Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR (QLR) test based on feasible generalized least squares (FGLS). We show that the latter statistics are pivotal under the null, which provides the justification for applying MC tests. Furthermore, we extend the exact independence test proposed by Harvey and Phillips (1982) to the multi-equation framework. Specifically, we introduce several induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the associated combination problem. The properties of the proposed tests are studied in a Monte Carlo experiment which shows that standard asymptotic tests exhibit important size distortions, while MC tests achieve complete size control and display good power. Moreover, MC-QLR tests performed best in terms of power, a result of interest from the point of view of simulation-based tests. The power of the MC induced tests improves appreciably in comparison to standard Bonferroni tests and, in certain cases, outperforms the likelihood-based MC tests. The tests are applied to data used by Fischer (1993) to analyze the macroeconomic determinants of growth.

Essays on bootstrap in econometrics

Ma thèse est composée de trois essais sur l'inférence par le bootstrap à la fois dans les modèles de données de panel et les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peut être faible. La théorie asymptotique n'étant pas toujours une bonne approximation de la distribution d'échantillonnage des estimateurs et statistiques de tests, je considère le bootstrap comme une alternative. Ces essais tentent d'étudier la validité asymptotique des procédures bootstrap existantes et quand invalides, proposent de nouvelles méthodes bootstrap valides. Le premier chapitre #co-écrit avec Sílvia Gonçalves# étudie la validité du bootstrap pour l'inférence dans un modèle de panel de données linéaire, dynamique et stationnaire à effets fixes. Nous considérons trois méthodes bootstrap: le recursive-design bootstrap, le fixed-design bootstrap et le pairs bootstrap. Ces méthodes sont des généralisations naturelles au contexte des panels des méthodes bootstrap considérées par Gonçalves et Kilian #2004# dans les modèles autorégressifs en séries temporelles. Nous montrons que l'estimateur MCO obtenu par le recursive-design bootstrap contient un terme intégré qui imite le biais de l'estimateur original. Ceci est en contraste avec le fixed-design bootstrap et le pairs bootstrap dont les distributions sont incorrectement centrées à zéro. Cependant, le recursive-design bootstrap et le pairs bootstrap sont asymptotiquement valides quand ils sont appliqués à l'estimateur corrigé du biais, contrairement au fixed-design bootstrap. Dans les simulations, le recursive-design bootstrap est la méthode qui produit les meilleurs résultats. Le deuxième chapitre étend les résultats du pairs bootstrap aux modèles de panel non linéaires dynamiques avec des effets fixes. Ces modèles sont souvent estimés par l'estimateur du maximum de vraisemblance #EMV# qui souffre également d'un biais. Récemment, Dhaene et Johmans #2014# ont proposé la méthode d'estimation split-jackknife. Bien que ces estimateurs ont des approximations asymptotiques normales centrées sur le vrai paramètre, de sérieuses distorsions demeurent à échantillons finis. Dhaene et Johmans #2014# ont proposé le pairs bootstrap comme alternative dans ce contexte sans aucune justification théorique. Pour combler cette lacune, je montre que cette méthode est asymptotiquement valide lorsqu'elle est utilisée pour estimer la distribution de l'estimateur split-jackknife bien qu'incapable d'estimer la distribution de l'EMV. Des simulations Monte Carlo montrent que les intervalles de confiance bootstrap basés sur l'estimateur split-jackknife aident grandement à réduire les distorsions liées à l'approximation normale en échantillons finis. En outre, j'applique cette méthode bootstrap à un modèle de participation des femmes au marché du travail pour construire des intervalles de confiance valides. Dans le dernier chapitre #co-écrit avec Wenjie Wang#, nous étudions la validité asymptotique des procédures bootstrap pour les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peu être faible. Nous montrons analytiquement qu'un bootstrap standard basé sur les résidus et le bootstrap restreint et efficace #RE# de Davidson et MacKinnon #2008, 2010, 2014# ne peuvent pas estimer la distribution limite de l'estimateur du maximum de vraisemblance à information limitée #EMVIL#. La raison principale est qu'ils ne parviennent pas à bien imiter le paramètre qui caractérise l'intensité de l'identification dans l'échantillon. Par conséquent, nous proposons une méthode bootstrap modifiée qui estime de facon convergente cette distribution limite. Nos simulations montrent que la méthode bootstrap modifiée réduit considérablement les distorsions des tests asymptotiques de type Wald #$t$# dans les échantillons finis, en particulier lorsque le degré d'endogénéité est élevé.

