Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions

In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for possibly non-linear hypotheses on the coefficients of MLR and SURE systems.

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

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.

Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This makes this framework applicable to linear models with expectation variables that are estimated non-parametrically. Two examples of such models are the risk-return trade-off in finance and the impact of inflation uncertainty on real economic activity. Results show that inference based on Lagrange Multiplier (LM) tests is more robust to weak instruments than Wald-based inference. Using LM confidence intervals leads us to conclude that no statistically significant risk premium is present in returns on the S&P 500 index, excess holding yields between 6-month and 3-month Treasury bills, or in yen-dollar spot returns.

The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

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.

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways: first, by allowing for MC tests based on exchangeable possibly discrete test statistics; second, by generalizing the method to statistics whose null distributions involve nuisance parameters (maximized MC tests, MMC). Simplified asymptotically justified versions of the MMC method are also proposed and it is shown that they provide a simple way of improving standard asymptotics and dealing with nonstandard asymptotics (e.g., unit root asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general validity properties of the latter).

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number of lags or the number of equations is not small, we propose a general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In particular, we show that maximized Monte Carlo tests [Dufour (2002)] can provide provably exact tests for such models, whether they are stationary or integrated. Applications to order selection and causality testing are considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money, interest rates and prices, over the period 1965-1996.

Heterotachy and long-branch attraction in phylogenetics

Affiliation: Département de Biochimie, Faculté de médecine, Université de Montréal

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Extension of Wu-Peters bounds to Catmull-Clark and 4-8 subdivision

La méthode de subdivision Catmull-Clark ainsi que la méthode de subdivision Loop sont des normes industrielle de facto. D'autre part, la méthode de subdivision 4-8 est bien adaptée à la subdivision adaptative, parce que cette méthode augmente le nombre de faces ou de sommets par seulement un facteur de 2 à chaque raffinement. Cela promet d'être plus pratique pour atteindre un niveau donné de précision. Dans ce mémoire, nous présenterons une méthode permettant de paramétrer des surfaces de subdivision de la méthode Catmull-Clark et de la méthode 4-8. Par conséquent, de nombreux algorithmes mis au point pour des surfaces paramétriques pourrant être appliqués aux surfaces de subdivision Catmull-Clark et aux surfaces de subdivision 4-8. En particulier, nous pouvons calculer des bornes garanties et réalistes sur les patches, un peu comme les bornes correspondantes données par Wu-Peters pour la méthode de subdivision Loop.

Clustering algorithms and shape factor methods to discriminate among small GTPase phenotypes using DIC image analysis.

Naïvement perçu, le processus d’évolution est une succession d’événements de duplication et de mutations graduelles dans le génome qui mènent à des changements dans les fonctions et les interactions du protéome. La famille des hydrolases de guanosine triphosphate (GTPases) similaire à Ras constitue un bon modèle de travail afin de comprendre ce phénomène fondamental, car cette famille de protéines contient un nombre limité d’éléments qui diffèrent en fonctionnalité et en interactions. Globalement, nous désirons comprendre comment les mutations singulières au niveau des GTPases affectent la morphologie des cellules ainsi que leur degré d’impact sur les populations asynchrones. Mon travail de maîtrise vise à classifier de manière significative différents phénotypes de la levure Saccaromyces cerevisiae via l’analyse de plusieurs critères morphologiques de souches exprimant des GTPases mutées et natives. Notre approche à base de microscopie et d’analyses bioinformatique des images DIC (microscopie d’interférence différentielle de contraste) permet de distinguer les phénotypes propres aux cellules natives et aux mutants. L’emploi de cette méthode a permis une détection automatisée et une caractérisation des phénotypes mutants associés à la sur-expression de GTPases constitutivement actives. Les mutants de GTPases constitutivement actifs Cdc42 Q61L, Rho5 Q91H, Ras1 Q68L et Rsr1 G12V ont été analysés avec succès. En effet, l’implémentation de différents algorithmes de partitionnement, permet d’analyser des données qui combinent les mesures morphologiques de population native et mutantes. Nos résultats démontrent que l’algorithme Fuzzy C-Means performe un partitionnement efficace des cellules natives ou mutantes, où les différents types de cellules sont classifiés en fonction de plusieurs facteurs de formes cellulaires obtenus à partir des images DIC. Cette analyse démontre que les mutations Cdc42 Q61L, Rho5 Q91H, Ras1 Q68L et Rsr1 G12V induisent respectivement des phénotypes amorphe, allongé, rond et large qui sont représentés par des vecteurs de facteurs de forme distincts. Ces distinctions sont observées avec différentes proportions (morphologie mutante / morphologie native) dans les populations de mutants. Le développement de nouvelles méthodes automatisées d’analyse morphologique des cellules natives et mutantes s’avère extrêmement utile pour l’étude de la famille des GTPases ainsi que des résidus spécifiques qui dictent leurs fonctions et réseau d’interaction. Nous pouvons maintenant envisager de produire des mutants de GTPases qui inversent leur fonction en ciblant des résidus divergents. La substitution fonctionnelle est ensuite détectée au niveau morphologique grâce à notre nouvelle stratégie quantitative. Ce type d’analyse peut également être transposé à d’autres familles de protéines et contribuer de manière significative au domaine de la biologie évolutive.

Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Development of molecular monitoring methods and assessment of the environmental fate of the biological control agent of fire blight Pseudomonas fluorescens EPS62e

Pseudomonas fluorescens EPS62e es va seleccionar com a agent de biocontrol del foc bacterià per la seva eficàcia en el control de Erwinia amylovora. En aquest treball es van desenvolupar mètodes de traçabilitat que van permetre la seva detecció específica i quantificació. Mitjançant les tècniques RAPD i U-PCR es van obtenir fragments d'amplificació diferencial per EPS62e que es van seqüenciar i caracteritzar com marcadors SCAR per dissenyar una PCR en temps real. La PCR a temps real es va utilitzar simultàniament amb mètodes microbiològics per estudiar l'adaptabilitat epifítica de EPS62e en pomera i perera. L'ús combinat de mètodes microbiològics i moleculars va permetre la identificació de tres estats fisiològics de EPS62e: la colonització activa, l'entrada en un estat de viable però no cultivable, i la mort cel·lular. Aquest treball mostra que EPS62e està ben adaptada a la colonització de flors a camp, encoratjant la seva utilització dins d'una estratègia de control biològic contra el foc bacterià.

e-Health and Health literacy: a revision of research methods

E-health provides powerful tools to improve health, but users’ health literacy – their ability to obtain, process, and act appropriately on health information – plays a role in their ability to make the most of e-health applications. This project reviewed research focused on e-health and health literacy, coding 94 articles to provide an overview of the field including use of theory and research methods. Findings indicate a lack of theory and use of established health literacy measures.