Inference for nonparametric high-frequency estimators with an application to time variation in betas

We consider the problem of conducting inference on nonparametric high-frequency estimators without knowing their asymptotic variances. We prove that a multivariate subsampling method achieves this goal under general conditions that were not previously available in the literature. We suggest a procedure for a data-driven choice of the bandwidth parameters. Our simulation study indicates that the subsampling method is much more robust than the plug-in method based on the asymptotic expression for the variance. Importantly, the subsampling method reliably estimates the variability of the Two Scale estimator even when its parameters are chosen to minimize the finite sample Mean Squared Error; in contrast, the plugin estimator substantially underestimates the sampling uncertainty. By construction, the subsampling method delivers estimates of the variance-covariance matrices that are always positive semi-definite. We use the subsampling method to study the dynamics of financial betas of six stocks on the NYSE. We document significant variation in betas within year 2006, and find that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. To capture this variation we estimate a simple dynamic model for betas. The variance estimation is also important for the correction of the errors-in-variables bias in such models. We find that the bias corrections are substantial, and that betas are more persistent than the naive estimators would lead one to believe.

Robust inference in an heteroscedastic measurement error model

In this paper we deal with robust inference in heteroscedastic measurement error models Rather than the normal distribution we postulate a Student t distribution for the observed variables Maximum likelihood estimates are computed numerically Consistent estimation of the asymptotic covariance matrices of the maximum likelihood and generalized least squares estimators is also discussed Three test statistics are proposed for testing hypotheses of interest with the asymptotic chi-square distribution which guarantees correct asymptotic significance levels Results of simulations and an application to a real data set are also reported (C) 2009 The Korean Statistical Society Published by Elsevier B V All rights reserved

A modified signed likelihood ratio test in elliptical structural models

In this paper we deal with the issue of performing accurate testing inference on a scalar parameter of interest in structural errors-in-variables models. The error terms are allowed to follow a multivariate distribution in the class of the elliptical distributions, which has the multivariate normal distribution as special case. We derive a modified signed likelihood ratio statistic that follows a standard normal distribution with a high degree of accuracy. Our Monte Carlo results show that the modified test is much less size distorted than its unmodified counterpart. An application is presented.

Improved maximum-likelihood estimation in a regression model with general parametrization

We analyse the finite-sample behaviour of two second-order bias-corrected alternatives to the maximum-likelihood estimator of the parameters in a multivariate normal regression model with general parametrization proposed by Patriota and Lemonte [A. G. Patriota and A. J. Lemonte, Bias correction in a multivariate regression model with genereal parameterization, Stat. Prob. Lett. 79 (2009), pp. 1655-1662]. The two finite-sample corrections we consider are the conventional second-order bias-corrected estimator and the bootstrap bias correction. We present the numerical results comparing the performance of these estimators. Our results reveal that analytical bias correction outperforms numerical bias corrections obtained from bootstrapping schemes.

Weak expansions: a distinctive feature of the business cycle in Latin America and the Caribbean

Using two standard cycle methodologies (Classical and Deviation Cycle) and a comprehensive sample of 83 countries worldwide, including all developing regions, we show that the Latin American and Caribbean cycle exhibits two distinctive features. First, and most importantly, its expansion performance is shorter and for the most par less imtense than that of the rest of the regions considered, and in particular than that of East Asia and the Pacific, East Asia and the Pacific's expansions last five years longer than those of LAC, and its output gain is 50% greater than that of LAC. Second, LAC tends to exhibit contractions that are not significantly different in terms of duration and amplitude than t those of other regions. Both these features imply that the complete Latin American and Caribbean cycle has, overall, the shortest duration and smallest amplitude in relation to other regions. The specificities of the Latin American and Caribbean cycle are not confined to the short run. These are also reflected in variables such as productivity and investment, which are linked to long-run growth. East Asia and the Pacific's cumulative gain in labor productivity during the expansionary phase is twice that of LAC. Moreover, the evidence also shows that the effects of the contraction in public investment surpass those of the expansion leading to a declining trend over the entire cycle. In this sense we suggest that policy analysis needs to increase its focus on the expansionary phase of the cycle. Improving our knowledge of the differences in the expansionary dynamics of countries and regions, can further our understanding of the differences in their rates of growth and levels of development. We also suggest that while, the management of the cycle affects the short-run fluctuations of economic activity and hence volatility, it is not trend neutral. Hence, the effects of aggregate demand management policies may be more persistent over time and less transitory than currently thought.

