of some reflections in the wide angle region as an indication of lateral crystallization. However, by copolymerization, the formation of the layer phase is decoupled from lateral crystallization, being stable in a wide temperature region.

Conformation and self-association of peptide amphiphiles based on the KTTKS collagen sequence

Studying peptide amphiphiles (PAs), we investigate the influence of alkyl chain length on the aggregation behavior of the collagen-derived peptide KTTKS with applications ranging from antiwrinkle cosmetic creams to potential uses in regenerative medicine. We have studied synthetic peptides amphiphiles C14− KTTKS (myristoyl Lys-Thr-Thr-Lys-Ser) and C18−KTTKS(stearoyl-Lys-Thr Thr-Lys-Ser) to investigate in detail their physicochemical properties. It is presumed that the hydrophobic chain in these self-assembling peptide amphiphiles enhances peptide permeation across the skin compared to KTTKS alone. Subsequently Cn−KTTKS should act as a prodrug and release the peptide by enzymatic cleavage. Our results should be useful in the further development of molecules with collagen-stimulating activity.

Meta-analysis of relationships between enteric methane yield and milk fatty acid profile in dairy cattle

Various studies have indicated a relationship between enteric methane (CH4) production and milk fatty acid (FA) profiles of dairy cattle. However, the number of studies investigating such a relationship is limited and the direct relationships reported are mainly obtained by variation in CH4 production and milk FA concentration induced by dietary lipid supplements. The aim of this study was to perform a meta-analysis to quantify relationships between CH4 yield (per unit of feed and unit of milk) and milk FA profile in dairy cattle and to develop equations to predict CH4 yield based on milk FA profile of cows fed a wide variety of diets. Data from 8 experiments encompassing 30 different dietary treatments and 146 observations were included. Yield of CH4 measured in these experiments was 21.5 ± 2.46 g/kg of dry matter intake (DMI) and 13.9 ± 2.30 g/ kg of fat- and protein-corrected milk (FPCM). Correlation coefficients were chosen as effect size of the relationship between CH4 yield and individual milk FA concentration (g/100 g of FA). Average true correlation coefficients were estimated by a random-effects model. Milk FA concentrations of C6:0, C8:0, C10:0, C16:0, and C16:0-iso were significantly or tended to be positively related to CH4 yield per unit of feed. Concentrations of trans-6+7+8+9 C18:1, trans-10+11 C18:1, cis- 11 C18:1, cis-12 C18:1, cis-13 C18:1, trans-16+cis-14 C18:1, and cis-9,12 C18:2 in milk fat were significantly or tended to be negatively related to CH4 yield per unit of feed. Milk FA concentrations of C10:0, C12:0, C14:0-iso, C14:0, cis-9 C14:1, C15:0, and C16:0 were significantly or tended to be positively related to CH4 yield per unit of milk. Concentrations of C4:0, C18:0, trans-10+11 C18:1, cis-9 C18:1, cis-11 C18:1, and cis- 9,12 C18:2 in milk fat were significantly or tended to be negatively related to CH4 yield per unit of milk. Mixed model multiple regression and a stepwise selection procedure of milk FA based on the Bayesian information criterion to predict CH4 yield with milk FA as input (g/100 g of FA) resulted in the following prediction equations: CH4 (g/kg of DMI) = 23.39 + 9.74 × C16:0- iso – 1.06 × trans-10+11 C18:1 – 1.75 × cis-9,12 C18:2 (R2 = 0.54), and CH4 (g/kg of FPCM) = 21.13 – 1.38 × C4:0 + 8.53 × C16:0-iso – 0.22 × cis-9 C18:1 – 0.59 × trans-10+11 C18:1 (R2 = 0.47). This indicated that milk FA profile has a moderate potential for predicting CH4 yield per unit of feed and a slightly lower potential for predicting CH4 yield per unit of milk. Key words: methane , milk fatty acid profile , metaanalysis , dairy cattle

Variation in nutritionally relevant components in retail Jersey and Guernsey whole milk

This study investigates the quality of retail milk labelled as Jersey & Guernsey (JG) when compared with milk without breed specifications (NS) and repeatability of differences over seasons and years. 16 different brands of milk (4 Jersey & Guernsey, 12 non specified breed) were sampled over 2 years on 4 occasions. JG milk was associated with both favourable traits for human health, such as the higher total protein, total casein, α-casein, β-casein, κ-casein and α-tocopherol contents, and unfavourable traits, such as the higher concentrations of saturated fat, C12:0, C14:0 and lower concentrations of monounsaturated fatty acids. In summer, JG milk had a higher omega-3:omega-6 ratio than had NS milk. Also, the relative increase in omega-3 fatty acids and α-tocopherol, from winter to summer, was greater in JG milk. The latter characteristic could be of use in breeding schemes and farming systems producing niche dairy products. Seasonality had a more marked impact on the fatty acid composition of JG milk than had NS milk, while the opposite was found for protein composition. Potential implication for the findings in human health, producers, industry and consumers are considered.

