Size and power properties of some tests in the Birnbaum-Saunders regression model

The Birnbaum-Saunders distribution has been used quite effectively to model times to failure for materials subject to fatigue and for modeling lifetime data. In this paper we obtain asymptotic expansions, up to order n(-1/2) and under a sequence of Pitman alternatives, for the non-null distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the Birnbaum-Saunders regression model. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters and for testing the shape parameter. Monte Carlo simulation is presented in order to compare the finite-sample performance of these tests. We also present two empirical applications. (C) 2010 Elsevier B.V. All rights reserved.

Local power of some tests in exponential family nonlinear models

In this paper we obtain asymptotic expansions up to order n(-1/2) for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in exponential family nonlinear models (Cordeiro and Paula, 1989), under a sequence of Pitman alternatives. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters and for testing the dispersion parameter, thus generalising the results given in Cordeiro et al. (1994) and Ferrari et al. (1997). We also present Monte Carlo simulations in order to compare the finite-sample performance of these tests. (C) 2010 Elsevier B.V. All rights reserved.

Previsibilidade de retorno das ações no mercado brasileiro, através da aplicação de modelo de valor presente com retornos esperados constantes num contexto de expectativas racionais

Através de dados financeiros de ações negociadas na Bolsa de Valores de São Paulo, testa-se a validade do modelo de valor presente (MVP) com retornos esperados constantes ao longo do tempo (Campbell & Schiller, 1987). Esse modelo relaciona o preço de uma ação ao seu esperado fluxo de dividendos trazido a valor presente a uma taxa de desconto constante ao longo do tempo. Por trás desse modelo está a hipótese de expectativas racionais, bem como a hipótese de previsibilidade de preço futuro do ativo, através da inserção dos dividendos esperados no período seguinte. Nesse trabalho é realizada uma análise multivariada num arcabouço de séries temporais, utilizando a técnica de Auto-Regressões Vetoriais. Os resultados empíricos apresentados, embora inconclusivos, permitem apenas admitir que não é possível rejeitar completamente a hipótese de expectativas racionais para os ativos brasileiros.

Ensaios em macroeconometria e finanças

This thesis is composed of three essays referent to the subjects of macroeconometrics and Önance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, applied to relevant macroeconomic questions, such as the capital mobility hypothesis and the sustainability of public debt. A Önance topic regarding portfolio risk management is also investigated, through an econometric technique used to evaluate Value-at-Risk models. The Örst chapter investigates an intertemporal optimization model to analyze the current account. Based on Campbell & Shillerís (1987) approach, a Wald test is conducted to analyze a set of restrictions imposed to a VAR used to forecast the current account. The estimation is based on three di§erent procedures: OLS, SUR and the two-way error decomposition of Fuller & Battese (1974), due to the presence of global shocks. A note on Granger causality is also provided, which is shown to be a necessary condition to perform the Wald test with serious implications to the validation of the model. An empirical exercise for the G-7 countries is presented, and the results substantially change with the di§erent estimation techniques. A small Monte Carlo simulation is also presented to investigate the size and power of the Wald test based on the considered estimators. The second chapter presents a study about Öscal sustainability based on a quantile autoregression (QAR) model. A novel methodology to separate periods of nonstationarity from stationary ones is proposed, which allows one to identify trajectories of public debt that are not compatible with Öscal sustainability. Moreover, such trajectories are used to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run Öscal sustainability. An out-of-sample forecast of such a ceiling is also constructed, and can be used by policy makers interested in keeping the public debt on a sustainable path. An empirical exercise by using Brazilian data is conducted to show the applicability of the methodology. In the third chapter, an alternative backtest to evaluate the performance of Value-at-Risk (VaR) models is proposed. The econometric methodology allows one to directly test the overall performance of a VaR model, as well as identify periods of an increased risk exposure, which seems to be a novelty in the literature. Quantile regressions provide an appropriate environment to investigate VaR models, since they can naturally be viewed as a conditional quantile function of a given return series. An empirical exercise is conducted for daily S&P500 series, and a Monte Carlo simulation is also presented, revealing that the proposed test might exhibit more power in comparison to other backtests.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