Influence of chronic exercise on serum cortisol levels in older adults

The circulating level of cortisol is regulated by the hypothalamic-pituitary-adrenal axis through a neuroendocrine feedback circuit. This circuit can be activated by physiological stimuli such as stress, diseases, and exercise. High levels of serum cortisol hormone normally occur as a byproduct of aging, and can cause several types of damage to the organism and exacerbate immunosenescence. There is a great deal of variability in the cortisol response with regard to type, intensity, volume, and frequency of exercise. However, these relationships have been extensively studied with respect to the acute effects of exercise. Despite the well-known effects of acute exercise on cortisol response, it is unclear how it is affected by chronic exercise and the aging process. Therefore, the aim of this study was to conduct a review of studies that attempt to analyze the influence of chronic exercise on serum cortisol hormone in older people. In order to accomplish this goal, a review from 1970 to June 2012 period was performed using the following databases: Biological Abstracts, PsycINFO, PubMed/Medline, and the Web of Science. Eight articles met the criteria used in this study. Based on the included articles, chronic exercise may influence the serum levels of cortisol levels in older people. Despite this evidence, these results may not be generalized to the entire population of older people, given the few number of studies and especially because the studies showed diversity in variables and methodologies. © 2013 European Group for Research into Elderly and Physical Activity (EGREPA).

Extrinsic factors affecting water absorption in chilling of broiler chicken carcasses

Brazil occupies an outstanding position as a producer and exporter of chicken meat, and the maintenance and expansion of this position require a constant evolution, especially in variables which determine quality. An important quality parameter of poultry meat is the amount of water absorbed by the carcass during processing. In Brazil, carcasses chilling is done by immersion in chilled water. In this process, the carcass is rehydrated and the water lost during transport and initial operations is replaced. At this stage, some care is needed to prevent the absorption of water upper than the level allowed by Brazilian law. This project aimed to evaluate extrinsic factors that can influence the absorption of water by the chicken meat. For this, 144 Cobb chickens divided into 24 groups of six birds were used. At 42 days of age, one chicken of each group, with weight ranging up to 10% more or less from the average of the group, was slaughtered in an experimental pilot scale abattoir where slaughter procedures were conducted under strictly controlled conditions. The chilling procedure was performed following a completely randomized design with factorial arrangement 3x2, where the factors were: three temperatures in the first section of the chilling system (4, 10 and 16ºC) and two degrees of water hardness (hard and soft water), with six treatments and four replications. Brazilian law provides that the water temperature in the first section of the chiller must not be higher than 16ºC, and the length of the carcasses in this section shall not exceed 30 minutes. All carcasses remained in the first section of the chiller for 30 minutes and then were transferred to another tank with water at 4ºC, remaining there until reaching 7ºC. The carcasses were weighed before and after chilling, to evaluate the percentage of water absorbed. The water absorption was influenced by the initial temperature of the water in the chiller and by the water hardness. When initially immersed in water at 4ºC, carcasses water absorption averaged 2.70%, a significantly lower absorption than the values found for the carcasses that were initially immersed in water at 16ºC, 3.83% (p<0.05). The carcasses immersed in water at 10ºC had mean water absorption of 3.66%, not differing from the means observed in the other two treatments (p>0.05). In hard water, the average water absorption was 2.46% and, in soft water, 4.33% (p<0.05). In all treatments, the water absorption did not exceed the limit established by Brazilian legislation, which is a maximum of 8%. This information is important to control the absorption of water by carcasses in chicken meat processing, preventing consumers from being harmed.

Illusory predictors: Generalizability of findings in cocaine treatment retention research.