Fat composition of organic and conventional retail milk in northeast England

This study of UK retail milk identified highly significant variations in fat composition. The survey, conducted over 2 yr replicating summer and winter, sampled 22 brands, 10 of which indicated organic production systems. Results corroborate earlier farm-based findings considering fat composition of milk produced under conventional and organic management. Organic milk had higher concentrations of beneficial fatty acids (FA) than conventional milk, including total polyunsaturated fatty acids (PUFA; 39.4 vs. 31.8 g/kg of total FA), conjugated linoleic acid cis-9,trans-11 (CLA9; 7.4 v 5.6 g/kg of FA), and α-linolenic acid (α-LN; 6.9 vs. 4.4 g/kg of FA). As expected, purchase season had a strong effect on fat composition: compared with milk purchased in winter, summer milk had a lower concentration of saturated fatty acids (682 vs. 725 g/kg of FA) and higher concentrations of PUFA (37.6 vs. 32.8 g/kg of FA), CLA9 (8.1 vs. 4.7 g/kg of FA), and α-LN (6.5 vs. 4.6 g/kg of FA). Differences identified between sampling years were more surprising: compared with that in yr 2, milk purchased in year 1 had higher concentrations of PUFA (37.5 vs. 32.9 g/kg of FA), α-LN (6.0 vs. 5.1 g/kg of FA), and linoleic acid (19.9 vs. 17.5 g/kg of FA) and lower concentrations of C16:0 and C14:0 (332 vs. 357 and 110 vs. 118 g/kg of FA, respectively). Strong interactions were identified between management and season as well as between season and year of the study. As in the earlier farm studies, differences in fat composition between systems were greater for summer compared with winter milk. Large between-year differences may be due to changes in weather influencing milk composition through forage availability, quality, and intake. If climate change predictions materialize, both forage and dairy management may have to adapt to maintain current milk quality. Considerable variation existed in milk fat composition between brands.

Avaliação das alterações ambientais causadas por perfuração exploratória em talude continental a partir de dados geoquímicos - Bacia de Campos, Brasil.

As atividades de exploração e produção de petróleo e gás no Brasil têm se tornado mais intensas ao longo desta última década, apresentando uma tendência de avanço em direção a ambientes de maior profundidade, onde se localizam grande parte das reservas de óleo já comprovadas. Os processos de exploração e produção de petróleo e gás apresentam muitas etapas com considerável potencial gerador de impactos ao meio ambiente, entre elas, a perfuração de poços exploratórios marítimos, objeto do presente estudo. Este estudo originou-se do Projeto MAPEM – Monitoramento Ambiental em Atividades de Perfuração Exploratória Marítima (Águas Profundas), do qual foram utilizados os dados analisados nesta dissertação. O monitoramento foi realizado visando avaliar os efeitos da perfuração do poço Eagle, localizado em talude continental, região norte da Bacia de Campos, Brasil, próximo ao limite entre os estados do Rio de Janeiro e Espírito Santo, a 902 metros de profundidade. Foram coletadas amostras de sedimentos superficiais na região de entorno da atividade, em 48 estações de monitoramento e 6 estações de controle, durante os cruzeiros oceanográficos realizados um mês antes, um mês após e um ano após a perfuração. As análises dos sedimentos geraram informações sobre sua composição granulométrica, mineralógica (argilominerais e carbonato de cálcio) e química (hidrocarbonetos e metais), e foram comparadas em sua variação espacial (área de monitoramento/estações de controle) e temporal (3 cruzeiros oceanográficos). A variação temporal foi abordada de três maneiras distintas, onde o Cruzeiro I representou o background da área, a variação do Cruzeiro I para o II representou o impacto sobre a área de monitoramento e na variação do Cruzeiro II para o III, buscou-se evidências de recuperação da área monitorada com tendência de retorno às suas características iniciais O background da área definiu os níveis médios de todas variáveis analisadas, identificando, além de teores naturais para alguns dos componentes dos sedimentos, sinais de contaminação de origem antrópica, principalmente de As, Pb e hidrocarbonetos petrogênicos (n-alcanos) e pirogênicos (aromáticos). Na perfuração do poço Eagle foi utilizado fluido de base aquosa (FBA) e fluido de base sintética (FBS), dos quais se buscou identificar as áreas de influência e as alterações causadas nos sedimentos. Identificou-se a ocorrência de um fluxo gravitacional de massa, no período entre o Cruzeiro I e a perfuração, restrito ao cânion submarino que cruza a área de monitoramento, do qual também foi avaliada a influência sobre a composição dos sedimentos. A influência do FBA (indicada pelos teores de bário) estendeu-se por uma grande área, apresentando maiores concentrações nas estações próximas do poço. A área de influência do FBS (indicada pelos n-alcanos entre C14 e C22) apresentou distribuição mais restrita, em duas manchas, uma a norte e outra a oeste do poço. Além dos n-alcanos, foi identificado aumento dos teores de bário, UCM (mistura complexa não resolvida), fluoreno e acenaftaleno. O fluxo gravitacional de massa causou elevações na proporção de areia das estações do cânion submarino e redução do carbono orgânico. Efetivamente pode se concluir que a atividade de perfuração exerceu influência significativa nas propriedades químicas dos sedimentos, contudo, de improvável efeito tóxico sobre a biota. Pode-se concluir também que ocorreu recuperação da área, após o período de um ano, por redução das concentrações médias de algumas variáveis e sinais de reposição de n-alcanos naturais, porém não foi possível a identificação de degradação do material sintético utilizado no FBS.

