Nonlinear models and small sample performance of the generalized method of moments

In this paper I explore the issue of nonlinearity (both in the datageneration process and in the functional form that establishes therelationship between the parameters and the data) regarding the poorperformance of the Generalized Method of Moments (GMM) in small samples.To this purpose I build a sequence of models starting with a simple linearmodel and enlarging it progressively until I approximate a standard (nonlinear)neoclassical growth model. I then use simulation techniques to find the smallsample distribution of the GMM estimators in each of the models.

Iowa Calibration of MEPDG Performance Prediction Models, 2013

This study aims to improve the accuracy of AASHTO Mechanistic-Empirical Pavement Design Guide (MEPDG) pavement performance predictions for Iowa pavement systems through local calibration of MEPDG prediction models. A total of 130 representative pavement sites across Iowa were selected. The selected pavement sites represent flexible, rigid, and composite pavement systems throughout Iowa. The required MEPDG inputs and the historical performance data for the selected sites were extracted from a variety of sources. The accuracy of the nationally-calibrated MEPDG prediction models for Iowa conditions was evaluated. The local calibration factors of MEPDG performance prediction models were identified to improve the accuracy of model predictions. The identified local calibration coefficients are presented with other significant findings and recommendations for use in MEPDG/DARWin-ME for Iowa pavement systems.

Iowa Calibration of MEPDG Performance Prediction Models: Tech Transfer Summary

This study aims to improve the accuracy of AASHTO Mechanistic-Empirical Pavement Design Guide (MEPDG) pavement performance predictions for Iowa pavement systems through local calibration of MEPDG prediction models. A total of 130 representative pavement sites across Iowa were selected. The selected pavement sites represent flexible, rigid, and composite pavement systems throughout Iowa. The required MEPDG inputs and the historical performance data for the selected sites were extracted from a variety of sources. The accuracy of the nationally-calibrated MEPDG prediction models for Iowa conditions was evaluated. The local calibration factors of MEPDG performance prediction models were identified to improve the accuracy of model predictions. The identified local calibration coefficients are presented with other significant findings and recommendations for use in MEPDG/DARWin-ME for Iowa pavement systems.

Investigation of AASHTOWare Pavement ME Design/DARWin-ME Performance Prediction Models for Iowa Pavement Analysis and Design, 2015

The Mechanistic-Empirical Pavement Design Guide (MEPDG) was developed under National Cooperative Highway Research Program (NCHRP) Project 1-37A as a novel mechanistic-empirical procedure for the analysis and design of pavements. The MEPDG was subsequently supported by AASHTO’s DARWin-ME and most recently marketed as AASHTOWare Pavement ME Design software as of February 2013. Although the core design process and computational engine have remained the same over the years, some enhancements to the pavement performance prediction models have been implemented along with other documented changes as the MEPDG transitioned to AASHTOWare Pavement ME Design software. Preliminary studies were carried out to determine possible differences between AASHTOWare Pavement ME Design, MEPDG (version 1.1), and DARWin-ME (version 1.1) performance predictions for new jointed plain concrete pavement (JPCP), new hot mix asphalt (HMA), and HMA over JPCP systems. Differences were indeed observed between the pavement performance predictions produced by these different software versions. Further investigation was needed to verify these differences and to evaluate whether identified local calibration factors from the latest MEPDG (version 1.1) were acceptable for use with the latest version (version 2.1.24) of AASHTOWare Pavement ME Design at the time this research was conducted. Therefore, the primary objective of this research was to examine AASHTOWare Pavement ME Design performance predictions using previously identified MEPDG calibration factors (through InTrans Project 11-401) and, if needed, refine the local calibration coefficients of AASHTOWare Pavement ME Design pavement performance predictions for Iowa pavement systems using linear and nonlinear optimization procedures. A total of 130 representative sections across Iowa consisting of JPCP, new HMA, and HMA over JPCP sections were used. The local calibration results of AASHTOWare Pavement ME Design are presented and compared with national and locally calibrated MEPDG models.

Effects of sample size on the performance of species distribution models

A wide range of modelling algorithms is used by ecologists, conservation practitioners, and others to predict species ranges from point locality data. Unfortunately, the amount of data available is limited for many taxa and regions, making it essential to quantify the sensitivity of these algorithms to sample size. This is the first study to address this need by rigorously evaluating a broad suite of algorithms with independent presence-absence data from multiple species and regions. We evaluated predictions from 12 algorithms for 46 species (from six different regions of the world) at three sample sizes (100, 30, and 10 records). We used data from natural history collections to run the models, and evaluated the quality of model predictions with area under the receiver operating characteristic curve (AUC). With decreasing sample size, model accuracy decreased and variability increased across species and between models. Novel modelling methods that incorporate both interactions between predictor variables and complex response shapes (i.e. GBM, MARS-INT, BRUTO) performed better than most methods at large sample sizes but not at the smallest sample sizes. Other algorithms were much less sensitive to sample size, including an algorithm based on maximum entropy (MAXENT) that had among the best predictive power across all sample sizes. Relative to other algorithms, a distance metric algorithm (DOMAIN) and a genetic algorithm (OM-GARP) had intermediate performance at the largest sample size and among the best performance at the lowest sample size. No algorithm predicted consistently well with small sample size (n < 30) and this should encourage highly conservative use of predictions based on small sample size and restrict their use to exploratory modelling.