Treatment retention is of paramount importance in cocaine treatment research as treatment completion rates are often 50% or less. Failure to retain cocaine patients in treatment has both significant research and clinical implications. In this paper we qualitatively and quantitatively demonstrate the inconsistency found across analyses of retention predictors in order to highlight the problem. First, a qualitative review of the published literature was undertaken to identify the frequency of predictors studied and their relations to treatment retention. Second, an empirical demonstration of predictor stability was conducted by testing a common set of variables across three similar 12-week cocaine clinical trials conducted by the same investigators in the same research clinic within a five-year period. Results of the literature review indicated inconsistently selected variables of convenience, widely varying statistical procedures, and discrepant findings of significance. Further, quantitative analyses resulted in discrepancies in variables identified as significant predictors of retention among the three studies. Potential sources of heterogeneity affecting the consistency of findings across studies and recommendations to improve the validity and generalizability of predictor findings in future studies are proposed.

A regional climate palaeosimulation for Europe in the period 1500–1990 – Part 2: Shortcomings and strengths of models and reconstructions

This study compares gridded European seasonal series of surface air temperature (SAT) and precipitation (PRE) reconstructions with a regional climate simulation over the period 1500–1990. The area is analysed separately for nine subareas that represent the majority of the climate diversity in the European sector. In their spatial structure, an overall good agreement is found between the reconstructed and simulated climate features across Europe, supporting consistency in both products. Systematic biases between both data sets can be explained by a priori known deficiencies in the simulation. Simulations and reconstructions, however, largely differ in the temporal evolution of past climate for European subregions. In particular, the simulated anomalies during the Maunder and Dalton minima show stronger response to changes in the external forcings than recorded in the reconstructions. Although this disagreement is to some extent expected given the prominent role of internal variability in the evolution of regional temperature and precipitation, a certain degree of agreement is a priori expected in variables directly affected by external forcings. In this sense, the inability of the model to reproduce a warm period similar to that recorded for the winters during the first decades of the 18th century in the reconstructions is indicative of fundamental limitations in the simulation that preclude reproducing exceptionally anomalous conditions. Despite these limitations, the simulated climate is a physically consistent data set, which can be used as a benchmark to analyse the consistency and limitations of gridded reconstructions of different variables. A comparison of the leading modes of SAT and PRE variability indicates that reconstructions are too simplistic, especially for precipitation, which is associated with the linear statistical techniques used to generate the reconstructions. The analysis of the co-variability between sea level pressure (SLP) and SAT and PRE in the simulation yields a result which resembles the canonical co-variability recorded in the observations for the 20th century. However, the same analysis for reconstructions exhibits anomalously low correlations, which points towards a lack of dynamical consistency between independent reconstructions.

The Causal Links between FDI and Economic Growth in Developing Countries: A Case Study of the Republic of Rwanda

The study examines the short-run and long-run causality running from real economic growth to real foreign direct investment inflows (RFDI). Other variables such as education (involving combination of primary, secondary and tertiary enrolment as a proxy to education), real development finance, unskilled labour, to real RFDI inflows are included in the study. The time series data covering the period of 1983 -2013 are examined. First, I applied Augmented Dicky-Fuller (ADF) technique to test for unit root in variables. Findings shows all variables integrated of order one [I(1)]. Thereafter, Johansen Co-integration Test (JCT) was conducted to establish the relationship among variables. Both trace and maximum Eigen value at 5% level of significance indicate 3 co-integrated equations. Vector error correction method (VECM) was applied to capture short and long-run causality running from education, economic growth, real development finance, and unskilled labour to real foreign direct investment inflows in the Republic of Rwanda. Findings shows no short-run causality running from education, real development finance, real GDP and unskilled labour to real FDI inflows, however there were existence of long-run causality. This can be interpreted that, in the short-run; education, development finance, finance and economic growth does not influence inflows of foreign direct investment in Rwanda; but it does in long-run. From the policy perspective, the Republic of Rwanda should focus more on long term goal of investing in education to improve human capital, undertake policy reforms that promotes economic growth, in addition to promoting good governance to attract development finance – especially from Nordics countries (particularly Norway and Denmark).