Caracterização molecular e morfofisiológica de diferentes isolados do fungo entomopatogênico Metarhizium anisopliae e análise morfológica do processo de infecção em Boophilus microplus

A caracterização molecular e morfofisiológica de 28 isolados de Metarhizium ssp. foi avaliada por análises de seqüências do espaçador transcrito interno (ITS1 e ITS2), presença de elementos dsRNA e taxa de crescimento e esporulação em diferentes temperaturas e pH. A patogenicidade de 19 isolados do fungo entomopatogênico Metarhizium ssp. foi avaliada para fêmeas ingurgitadas do carrapato Boophilus microplus. As alterações cronológicas durante o processo de infecção Metarhizium anisopliae isolado E6 em B. microplus foi avaliada em detalhe por microscopia óptica e eletrônica de varredura e transmissão. O seqüenciamento do espaçador transcrito interno confirmou a identidade taxonômica dos isolados avaliados como M. anisopliae var. anisopliae ou M. anisopliae var. majus e mostrou que dois isolados (CG291 e CG423), previamente classificados como Metarhizium flavoviride, são pertencentes a M. anisopliae var. anisopliae. Os testes sobre a influência da temperatura e pH no desenvolvimento e esporulação dos isolados evidenciaram que a melhor temperatura de crescimento para a maioria desses foi 28oC e que o crescimento foi ótimo na faixa de pH entre 4 a 9. Os bioensaios mostraram que três isolados (C14, CG47 e CG97) foram altamente patogênicos para fêmeas ingurgitadas de B. microplus sendo tão virulentos quanto o isolado E6, previamente analisado, causando cerca de 90-100% de mortalidade ao 4o dia de infecção. Outros isolados foram menos virulentos ou não mostraram virulência para o carrapato. A presença de dsRNA foi avaliada em 28 isolados e detectada em 21 isolados. Vários padrões de dsRNA foram observados baseados no tamanho molecular analisado por eletroforese em gel de agarose. Nenhuma correlação foi observada entre a presença de dsRNA e a virulência do fungo. As observações microscópicas evidenciaram que o fungo M. anisopliae isolado E6 invade seu hospedeiro por penetração direta da cutícula, sendo que este processo envolveu as etapas de adesão e germinação dos conídios, formação do apressório e penetração do fungo na cutícula do hospedeiro. A adesão e germinação dos conídios na superfície da cutícula se iniciou após 24 h de infecção. Neste mesmo tempo, ocorreu diferenciação do apressório, estrutura que exerce a pressão mecânica durante o processo de penetração, sendo que este processo é facilitado pela ação de enzimas hidrolíticas secretadas pelo fungo. A penetração de algumas hifas ocorreu até 24 h após a infecção do fungo, embora, neste mesmo tempo de infecção, a maioria dos conídios ainda estivesse em processo de germinação. A penetração em massa do fungo foi observada 72 h após a infecção e, após 96 h, as hifas emergiram na superfície da cutícula para originarem novos conídios e assegurarem a perpetuação do fungo. A intensa invasão das hifas nos tecidos adjacentes confirmou a eficácia do isolado E6 na infecção do carrapato B. microplus.