Especificação da paridade descoberta de juros no mercado brasileiro

Medimos a validade da paridade descoberta de juros – PDJ - para o mercado brasileiro no período de janeiro de 2010 a julho de 2014. Testamos a equação clássica da PDJ usando o Método dos Mínimos Quadrados Ordinários. Após a estimação dos parâmetros, aplicamos o Teste de Wald e verificamos que a paridade descoberta de juros não foi validada. Estendemos a equação tradicional da PDJ para uma especificação alternativa que captura medidas de risco Brasil e de alteração na liquidez internacional. Especificamente, acrescentamos três variáveis de controle: duas variáveis dummy que capturam condições de liquidez externa e o índice de commoditie CRB, que captura o risco Brasil. Com a especificação alternativa, a hipótese de que os retornos das taxas de juros em Real, dolarizadas, são iguais aos retornos da taxas de juros contratadas em dólares, ambas sujeitas ao risco Brasil, não foi rejeitada. Em complemento à análise das taxas representativas do mercado brasileiro, procurou-se avaliar a predominância da PDJ nas operações de swap cambial realizadas pela Vale S.A.. Para tanto, a série de taxa de juros em dólares do mercado brasileiro foi substituída pela taxa em dólar dos swaps contratados pela Vale. Os resultados encontrados demonstram que, quando comparado ao comportamento do mercado, as taxas em dólares da VALE são mais sensíveis às variações das taxas em Reais.

Desempenho e background familiar: um estudo no acesso a uma instituição de ensino técnico federal no Brasil

This paper comprises an investigation on the influence of the variable family backgrounds (father school level, mother school level and family income) over the pupil s performance in admissions examination (entrance test or PROITEC) at Instituto Federal de Educação, Ciência e Tecnologia do Rio Grande do Norte (IFRN). From that point of view, the main goal of this research is to analyze the influence of the family background as a determiner of the pupil´s performance in the access to Technical and Professional education at IFRN. Secondary data were used from two databases (entrance test and PROITEC) adding up to 19.226 observations to the vacancies offered in the year of 2013. Aiming at achieving the proposed goal, a conceptual model composed of three hypothesis was developed. The results were presented in four stages: stage I presentation of the descriptive statistical results of the two databases; stage II separation of the campi in clusters; stage III analysis of multiple regressions; stage IV analysis of the logistics regressions. Two statistical tests were used to validate the hypothesis: T-test and Wald test. Hypothesis 1 and 2 were confirmed and H3 was refused. The results presented favorable causal connections to the family income and the father school level variables (with bigger effect for fathers with a higher education degree). The mother school level variable did not provide statistical significance for this research. Based on this result, after this work, this institution is to develop a strategic plan to assist in the success rate of students preparing diagnoses in order to diminish the effects of the variables that impacted negatively

Characterization of the variable cow's age at last calving as a measurement of longevity by using the Kaplan-Meier estimator and the Cox model

In most studies on beef cattle longevity, only the cows reaching a given number of calvings by a specific age are considered in the analyses. With the aim of evaluating all cows with productive life in herds, taking into consideration the different forms of management on each farm, it was proposed to measure cow longevity from age at last calving (ALC), that is, the most recent calving registered in the files. The objective was to characterize this trait in order to study the longevity of Nellore cattle, using the Kaplan-Meier estimators and the Cox model. The covariables and class effects considered in the models were age at first calving (AFC), year and season of birth of the cow and farm. The variable studied (ALC) was classified as presenting complete information (uncensored = 1) or incomplete information (censored = 0), using the criterion of the difference between the date of each cow's last calving and the date of the latest calving at each farm. If this difference was >36 months, the cow was considered to have failed. If not, this cow was censored, thus indicating that future calving remained possible for this cow. The records of 11 791 animals from 22 farms within the Nellore Breed Genetic Improvement Program ('Nellore Brazil') were used. In the estimation process using the Kaplan-Meier model, the variable of AFC was classified into three age groups. In individual analyses, the log-rank test and the Wilcoxon test in the Kaplan-Meier model showed that all covariables and class effects had significant effects (P < 0.05) on ALC. In the analysis considering all covariables and class effects, using the Wald test in the Cox model, only the season of birth of the cow was not significant for ALC (P > 0.05). This analysis indicated that each month added to AFC diminished the risk of the cow's failure in the herd by 2%. Nonetheless, this does not imply that animals with younger AFC had less profitability. Cows with greater numbers of calvings were more precocious than those with fewer calvings. Copyright © The Animal Consortium 2012.

Avaliação comparativa da mecânica ventilatória de pacientes com lesão renal aguda submetidos a hemodiálise diária ou a diálise peritoneal contínua

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Local power properties of some asymptotic tests in symmetric linear regression models

In this paper we obtain asymptotic expansions, up to order n(-1/2) and under a sequence of Pitman alternatives, for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the class of symmetric linear regression models. This is a wide class of models which encompasses the t model and several other symmetric distributions with longer-than normal tails. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters. Furthermore, in order to compare the finite-sample performance of these tests in this class of models, Monte Carlo simulations are presented. An empirical application to a real data set is considered for illustrative purposes. (C) 2011 Elsevier B.V. All rights reserved.

