Resolving inconsistencies in utility measurement under risk: Tests of generalizations of expected utility

This paper explores biases in the elicitation of utilities under risk and the contribution that generalizations of expected utility can make to the resolution of these biases. We used five methods to measure utilities under risk and found clear violations of expected utility. Of the theories studies, prospect theory was most consistent with our data. The main improvement of prospect theory over expected utility was in comparisons between a riskless and a risky prospect(riskless-risk methods). We observed no improvement over expected utility in comparisons between two risky prospects (risk-risk methods). An explanation why we found no improvement of prospect theory over expected utility in risk-risk methods may be that there was less overweighting of small probabilities in our study than has commonly been observed.

Finite sample nonparametric tests for linear regressions

We introduce several exact nonparametric tests for finite sample multivariatelinear regressions, and compare their powers. This fills an important gap inthe literature where the only known nonparametric tests are either asymptotic,or assume one covariate only.

The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

It is proved the algebraic equality between Jennrich's (1970) asymptotic$X^2$ test for equality of correlation matrices, and a Wald test statisticderived from Neudecker and Wesselman's (1990) expression of theasymptoticvariance matrix of the sample correlation matrix.

Compact matrix expressions for generalized Wald tests of equality of moment vectors

Asymptotic chi-squared test statistics for testing the equality ofmoment vectors are developed. The test statistics proposed aregeneralizedWald test statistics that specialize for different settings by inserting andappropriate asymptotic variance matrix of sample moments. Scaled teststatisticsare also considered for dealing with situations of non-iid sampling. Thespecializationwill be carried out for testing the equality of multinomial populations, andtheequality of variance and correlation matrices for both normal andnon-normaldata. When testing the equality of correlation matrices, a scaled versionofthe normal theory chi-squared statistic is proven to be an asymptoticallyexactchi-squared statistic in the case of elliptical data.

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach

We propose new spanning tests that assess if the initial and additional assets share theeconomically meaningful cost and mean representing portfolios. We prove their asymptoticequivalence to existing tests under local alternatives. We also show that unlike two-step oriterated procedures, single-step methods such as continuously updated GMM yield numericallyidentical overidentifyng restrictions tests, so there is arguably a single spanning test.To prove these results, we extend optimal GMM inference to deal with singularities in thelong run second moment matrix of the influence functions. Finally, we test for spanningusing size and book-to-market sorted US stock portfolios.

Scaled and adjusted restricted tests in multi-sample analysis of moment structures

We extend to score, Wald and difference test statistics the scaled and adjusted corrections to goodness-of-fit test statistics developed in Satorra and Bentler (1988a,b). The theory is framed in the general context of multisample analysis of moment structures, under general conditions on the distribution of observable variables. Computational issues, as well as the relation of the scaled and corrected statistics to the asymptotic robust ones, is discussed. A Monte Carlo study illustrates thecomparative performance in finite samples of corrected score test statistics.

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

This paper analyzes whether standard covariance matrix tests work whendimensionality is large, and in particular larger than sample size. Inthe latter case, the singularity of the sample covariance matrix makeslikelihood ratio tests degenerate, but other tests based on quadraticforms of sample covariance matrix eigenvalues remain well-defined. Westudy the consistency property and limiting distribution of these testsas dimensionality and sample size go to infinity together, with theirratio converging to a finite non-zero limit. We find that the existingtest for sphericity is robust against high dimensionality, but not thetest for equality of the covariance matrix to a given matrix. For thelatter test, we develop a new correction to the existing test statisticthat makes it robust against high dimensionality.

Constant coefficient tests for random coefficient regression

Random coefficient regression models have been applied in differentfields and they constitute a unifying setup for many statisticalproblems. The nonparametric study of this model started with Beranand Hall (1992) and it has become a fruitful framework. In thispaper we propose and study statistics for testing a basic hypothesisconcerning this model: the constancy of coefficients. The asymptoticbehavior of the statistics is investigated and bootstrapapproximations are used in order to determine the critical values ofthe test statistics. A simulation study illustrates the performanceof the proposals.

Social preferences: Some simple tests and a new model

Departures from pure self interest in economic experiments have recently inspired models of "social preferences". We conduct experiments on simple two-person and three-person games with binary choices that test these theories more directly than the array of games conventionally considered. Our experiments show strong support for the prevalence of "quasi-maximin" preferences: People sacrifice to increase the payoffs for all recipients, but especially for the lowest-payoff recipients. People are also motivated by reciprocity: While people are reluctant to sacrifice to reciprocate good or bad behavior beyond what they would sacrifice for neutral parties, they withdraw willingness to sacrifice to achieve a fair outcome when others are themselves unwilling to sacrifice. Some participants are averse to getting different payoffs than others, but based on our experiments and reinterpretation of previous experiments we argue that behavior that has been presented as "difference aversion" in recent papers is actually a combination of reciprocal and quasi-maximin motivations. We formulate a model in which each player is willing to sacrifice to allocate the quasi-maximin allocation only to those players also believed to be pursuing the quasi-maximin allocation, and may sacrifice to punish unfair players.

Exact tests for correlation and for the slope in simple linear regressions without making assumptions

We present an exact test for whether two random variables that have known bounds on their support are negatively correlated. The alternative hypothesis is that they are not negatively correlated. No assumptions are made on the underlying distributions. We show by example that the Spearman rank correlation test as the competing exact test of correlation in nonparametric settings rests on an additional assumption on the data generating process without which it is not valid as a test for correlation.We then show how to test for the significance of the slope in a linear regression analysis that invovles a single independent variable and where outcomes of the dependent variable belong to a known bounded set.

Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis

I discuss the identifiability of a structural New Keynesian Phillips curve when it is embedded in a small scale dynamic stochastic general equilibrium model. Identification problems emerge because not all the structural parameters are recoverable from the semi-structural ones and because the objective functions I consider are poorly behaved. The solution and the moment mappings are responsible for the problems.

Analyse de l'activité de match chez l'arbitre de football par accéléromètre et critique des tests de sélection FIFA

Introduction : Depuis 2005, le « Test FIFA » est utilisé chez les arbitres de football, comme critère de sélection pour monter dans les échelons de l'arbitrage et chaque arbitre base son entraînement dans cet objectif. Ce test a été développé grâce aux nombreux travaux scientifiques, ayant utilisé l'analyse vidéo, afin de quantifier les activités de match des arbitres et analyser leur performance en cours de match. Objectifs : Le but de ce travail a été d'évaluer la performance de l'arbitre, lors d'un match de football, au moyen d'un accéléromètre en raison de sa facilité d'utilisation et en particulier d'évaluer si au cours du match, il existe une éventuelle diminution de la capacité de performance engendrée par la fatigue. Enfin, à la lumière des résultats, nous avons pu discuter du bien fondé du «test par intervalle proposé par la FIFA» comme moyen d'estimation de la capacité physique d'un arbitre. Méthode : Il s'agit d'une étude prospective basée sur une analyse descriptive. Les données ont été récoltées dans des stades de football suisses ≥1ère Ligue, du 01.12.2011 au 01.12.2012. Le groupe étudié était composé de 5 arbitres de football de sexe masculin, dont deux officiant en 1ère Ligue et faisant partie des talents de l'Association Cantonale Vaudoise de Football (ACVF) et trois en Super League et Challenge League. Les 5 arbitres ont été équipés d'un iPhone 3GS®, muni d'une application, capable d'enregistrer les déplacements sur le terrain (arrêt, marche et course). Le traitement des données a été effectué par un programme Matlab®, élaboré par le Laboratoire des Mesures d'Analyse du Mouvement (LMAM) de l'EPFL, tout comme l'application en question. Pour ce travail ont été considérées les phases et les fréquences d'arrêt, de marche et de course tout au long de l'évolution de la partie. Résultats : Durant les 90 minutes du match, la répartition se fait de la manière suivante : 13,74% du temps total où l'accéléromètre ne mesure aucune activité, 33,70% concernent une activité de course alors que le reste, 52,48% est de la marche. Avec l'avancement dans le match, il est constaté une augmentation des phases d'arrêt et une diminution du temps de course. Une intensité d'effort plus importante est observée lors des 15 premières minutes du match (environ  41,7% de course), alors qu'en fin de la partie, il y a une alternance de marche et de course avec des efforts de plus en plus brefs. La détermination de la médiane de durée des différents efforts a montré qu'un épisode de marche ou de course étaient de 5-6 secondes. De plus, les épisodes de marche ou de course étaient rarement >20 secondes. Discussion : Les résultats montrent que l'accéléromètre est un système de mesure facile d'utilisation, permettant un gain de temps dans l'analyse des données pour évaluer la performance sportive. Les principaux résultats de cette étude, ont mis en évidence une diminution de l'intensité des activités physiques de l'arbitre avec l'avancement du match, résultant soit de sa propre fatigue, soit de celle des joueurs dictant le rythme du jeu. Cette diminution se traduit par des déplacements de plus en plus brefs au fil du temps. La mesure de médiane du temps de course et de marche (5-6 sec) correspond à une activité aérobie pour la marche et anaérobie alactique pour la course. Par conséquent, le « test par intervalle » de la FIFA actuel ne nous semble pas adéquat en raison de sa filière énergétique de type anaérobique lactique. Conclusion : Cette étude pilote apporte un nouveau type d'instrumentation efficace et simple, jamais employé auparavant dans l'analyse des activités de match des arbitres de football. Il permet d'explorer des mouvements avec précision au fil du match et apporte un nouvel aspect sur la quantification de performance des arbitres non exploré jusqu'ici. Après analyse de l'ensemble des paramètres, il semble que le test FIFA ne soit pas adapté à la performance exigée par l'arbitrage.

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

Diagnostic des maladies infectieuses: place des "point of care tests" (POCT) [Use of POCT (point of care tests) in the diagnosis of infectious diseases]

Les POCT (point of care tests) ont un grand potentiel d'utilisation en médecine infectieuse ambulatoire grâce à leur rapidité d'exécution, leur impact sur l'administration d'antibiotiques et sur le diagnostic de certaines maladies transmissibles. Certains tests sont utilisés depuis plusieurs années (détection de Streptococcus pyogenes lors d'angine, anticorps anti-VIH, antigène urinaire de S. pneumoniae, antigène de Plasmodium falciparum). De nouvelles indications concernent les infections respiratoires, les diarrhées infantiles (rotavirus, E. coli entérohémorragique) et les infections sexuellement transmissibles. Des POCT, basés sur la détection d'acides nucléiques, viennent d'être introduits (streptocoque du groupe B chez la femme enceinte avant l'accouchement et la détection du portage de staphylocoque doré résistant à la méticilline). POCT have a great potential in ambulatory infectious diseases diagnosis, due to their impact on antibiotic administration and on communicable diseases prevention. Some are in use for long (S. pyogenes antigen, HIV antibodies) or short time (S. pneumoniae antigen, P. falciparum). The additional major indications will be community-acquired lower respiratory tract infections, infectious diarrhoea in children (rotavirus, enterotoxigenic E. coli), and hopefully sexually transmitted infections. Easy to use, these tests based on antigen-antibody reaction allow a rapid diagnosis in less than one hour; the new generation of POCT relying on nucleic acid detection are just introduced in practice (detection of GBS in pregnant women, carriage of MRSA), and will be extended to many pathogens