The role of causal links in performance measurement models

Abstract Purpose: Several well-known managerial accounting performance measurement models rely on causal assumptions. Whilst users of the models express satisfaction and link them with improved organizational performance, academic research, of the realworld applications, shows few reliable statistical associations. This paper provides a discussion on the"problematic" of causality in a performance measurement setting. Design/methodology/approach: This is a conceptual study based on an analysis and synthesis of the literature from managerial accounting, organizational theory, strategic management and social scientific causal modelling. Findings: The analysis indicates that dynamic, complex and uncertain environments may challenge any reliance upon valid causal models. Due to cognitive limitations and judgmental biases, managers may fail to trace correct cause-and-effect understanding of the value creation in their organizations. However, even lacking this validity, causal models can support strategic learning and perform as organizational guides if they are able to mobilize managerial action. Research limitations/implications: Future research should highlight the characteristics necessary for elaboration of convincing and appealing causal models and the social process of their construction. Practical implications: Managers of organizations using causal models should be clear on the purposes of their particular models and their limitations. In particular, difficulties are observed in specifying detailed cause and effect relations and their potential for communicating and directing attention. They should therefore construct their models to suit the particular purpose envisaged. Originality/value: This paper provides an interdisciplinary and holistic view on the issue of causality in managerial accounting models.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Calibrating flood inundation models: methods for assessing model performance

Satellite observed data for flood events have been used to calibrate and validate flood inundation models, providing valuable information on the spatial extent of the flood. Improvements in the resolution of this satellite imagery have enabled indirect remote sensing of water levels by using an underlying LiDAR DEM to extract the water surface elevation at the flood margin. Further to comparison of the spatial extent, this now allows for direct comparison between modelled and observed water surface elevations. Using a 12.5m ERS-1 image of a flood event in 2006 on the River Dee, North Wales, UK, both of these data types are extracted and each assessed for their value in the calibration of flood inundation models. A LiDAR guided snake algorithm is used to extract an outline of the flood from the satellite image. From the extracted outline a binary grid of wet / dry cells is created at the same resolution as the model, using this the spatial extent of the modelled and observed flood can be compared using a measure of fit between the two binary patterns of flooding. Water heights are extracted using points at intervals of approximately 100m along the extracted outline, and the students T-test is used to compare modelled and observed water surface elevations. A LISFLOOD-FP model of the catchment is set up using LiDAR topographic data resampled to the 12.5m resolution of the satellite image, and calibration of the friction parameter in the model is undertaken using each of the two approaches. Comparison between the two approaches highlights the sensitivity of the spatial measure of fit to uncertainty in the observed data and the potential drawbacks of using the spatial extent when parts of the flood are contained by the topography.

The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

Response surface models to predict broiler performance and applications for economic analysis

A study was carried out to elaborate response surface models using broiler performance data recovered from literature in order to predict performance and elaborate economic analyses. Nineteen studies published between 1995 and 2005 were retrieved using the systematic literature review method. Weight gain and feed conversion data were collected from eight studies that fulfilled the pre-established inclusion criteria, and a response surface model was adjusted using crude protein, environmental temperature, and age as independent variables. The models produced for weight gain (r² = 0.93) and feed conversion (r² = 0.85) were accurate, precise, and not biased. Protein levels, environmental temperature and age showed linear and quadratic effects on weight gain and feed conversion. There was no interaction between protein level and environmental temperature. Age and crude protein showed interaction for weight gain and feed conversion, whereas interaction between age and temperature was detected only for weight gain. It was possible to perform economic analyses to determine maximum profit as a function of the variables that were included in the model. It was concluded that the response surface models are effective to predict the performance of broiler chickens and allow the elaboration of economic analyses to optimize profit.

Composite interval mapping and mixed models reveal QTL associated with performance and carcass traits on chicken chromosomes 1, 3, and 4

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Safety performance models for urban intersections in Brazil

This paper presents a modeling effort for developing safety performance models (SPM) for urban intersections for three major Brazilian cities. The proposed methodology for calibrating SPM has been divided into the following steps: defining the safety study objective, choosing predictive variables and sample size, data acquisition, defining model expression and model parameters and model evaluation. Among the predictive variables explored in the calibration phase were exposure variables (AADT), number of lanes, number of approaches and central median status. SPMs were obtained for three cities: Fortaleza, Belo Horizonte and Brasilia. The SPM developed for signalized intersections in Fortaleza and Belo Horizonte had the same structure and the most significant independent variables, which were AADT entering the intersection and number of lanes, and in addition, the coefficient of the best models were in the same range of values. For Brasilia, because of the sample size, the signalized and unsignalized intersections were grouped, and the AADT was split in minor and major approaches, which were the most significant variables. This paper also evaluated SPM transferability to other jurisdiction. The SPM for signalized intersections from Fortaleza and Belo Horizonte have been recalibrated (in terms of the COx) to the city of Porto Alegre. The models were adjusted following the Highway Safety Manual (HSM) calibration procedure and yielded C-x of 0.65 and 2.06 for Fortaleza and Belo Horizonte SPM respectively. This paper showed the experience and future challenges toward the initiatives on development of SPMs in Brazil, that can serve as a guide for other countries that are in the same stage in this subject. (C) 2014 Elsevier Ltd. All rights reserved.

Effect of mucoadhesive polymers on the in vitro performance of insulin-loaded silica nanoparticles: Interactions with mucin and biomembrane models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)