L'efficienza degli indici azionari: un'analisi empirica

La studio dell’efficienza di un indice azionario ha accresciuto la propria importanza nell’industria dell’asset management a seguito della diffusione dell’utilizzo di benchmark e investimenti indicizzati. Il presente lavoro valuta il livello di efficienza dei principali indici del mercato azionario statunitense, dell’Area Euro e italiano. Lo studio empirico ricorre a quattro misure di efficienza: il GRS, un test small-sample multivariato fondato sul CAPM; il test large sample di Wald, implementato tramite una simulazione bootstrap; il test GMM, che è stato applicato in una cornice non-gaussiana attraverso una simulazione block bootstrap; la misura di efficienza relativa di Kandel e Stambaugh. I risultati empirici forniscono una prova evidente della superiore efficienza degli indici equiponderati. Questa conclusione è interpretata sulla base della letteratura scientifica esistente, analizzando le diverse cause di ordine teorico ed empirico che sono state proposte.

Alcohol and colorectal cancer: the role of alcohol dehydrogenase 1C polymorphism

BACKGROUND: Chronic alcohol consumption is a risk factor for colorectal cancer. Animal experiments as well as genetic linkage studies in Japanese individuals with inactive acetaldehyde dehydrogenase leading to elevated acetaldehyde concentrations following ethanol ingestion support the hypothesis that acetaldehyde may be responsible for this carcinogenic effect of alcohol. In Caucasians, a polymorphism of alcohol dehydrogenase 1C (ADH1C) exists resulting in different acetaldehyde concentrations following ethanol oxidation. METHODS: To evaluate whether the association between alcohol consumption and colorectal tumor development is modified by ADH1C polymorphism, we recruited 173 individuals with colorectal tumors diagnosed by colonoscopy and 788 control individuals without colorectal tumors. Genotyping was performed using genomic DNA extracted from whole blood followed by polymerase chain reaction. RESULTS: Genotype ADH1C*1/1 was more frequent in patients with alcohol-associated colorectal neoplasia compared to patients without cancers in the multivariate model controlling for age, gender, and alcohol intake (odds ratio = 1.674, 95% confidence interval = 1.110-2.524, 2-sided p from Wald test = 0.0139). In addition, the joint test of the genetic effect and interaction between ADH1C genotype and alcohol intake (2-sided p = 0.0007) indicated that the difference in ADH1C*1 polymorphisms between controls and colorectal neoplasia is strongly influenced by the alcohol consumption and that only individuals drinking more than 30 g ethanol per day with the genotype ADH1C*1/1 had an increased risk for colorectal tumors. CONCLUSIONS: These data identify ADH1C homozygosity as a genetic risk marker for colorectal tumors in individuals consuming more than 30 g alcohol per day and emphasize the role of acetaldehyde as a carcinogenic agent in alcohol-related colorectal carcinogenesis.

Only Neochordoplasty Achieves Physiological Trans-valvular Pressure Gradients After Repair Of Acute Posterior Leaflet Prolapse In Porcine Mitral Valves

Objective: Minimizing resection and preserving leaflet tissue has been previously shown to be beneficial for mitral valve function and leaflet kinematics after repair of acute posterior leaflet prolapse in porcine valves. We examined the effects of different additional methods of mitral valve repair (neochordoplasty, ring annuloplasty, edge-to-edge repair and triangular resection) on hemodynamics at different heart rates in an experimental model. Methods: Severe acute P2 prolapse was created in eight porcine mitral valves by resecting the posterior marginal chordae. Valve hemodynamics was quantified under pulsatile conditions in an in vitro heart simulator before and after surgical manipulation. Mitral regurgitation was corrected using four different methods of repair on the same valve: neochordoplasty with expanded polytetrafluoroethylene sutures alone and together with ring annuloplasty, edge-to-edge repair and triangular resection, both with non-restrictive annuloplasty. Residual mitral valve leak, trans-valvular pressure gradients, flow and cardiac output were measured at 60 and 80 beats/min. A validated statistical linear mixed model was used to analyze the effect of treatment. The p values were calculated using a two-sided Wald test. Results: Only neochordoplasty with expanded polytetrafluoroethylene sutures but without ring annuloplasty achieved similar hemodynamics compared to those of the native mitral valve (p range 0.071-0.901). Trans-valvular diastolic pressure gradients were within a physiologic range but significantly higher than those of the native valve following neochordoplasty with ring annuloplasty (p=0.000), triangular resection (p=0.000) and edge-to-edge repair (p=0.000). Neochordoplasty alone was significantly better in terms of hemodynamic than neochordoplasty with a ring annuloplasty (p=0.000). These values were stable regardless of heart rate or ring size. Conclusions: Neochordoplasty without ring annuloplasty is the only repair technique able to achieve almost native physiological hemodynamics after correction of leaflet prolapse in a porcine experimental model of acute chordal rupture.