Organic Matter Removal from Piggery Wastewater in Waste Stabilisation Pond in Nigeria

Four (4) wastewater quality variables: chemical oxygen demand (COD), total solid (TS), total dissolved solid (TDS), and total suspended solid (TSS) were determined. Analysed samples comprises of raw influent and effluents entering and leaving the stabilisation ponds. Significant reduction in variables were obtained, maximum and minimum values obtained for COD were 917mg/l (anaerobic pond), and 13mg/l (maturation pond). For TS, TDS and TSS, maximum and minimum values obtained were 14,420mg/l, 9,180mg/l, 5,240mg/l and 3,398mg/l, 3,120mg/l, 278mg/l respectively. Removal efficiencies recorded for parameters in final effluent (maturation pond) were 98.55% (COD), 76.44% (TS), 66.01% (TDS), and 94.69% (TSS) respectively.

[factors That Influence Bone Mass Of Healthy Children And Adolescents Measured By Quantitative Ultrasound At The Hand Phalanges: A Systematic Review].

To analyze the main factors that influence bone mass in children and teenagers assessed by quantitative ultrasound (QUS) of the phalanges. A systematic literature review was performed according to the PRISMA method with searches in databases Pubmed/Medline, SciELO and Bireme for the period 2001-2012, in English and Portuguese languages, using the keywords: children, teenagers, adolescent, ultrasound finger phalanges, quantitative ultrasound of phalanges, phalangeal quantitative ultrasound. 21 articles were included. Girls had, in QUS, Amplitude Dependent Speed of Sound (AD-SoS) values higher than boys during pubertal development. The values of the parameters of QUS of the phalanges and dual-energy X-ray Absorptiometry (DXA) increased with the increase of the maturational stage. Anthropometric variables such as age, weight, height, body mass index (BMI), lean mass showed positive correlations with the values of QUS of the phalanges. Physical activity has also been shown to be positively associated with increased bone mass. Factors such as ethnicity, genetics, caloric intake and socioeconomic profile have not yet shown a conclusive relationship and need a larger number of studies. QUS of the phalanges is a method used to evaluate the progressive acquisition of bone mass during growth and maturation of individuals in school phase, by monitoring changes that occur with increasing age and pubertal stage. There were mainly positive influences in variables of sex, maturity, height, weight and BMI, with similar data when compared to the gold standard method, the DXA.

Indicadores de tendencia secular de variaveis associadas ao crescimento, a composição corporal e ao desempenho motor de crianças de 7 a 14 anos

Universidade Estadual de Campinas . Faculdade de Educação Física

Impacto de um programa de estimulação em jogo dramático no desenvolvimento da linguagem em crianças pré-escolares

Dissertação apresentada à Escola Superior de Educação de Lisboa para obtenção de grau de mestre em Educação Artística, na Especialização de Teatro na Educação

Analisi espacial del canvi climàtic al continent europeu. Incerteses i exposicions principals

El canvi climàtic del segle XXI és una realitat, hi ha moltes evidències científiques que indiquen que l’escalfament del sistema climàtic és inequívoc. Malgrat això, també hi ha moltes incerteses respecte els impactes que pot comportar aquest canvi climàtic global. L’objectiu d’aquest projecte és estudiar la possible evolució futura de tres variables climàtiques, que són el rang de la temperatura diürna a prop de la superfície (DTR), la temperatura mitjana a prop de la superfície (MT) i la precipitació mensual (PL_mes) i valorar l’exposició que poden experimentar diferents cobertes del sòl i diferents regions biogeogràfiques del continent europeu davant d’aquests possibles patrons de canvi. Per això s’han utilitzat Models Climàtics Globals que fan projeccions de variables climàtiques que permeten preveure el possible clima futur. Mitjançant l’aplicatiu informàtic Tetyn s’han extret els paràmetres climàtics dels conjunts de dades del Tyndall Centre for Climate Change Research, del futur (TYN SC) i del passat (CRU TS). Les variables obtingudes s’han processat amb eines de sistemes d’informació geogràfica (SIG) per obtenir els patrons de canvi de les variables a cada coberta del sòl. Els resultats obtinguts mostren que hi ha una gran variabilitat, que augmenta amb el temps, entre els diferents models climàtics i escenaris considerats, que posa de manifest la incertesa associada a la modelització climàtica, a la generació d’escenaris d’emissions i a la naturalesa dinàmica i no determinista del sistema climàtic. Però en general, mostren que les glaceres seran una de les cobertes més exposades al canvi climàtic, i la mediterrània, una de les regions més vulnerables