Hypothesis testing in an errors-in-variables model with heteroscedastic measurement errors

In many epidemiological studies it is common to resort to regression models relating incidence of a disease and its risk factors. The main goal of this paper is to consider inference on such models with error-prone observations and variances of the measurement errors changing across observations. We suppose that the observations follow a bivariate normal distribution and the measurement errors are normally distributed. Aggregate data allow the estimation of the error variances. Maximum likelihood estimates are computed numerically via the EM algorithm. Consistent estimation of the asymptotic variance of the maximum likelihood estimators is also discussed. Test statistics are proposed for testing hypotheses of interest. Further, we implement a simple graphical device that enables an assessment of the model`s goodness of fit. Results of simulations concerning the properties of the test statistics are reported. The approach is illustrated with data from the WHO MONICA Project on cardiovascular disease. Copyright (C) 2008 John Wiley & Sons, Ltd.

Residual-based test for Nonlinear Cointegration with application in PPPs

Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. What we mainly study is testing no nonlinear cointegration against nonlinear cointegration by residual-based test, which is ready for detecting stochastic trend in nonlinear autoregression models. We construct cointegrating regression along with smooth transition components from smooth transition autoregression model. Some properties are analyzed and discussed during the estimation procedure for cointegrating regression, including description of transition variable. Autoregression of order one is considered as the model of estimated residuals for residual-based test, from which the teststatistic is obtained. Critical values and asymptotic distribution of the test statistic that we request for different cointegrating regressions with different sample sizes are derived based on Monte Carlo simulation. The proposed theoretical methods and models are illustrated by an empirical example, comparing the results with linear cointegration application in Hamilton (1994). It is concluded that there exists nonlinear cointegration in our system in the final results.

Testing linear cointegration against smooth-transition cointegration

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system. It nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointegration studied by Balke and Fomby (1997). We develop F-type tests to examine linear cointegration against ST cointegration in ST-type cointegrating regression models with or without time trends. The null asymptotic distributions of the tests are derived with stationary transition variables in ST cointegrating regression models. And it is shown that our tests have nonstandard limiting distributions expressed in terms of standard Brownian motion when regressors are pure random walks, while have standard asymptotic distributions when regressors contain random walks with nonzero drift. Finite-sample distributions of those tests are studied by Monto Carlo simulations. The small-sample performance of the tests states that our F-type tests have a better power when the system contains ST cointegration than when the system is linearly cointegrated. An empirical example for the purchasing power parity (PPP) data (monthly US dollar, Italy lira and dollar-lira exchange rate from 1973:01 to 1989:10) is illustrated by applying the testing procedures in this paper. It is found that there is no linear cointegration in the system, but there exits the ST-type cointegration in the PPP data.

Testing Seasonal Unit Roots in Data at Any Frequency, an HEGY approach

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Comparing two multivariate unit root tests

In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic power of the tests the asymptotic distributions under the null hypothesis and under the set of alternative hypotheses described in Phillips (1988) are determined. In addition, a test which combines characteristics of both tests is proposed and its distributions under the null hypothesis and the same set of alternative hypotheses are determined. This allows us to determine what causes any difference in the asymptotic power of the two tests against the set of alternative hypotheses considered

Do shocks permanently change output? : Local persistency in economic time series

While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.

Temporal aggregation and bandwidth selection in estimating long memory

This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, provided that the same number of periodogram ordinates is used in both cases. This equivalence is in the sense that their joint distribution is asymptotically normal with common mean and variance and unity correlation. Furthermore, I prove that the same applies to the estimator of Robinson (1995). Monte Carlo simulations show that this asymptotic equivalence is a good approximation in finite samples. Moreover, a real example with the daily US Dollar/French Franc exchange rate series is provided.

Inflation and overbanking

This paper argues that monetary models can and usually present the phenomenon of over-banking; that is, the market solution of the model presents a size of the banking sector which is higher than the social optima. Applying a two sector monetary model of capital accumulation in presence of a banking sector, which supplies liquidity services, it is shown that the rise of a tax that disincentives the acquisition of the banking service presents the following impacts on welfare. If the technology is the same among the sectors, the tax increases welfare; otherwise, steady-state utility increase if the banking sector is labor-intensive compared to the real sector. Additionally, it is proved that the elevation of inflation has the following impact on the economy's equilibrium: the share on the product of the banking sector increases; the product and the stock of capital increases or reduces whether the banking sector is capital-intensive or laborintensive; and, the steady-state utility reduces. The results were derived under a quite general set up - standard hypothesis regarding concavity of preference, convexity of technology, and normality of goods - were required.