Effect of Health Risk Assessment and Counselling on Health Behaviour and Survival in Older People: A Pragmatic Randomised Trial.

BACKGROUND Potentially avoidable risk factors continue to cause unnecessary disability and premature death in older people. Health risk assessment (HRA), a method successfully used in working-age populations, is a promising method for cost-effective health promotion and preventive care in older individuals, but the long-term effects of this approach are unknown. The objective of this study was to evaluate the effects of an innovative approach to HRA and counselling in older individuals for health behaviours, preventive care, and long-term survival. METHODS AND FINDINGS This study was a pragmatic, single-centre randomised controlled clinical trial in community-dwelling individuals aged 65 y or older registered with one of 19 primary care physician (PCP) practices in a mixed rural and urban area in Switzerland. From November 2000 to January 2002, 874 participants were randomly allocated to the intervention and 1,410 to usual care. The intervention consisted of HRA based on self-administered questionnaires and individualised computer-generated feedback reports, combined with nurse and PCP counselling over a 2-y period. Primary outcomes were health behaviours and preventive care use at 2 y and all-cause mortality at 8 y. At baseline, participants in the intervention group had a mean ± standard deviation of 6.9 ± 3.7 risk factors (including unfavourable health behaviours, health and functional impairments, and social risk factors) and 4.3 ± 1.8 deficits in recommended preventive care. At 2 y, favourable health behaviours and use of preventive care were more frequent in the intervention than in the control group (based on z-statistics from generalised estimating equation models). For example, 70% compared to 62% were physically active (odds ratio 1.43, 95% CI 1.16-1.77, p = 0.001), and 66% compared to 59% had influenza vaccinations in the past year (odds ratio 1.35, 95% CI 1.09-1.66, p = 0.005). At 8 y, based on an intention-to-treat analysis, the estimated proportion alive was 77.9% in the intervention and 72.8% in the control group, for an absolute mortality difference of 4.9% (95% CI 1.3%-8.5%, p = 0.009; based on z-test for risk difference). The hazard ratio of death comparing intervention with control was 0.79 (95% CI 0.66-0.94, p = 0.009; based on Wald test from Cox regression model), and the number needed to receive the intervention to prevent one death was 21 (95% CI 12-79). The main limitations of the study include the single-site study design, the use of a brief self-administered questionnaire for 2-y outcome data collection, the unavailability of other long-term outcome data (e.g., functional status, nursing home admissions), and the availability of long-term follow-up data on mortality for analysis only in 2014. CONCLUSIONS This is the first trial to our knowledge demonstrating that a collaborative care model of HRA in community-dwelling older people not only results in better health behaviours and increased use of recommended preventive care interventions, but also improves survival. The intervention tested in our study may serve as a model of how to implement a relatively low-cost but effective programme of disease prevention and health promotion in older individuals. TRIAL REGISTRATION International Standard Randomized Controlled Trial Number: ISRCTN 28458424.

Violence against young women attending primary care services in Spain: prevalence and health consequences

Background. There are a significant number of studies assessing the negative health consequences of violence against women. However, a limited number of studies analyse the health consequences of violence committed against young women by different types of aggressors. Objectives. The goal of this study is to assess the prevalence of interpersonal violence against young women in Spain and analyse its impact on the physical and mental health of the victims. Methods. A total of 1076 women aged 18–25 years attending Spanish primary care services were selected. We estimated the prevalence of interpersonal violence and compared the health data and demographic characteristics of abused and non-abused young women, multi-logistic regression models were fitted. The Wald test was used to assess whether there were differences in the negative health consequences of intimate partner (IPV) versus non-IPV. Results. As many as 27.6% young women reported a history of abuse, of whom 42.7% had been assaulted by their partner, 41.1% by someone other than their partner and 16.2% both by their partner and another person. The distribution of social and demographic characteristics was similar for IPV and non-IPV victims. Young abused women were three times more likely to suffer psychological distress and have somatic complaints, and they were four times more likely to use medication as compared to non-abused women. Conclusion. Our results suggest that all forms of violence compromise young women’s health seriously. Including patients’ history of abuse in their health record may help make more informed clinical decisions and provide a more integrated care.