Seasonal adjustment and cointegration

El documento examina el efecto de filtros de ajuste en el tamaño y poder de prueba de cointegración que usan los residuales como pruebas ADF y PP, mediante procedimientos MonteCarlo y una aplicación empírica. Nuestros resultados indican que el uso de filtros distorsiona el tamaño y reduce el poder de estas pruebas.

Ventilation rates in schools and pupil’s performance using computerized assessment tests

Research shows that poor indoor air quality (IAQ) in school buildings can cause a reduction in the students’ performance assessed by short-term computer-based tests; whereas good air quality in classrooms can enhance children's concentration and also teachers’ productivity. Investigation of air quality in classrooms helps us to characterise pollutant levels and implement corrective measures. Outdoor pollution, ventilation equipment, furnishings, and human activities affect IAQ. In school classrooms, the occupancy density is high (1.8–2.4 m2/person) compared to offices (10 m2/person). Ventilation systems expend energy and there is a trend to save energy by reducing ventilation rates. We need to establish the minimum acceptable level of fresh air required for the health of the occupants. This paper describes a project, which will aim to investigate the effect of IAQ and ventilation rates on pupils’ performance and health using psychological tests. The aim is to recommend suitable ventilation rates for classrooms and examine the suitability of the air quality guidelines for classrooms. The air quality, ventilation rates and pupils’ performance in classrooms will be evaluated in parallel measurements. In addition, Visual Analogue Scales will be used to assess subjective perception of the classroom environment and SBS symptoms. Pupil performance will be measured with Computerised Assessment Tests (CAT), and Pen and Paper Performance Tasks while physical parameters of the classroom environment will be recorded using an advanced data logging system. A total number of 20 primary schools in the Reading area are expected to participate in the present investigation, and the pupils participating in this study will be within the age group of 9–11 years. On completion of the project, based on the overall data recommendations for suitable ventilation rates for schools will be formulated.

Skovgaard`s adjustment to likelihood ratio tests in exponential family nonlinear models

Likelihood ratio tests can be substantially size distorted in small- and moderate-sized samples. In this paper, we apply Skovgaard`s [Skovgaard, I.M., 2001. Likelihood asymptotics. Scandinavian journal of Statistics 28, 3-321] adjusted likelihood ratio statistic to exponential family nonlinear models. We show that the adjustment term has a simple compact form that can be easily implemented from standard statistical software. The adjusted statistic is approximately distributed as X(2) with high degree of accuracy. It is applicable in wide generality since it allows both the parameter of interest and the nuisance parameter to be vector-valued. Unlike the modified profile likelihood ratio statistic obtained from Cox and Reid [Cox, D.R., Reid, N., 1987. Parameter orthogonality and approximate conditional inference. journal of the Royal Statistical Society B49, 1-39], the adjusted statistic proposed here does not require an orthogonal parameterization. Numerical comparison of likelihood-based tests of varying dispersion favors the test we propose and a Bartlett-corrected version of the modified profile likelihood ratio test recently obtained by Cysneiros and Ferrari [Cysneiros, A.H.M.A., Ferrari, S.L.P., 2006. An improved likelihood ratio test for varying dispersion in exponential family nonlinear models. Statistics and Probability Letters 76 (3), 255-265]. (C) 2008 Elsevier B.V. All rights reserved.

Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

Panel bootstrap tests of slope homogeneity

This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.

Testing for error correction in panel data

This paper proposes new error correction-based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for. © 2007 Blackwell Publishing Ltd.

A panel CUSUM test of the null of cointegration

This paper proposes a simple residual-based panel CUSUM test of the null hypothesis of cointegration. The test has a limiting normal distribution that is free of nuisance parameters, it is robust to heteroskedasticity and it allows for mixtures of cointegrated and spurious alternatives. Our Monte Carlo results suggest that the test has small-size distortions and reasonable power. In our empirical application to international R&D spillovers, we present evidence suggesting that total factor productivity is heterogeneously cointegrated with foreign and domestic R&D capital stocks. © Blackwell Publishing Ltd, 2005.

HyperCard test engine using Rasch Analysis

This paper will focus on the development of an interactive test engine using Rasch analysis of item responses for question selection and reporting of results. The Rasch analysis is used to determine student ability and question difficulty. This model is widely used in the preparation of paper-based tests and has been the subject of particular use and development at the Australian Council for Education Research (ACER). This paper presents an overview of an interactive implementation of the Rasch analysis model in HyperCard, where student ability estimates are generated 'on the fly' and question difficulty values updated from time to time. The student ability estimates are used to determine question selection and are the basis of scoring and reporting schemes.

