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.

Analyse bayésienne et classification pour modèles continus modifiés à zéro

Les modèles à sur-représentation de zéros discrets et continus ont une large gamme d'applications et leurs propriétés sont bien connues. Bien qu'il existe des travaux portant sur les modèles discrets à sous-représentation de zéro et modifiés à zéro, la formulation usuelle des modèles continus à sur-représentation -- un mélange entre une densité continue et une masse de Dirac -- empêche de les généraliser afin de couvrir le cas de la sous-représentation de zéros. Une formulation alternative des modèles continus à sur-représentation de zéros, pouvant aisément être généralisée au cas de la sous-représentation, est présentée ici. L'estimation est d'abord abordée sous le paradigme classique, et plusieurs méthodes d'obtention des estimateurs du maximum de vraisemblance sont proposées. Le problème de l'estimation ponctuelle est également considéré du point de vue bayésien. Des tests d'hypothèses classiques et bayésiens visant à déterminer si des données sont à sur- ou sous-représentation de zéros sont présentées. Les méthodes d'estimation et de tests sont aussi évaluées au moyen d'études de simulation et appliquées à des données de précipitation agrégées. Les diverses méthodes s'accordent sur la sous-représentation de zéros des données, démontrant la pertinence du modèle proposé. Nous considérons ensuite la classification d'échantillons de données à sous-représentation de zéros. De telles données étant fortement non normales, il est possible de croire que les méthodes courantes de détermination du nombre de grappes s'avèrent peu performantes. Nous affirmons que la classification bayésienne, basée sur la distribution marginale des observations, tiendrait compte des particularités du modèle, ce qui se traduirait par une meilleure performance. Plusieurs méthodes de classification sont comparées au moyen d'une étude de simulation, et la méthode proposée est appliquée à des données de précipitation agrégées provenant de 28 stations de mesure en Colombie-Britannique.

Big Decisions and Sparse Data: Adapting Scientific Publishing to the Needs of Practical Conservation

The biggest challenge in conservation biology is breaking down the gap between research and practical management. A major obstacle is the fact that many researchers are unwilling to tackle projects likely to produce sparse or messy data because the results would be difficult to publish in refereed journals. The obvious solution to sparse data is to build up results from multiple studies. Consequently, we suggest that there needs to be greater emphasis in conservation biology on publishing papers that can be built on by subsequent research rather than on papers that produce clear results individually. This building approach requires: (1) a stronger theoretical framework, in which researchers attempt to anticipate models that will be relevant in future studies and incorporate expected differences among studies into those models; (2) use of modern methods for model selection and multi-model inference, and publication of parameter estimates under a range of plausible models; (3) explicit incorporation of prior information into each case study; and (4) planning management treatments in an adaptive framework that considers treatments applied in other studies. We encourage journals to publish papers that promote this building approach rather than expecting papers to conform to traditional standards of rigor as stand-alone papers, and believe that this shift in publishing philosophy would better encourage researchers to tackle the most urgent conservation problems.

Evolutionary history of vegetative reproduction in Porpidia s. l. (lichen-forming ascomycota)

The evolutionary history of gains and losses of vegetative reproductive propagules (soredia) in Porpidia s.l., a group of lichen-forming ascomycetes, was clarified using Bayesian Markov chain Monte Carlo (MCMC) approaches to monophyly tests and a combined MCMC and maximum likelihood approach to ancestral character state reconstructions. The MCMC framework provided confidence estimates for the reconstructions of relationships and ancestral character states, which formed the basis for tests of evolutionary hypotheses. Monophyly tests rejected all hypotheses that predicted any clustering of reproductive modes in extant taxa. In addition, a nearest-neighbor statistic could not reject the hypothesis that the vegetative reproductive mode is randomly distributed throughout the group. These results show that transitions between presence and absence of the vegetative reproductive mode within Porpidia s.l. occurred several times and independently of each other. Likelihood reconstructions of ancestral character states at selected nodes suggest that - contrary to previous thought - the ancestor to Porpidia s.l. already possessed the vegetative reproductive mode. Furthermore, transition rates are reconstructed asymmetrically with the vegetative reproductive mode being gained at a much lower rate than it is lost. A cautious note has to be added, because a simulation study showed that the ancestral character state reconstructions were highly dependent on taxon sampling. However, our central conclusions, particularly the higher rate of change from vegetative reproductive mode present to absent than vice versa within Porpidia s.l., were found to be broadly independent of taxon sampling. [Ancestral character state reconstructions; Ascomycota, Bayesian inference; hypothesis testing; likelihood; MCMC; Porpidia; reproductive systems]

Methods for Equivalence and Noninferiority Testing

Classical hypothesis testing focuses on testing whether treatments have differential effects on outcome. However, sometimes clinicians may be more interested in determining whether treatments are equivalent or whether one has noninferior outcomes. We review the hypotheses for these noninferiority and equivalence research questions, consider power and sample size issues, and discuss how to perform such a test for both binary and survival outcomes. The methods are illustrated on 2 recent studies in hematopoietic cell transplantation.