Essays on Spatial Econometrics

Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.

Caracterização dos retornos e das volatilidades de ativos financeiros do mercado Brasileiro : uma abordagem baseada na volatilidade realizada

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when the information contained in high frequency data is used to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities of the Brazilian stocks, showing that the distributions of volatilities are nearly lognormal. Second, we estimate a simple linear model to the log of realized volatilities that differs from the ones in other studies. The main difference is that we do not find evidence of long memory. The estimated model is compared with commonly used alternatives in an out-of-sample experiment.

Marcadores genéticos, antropometria e qualidades físicas básicas nos estágios maturacionais de nadadores paraibanos

The aim of this research was to analyse genetic markers, anthropometry and basic physical qualities in the differret stages of sexual maturation in swimmers in Paraíba. It is characterised as a descriptive cross sectional study. The sample was composed of 119 swimmers (males) that were divided among the stages of sexual maturation, from 7 to 17,9 years of age. They were associated to a local federation, the Confederação Brasileira de Desportes Aquáticos. The tests used were: genetic markers dermatoglyphics; Anthropometry body mass, stature, arm span, fat percentage and somatotype; physical qualities speed tests (25 meters crawl), strength (vertical jump) to inferior limbs, verarm throwing arremesso of a 2kg medicineball to superior limbs and abdominal), resistence (12 minutes to swimming), agility (he multistage 20-meter shuttle run test), flexibility (sit and reach test ) and coodination (stroke index); power of swimming (mean velocity in 25 meters mutiplied by body mass) and the self assessment of the sexual maturation supervised by a pediatric specialist. In the analyses we used the test normality of Shapiro-Wilk, then, we used ANOVA- one way followed by Post-Hoc test of Scheffé. The data showed in dermatogliphics a genetic tendence to velocity (L>W) with a predominance of the meso-ectomorphic somatotype profile; in relation to the physical qualities there was an evolution of the results in every stage due to the antropometric variables, except in the coordination tests. There were no significative differences between the stages. We conclude that swimming in Paraíba is composed of a signicative number of velocists with a mesomorph somatotype profile and low fat percentage, and that made it posssible to us to recomend that the trainings must be individual and according to personal characteristics of each athlete, and that the used variables must be specific for every region of the country. This dissertation presents a relation of multidiciplinar interface and its content has an application in Physical Education and Medicine

A elasticidade da pobreza em relação ao crescimento e à desigualdade de renda no nordeste rural brasileiro de 1995 a 2009: uma análise comparativa

This work aims to analyze how the growth in average income and the change in inequality in income distribution have impacted rural poverty in the Northeast in the period 1995 to 2009. Under the approach in Kakwani (1993) e Duclos and Araar (2006), and under the assumption of log-normality of income per capita, exposed in Bourguignon (2002) and Hoffmann (2005), are calculated growth and inequality elasticities of poverty to FGT poverty measures in order to observe the behavior of the sensitivity of poverty to changes in average household income and the change in income distribution / Gini index. Concurrently, decomposes the changes in measures of poverty (proportion of poor) between growth and distribution components (first proposed by Datt and Ravallion, 1992) to assess the effect of weight change and the effect of income inequality change change on poverty. Regarding the estimation of elasticities of poverty and growth and inequality elasticities of the two methodologies used in this work - under the assumption of lognormal distribution of income and FGT measures under the by Kakwani (1993) andDuclos e Araar (2006) - though do not result in identical values, to corroborate same results, ie the long-term decline in rural poverty from 1995 to 2009 the Northeast and the greater sensitivity of the Northeast Rural Poverty, observed in this same period, income growth and change in inequality. The weight of growth and change in inequality in changing the Northeast rural poverty identified that most of the decline in rural poverty is linked to growth in average income. This result coincides with results found by Kraay (2005) for a group of countries

Identificação de uma planta de corrente de um motor de indução utilizando redes de base radial