Vertical displacement measurement using fibre Bragg grating (FBG) sensors for structural health monitoring of bridges

This thesis developed a practical, cost effective, easy-to-use method for measuring the vertical displacements of bridges using fiber Bragg grating (FBG) sensors, which includes the curvature and inclination approaches. These approaches were validated by the numerical simulation tests on a full scale bridge and the laboratory-based tests. In doing so, a novel frictionless FBG inclination sensor with extremely high sensitivity and resolution has also been developed and validated.

A systematic review of prescribing criteria to evaluate appropriateness of medications in frail older people

This study systematically reviews the published literature regarding inappropriate prescribing in frail individuals aged at least 65 years. Twenty-five of 466 identified studies met the inclusion criteria. All papers measured some surrogate indicators of frailty, such as performance-based tests, cognitive function and functional dependency. Beers criteria were used in 20 studies (74%) to evaluate inappropriate medication use and 36% (9/25) studies used more than one criterion. The prevalence of inappropriate medications ranged widely from 11 to 92%. Only a few studies reported the relationship between potentially inappropriate medication use and surrogate measures of frailty. These diverse findings indicate the need for a standardized measure for assessing appropriateness of medication in frail older individuals. Prescribing tools should address both medication and patient-related factors such as life expectancy and functional status to minimize inappropriate prescribing in frail individuals.

Health states for schizophrenia and bipolar disorder within the Global Burden of Disease 2010 Study

A comprehensive revision of the Global Burden of Disease (GBD) study is expected to be completed in 2012. This study utilizes a broad range of improved methods for assessing burden, including closer attention to empirically derived estimates of disability. The aim of this paper is to describe how GBD health states were derived for schizophrenia and bipolar disorder. These will be used in deriving health state-specific disability estimates. A literature review was first conducted to settle on a parsimonious set of health states for schizophrenia and bipolar disorder. A second review was conducted to investigate the proportion of schizophrenia and bipolar disorder cases experiencing these health states. These were pooled using a quality-effects model to estimate the overall proportion of cases in each state. The two schizophrenia health states were acute (predominantly positive symptoms) and residual (predominantly negative symptoms). The three bipolar disorder health states were depressive, manic, and residual. Based on estimates from six studies, 63% (38%-82%) of schizophrenia cases were in an acute state and 37% (18%-62%) were in a residual state. Another six studies were identified from which 23% (10%-39%) of bipolar disorder cases were in a manic state, 27% (11%-47%) were in a depressive state, and 50% (30%-70%) were in a residual state. This literature review revealed salient gaps in the literature that need to be addressed in future research. The pooled estimates are indicative only and more data are required to generate more definitive estimates. That said, rather than deriving burden estimates that fail to capture the changes in disability within schizophrenia and bipolar disorder, the derived proportions and their wide uncertainty intervals will be used in deriving disability estimates.

Genome-wide association study of major depressive disorder: New results, meta-analysis, and lessons learned

Major depressive disorder (MDD) is a common complex disorder with a partly genetic etiology. We conducted a genome-wide association study of the MDD2000+ sample (2431 cases, 3673 screened controls and >1 M imputed single-nucleotide polymorphisms (SNPs)). No SNPs achieved genome-wide significance either in the MDD2000+ study, or in meta-analysis with two other studies totaling 5763 cases and 6901 controls. These results imply that common variants of intermediate or large effect do not have main effects in the genetic architecture of MDD. Suggestive but notable results were: (a) gene-based tests suggesting roles for adenylate cyclase 3 (ADCY3, 2p23.3) and galanin (GAL, 11q13.3); published functional evidence relates both of these to MDD and serotonergic signaling; (b) support for the bipolar disorder risk variant SNP rs1006737 in CACNA1C (P=0.020, odds ratio=1.10), and; (c) lack of support for rs2251219, a SNP identified in a meta-analysis of affective disorder studies (P=0.51). We estimate that sample sizes 1.8- to 2.4-fold greater are needed for association studies of MDD compared with those for schizophrenia to detect variants that explain the same proportion of total variance in liability. Larger study cohorts characterized for genetic and environmental risk factors accumulated prospectively are likely to be needed to dissect more fully the etiology of MDD.

Testing against changing correlation

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes information on the level of correlation under the null hypothesis and local power arguments indicate the benefits of doing so. A simulation study shows that the performance of the score-based test is strong relative to existing tests across a range of data generating processes. An application to the Hong Kong and South Korean equity markets shows that the new test reveals changes in correlation that are not detected by the standard moment-based test.