A NOVEL AND SIMPLE RULE OF THUMB FOR MULTIPLICITY CONTROL IN EQUIVALENCE TESTING USING TWO ONE-SIDED TESTS

Equivalence testing is growing in use in scientific research outside of its traditional role in the drug approval process. Largely due to its ease of use and recommendation from the United States Food and Drug Administration guidance, the most common statistical method for testing (bio)equivalence is the two one-sided tests procedure (TOST). Like classical point-null hypothesis testing, TOST is subject to multiplicity concerns as more comparisons are made. In this manuscript, a condition that bounds the family-wise error rate (FWER) using TOST is given. This condition then leads to a simple solution for controlling the FWER. Specifically, we demonstrate that if all pairwise comparisons of k independent groups are being evaluated for equivalence, then simply scaling the nominal Type I error rate down by (k - 1) is sufficient to maintain the family-wise error rate at the desired value or less. The resulting rule is much less conservative than the equally simple Bonferroni correction. An example of equivalence testing in a non drug-development setting is given.

Analytical statistics : statistical methods, testing for significance /

Mode of access: Internet.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

Geographical variation in the penetrance of CDKN2A mutations for melanoma

Background: Germline mutations in the CDKN2A gene, which encodes two proteins (p16INK4A and p14ARF), are the most common cause of inherited susceptibility to melanoma. We examined the penetrance of such mutations using data from eight groups from Europe, Australia and the United States that are part of The Melanoma Genetics Consortium Methods: We analyzed 80 families with documented CDKN2A mutations and multiple cases of cutaneous melanoma. We modeled penetrance for melanoma using a logistic regression model incorporating survival analysis. Hypothesis testing was based on likelihood ratio tests. Covariates included gender, alterations in p14APF protein, and population melanoma incidence rates. All statistical tests were two-sided. Results: The 80 analyzed families contained 402 melanoma patients, 320 of whom were tested for mutations and 291 were mutation carriers. We also tested 713 unaffected family members for mutations and 194 were carriers. Overall, CDKN2A mutation penetrance was estimated to be 0.30 (95% confidence interval (CI) = 0.12 to 0.62) by age 50 years and 0.67 (95% CI = 0.31 to 0.96) by age 80 years. Penetrance was not statistically significantly modified by gender or by whether the CDKN2A mutation altered p14ARF protein. However, there was a statistically significant effect of residing in a location with a high population incidence rate of melanoma (P = .003). By age 50 years CDKN2A mutation penetrance reached 0.13 in Europe, 0.50 in the United States, and 0.32 in Australia; by age 80 years it was 0.58 in Europe, 0.76 in the United States, and 0.91 in Australia. Conclusions: This study, which gives the most informed estimates of CDKN2A mutation penetrance available, indicates that the penetrance varies with melanoma population incidence rates. Thus, the same factors that affect population incidence of melanoma may also mediate CDKN2A penetrance.

A cognitive complexity metric applied to cognitive development

Two experiments tested predictions from a theory in which processing load depends on relational complexity (RC), the number of variables related in a single decision. Tasks from six domains (transitivity, hierarchical classification, class inclusion, cardinality, relative-clause sentence comprehension, and hypothesis testing) were administered to children aged 3-8 years. Complexity analyses indicated that the domains entailed ternary relations (three variables). Simpler binary-relation (two variables) items were included for each domain. Thus RC was manipulated with other factors tightly controlled. Results indicated that (i) ternary-relation items were more difficult than comparable binary-relation items, (ii) the RC manipulation was sensitive to age-related changes, (iii) ternary relations were processed at a median age of 5 years, (iv) cross-task correlations were positive, with all tasks loading on a single factor (RC), (v) RC factor scores accounted for 80% (88%) of age-related variance in fluid intelligence (compositionality of sets), (vi) binary- and ternary-relation items formed separate complexity classes, and (vii) the RC approach to defining cognitive complexity is applicable to different content domains. (C) 2002 Elsevier Science (USA). All rights reserved.

Liderança virtuosa, comprometimento organizacional e desempenho individual

Num mundo hipercompetitivo, a afirmação da virtuosidade tem enfrentado consideráveis resistências, sendo mesmo considerada como sinónimo de fraqueza ou ingenuidade. Todavia, e perante evidências dos potenciais perigos do exercício da liderança desprovido de valores, ética e moralidade, elevam-se as vozes em defesa de uma liderança virtuosa, capaz de aportar contributos significativamente positivos às organizações e seus colaboradores. Partindo desta premissa, esta investigação teve como objetivo analisar, com base nas perceções dos liderados, o impacto da liderança virtuosa no comprometimento organizacional, assim como o contributo deste último no desempenho individual. Sustentados numa metodologia quantitativa, inquirimos, numa primeira fase, 113 liderados provenientes de organizações localizadas no território português, com vista a apurar quais as virtudes que mais valorizavam num líder. Os dados para o teste de hipóteses foram recolhidos através da aplicação de uma bateria de testes junto de 351 liderados, também a exercer funções em organizações a operar em Portugal. Os resultados sugerem que as perceções dos liderados em torno de três dimensões de virtuosidade da liderança (liderança baseada em valores, perseverança e maturidade) contribuem para o comprometimento organizacional, sobretudo nas suas vertentes afetiva e normativa e, que este último, por sua vez, é capaz de influenciar positivamente o desempenho individual.

Probability and statistics: selected problems

Probability and Statistics—Selected Problems is a unique book for senior undergraduate and graduate students to fast review basic materials in Probability and Statistics. Descriptive statistics are presented first, and probability is reviewed secondly. Discrete and continuous distributions are presented. Sample and estimation with hypothesis testing are presented in the last two chapters. The solutions for proposed excises are listed for readers to references.

Contract-program evaluation: Impact of the DRG classification system on hospitals' outputs

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Positive solutions to find a job: Cultural mismatches between companies and employees

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models