The present work describes the use of a mathematical tool to solve problems arising from control theory, including the identification, analysis of the phase portrait and stability, as well as the temporal evolution of the plant s current induction motor. The system identification is an area of mathematical modeling that has as its objective the study of techniques which can determine a dynamic model in representing a real system. The tool used in the identification and analysis of nonlinear dynamical system is the Radial Basis Function (RBF). The process or plant that is used has a mathematical model unknown, but belongs to a particular class that contains an internal dynamics that can be modeled.Will be presented as contributions to the analysis of asymptotic stability of the RBF. The identification using radial basis function is demonstrated through computer simulations from a real data set obtained from the plant

Efeitos da inclinação da esteira na marcha de crianças com síndrome de down

Background: Down syndrome (DS) is a genetic alteration characterized by being a nonprogressive congenital encephalopathy. Children with DS have hypotonia and developmental delays that interfere in the movement`s acquisition for these children. Objective: Analyze the effects of treadmill inclination on angle and spatiotemporal gait characteristics of these individuals. Methodology: We studied 23 subjects of both sexes, with ages ranged between 05 and 11 years, they presented ability to walk on level 5 classified according to the Functional Ambulation Category (FAC). Initially held a subjective evaluation of balance through a questionnaire (Berg Balance Scale-BBS) then the kinematic gait analysis was realized on a treadmill first, without inclination and then, with inclination of 10%, using the motion system analysis Qualisys System. Data analysis was done using BioStat 5.0 attributing significance level of 5%. Normality of data was verified using D'Agostino test and later was applied paired t-test to compare data in two experimental conditions. Results: There was a statistically significant difference in the spatiotemporal variables: reduction in the cadence (from 108.92 ± 39.07 to 99.11 ± 27.51, p <0.04), increase in cycle time (from 1.24 ± 0.27 to 1.36 ± 0.34, p = 0.03 ) and increase in time to take stock (from 0.77 ± 0.15 to 0.82 ± 0.18, p <0.001). Angular variables that showed statistically significant increasing were: the hip in the initial contact (12.23 ± 4.63 to 18.49 ± 5.17, p <0.0001) and max. flexion in balance (12.96±4:32 to 19.50 ± 4.51, p <0.0001 ), knee in the initial contact (15.59 to ± 6.71 to 21.63 ± 6.48, p <0.0001), the ankle in the initial contact (-2.79 ± 9.8 to 2.25 ± 8.79, p <0.0001), max dorsiflexion in stance (4.41 ± 10.07 to 7.13 ± 11.58, p <0.0009), maximum plantar flexion in the pre-assessment of the ankle joint (increase of -6.33 ± 8.77 to -2.69 ± 8.62, p <0.0004).Conclusions: The inclination acts in a positive way for angular and spatiotemporal features gait of children with Down syndrome, demonstrating possible benefit of using this surface in the gait rehabilitation of children with Down Syndrome

Equacões preditivas para as pressões respiratórias estáticas máximas de adolescentes brasileiros

Introduction: The reference values and prediction equations for maximal respiratory pressures (MRP) differ significantly between the available studies. This large discrepancy can be attributed to the different methodologies proposed. Although the importance of MRP is widely recognized, there are no Brazilian studies that provide predictive equations and reference values for PRM adolescents. Objectives: The purpose of this study was to provide normal values and propose predictive equations for maximal static respiratory pressures of Brazilian adolescents. Methods: An observational cross-sectional study, which evaluated 182 adolescents of both sexes aged between 12 and 18 years, enrolled in schools of the state and private in the city of Natal / RN. The selection of schools and participants of the study was randomly through a lottery system. The spirometric evaluation was performed through the digital spirometer One Flow FVC prior to the assessment of respiratory muscle strength. The MICs were measured with MVD digital manometer 300. Statistical analysis was performed using the SPSS 17.0 software STATISTICS, assigning the significance level of 5%. The normality of data distribution was verified using the Kolmogorov-Smirnov (KS). The descriptive analysis was expressed as mean and standard deviation. We used one-way ANOVA test to verify the difference of the averages of MRPs between age and gender and comparing the averages of MRPs between levels of physical activity. The test t'Student unpaired compared the averages of MRPs being ages and sexes. The comparison of mean values obtained in this study PRM with the values predicted using the equations mentioned above was relizada by testing paired t'Student. To verify the correlation between the PRM and the independent variables (age, weight, height) was used Pearson correlation test. Levene's test evaluated the homogeneity of variance. To obtain predictive equations analysis was used stepwise multiple linear regression. Results: There was no significant difference in mean age between the PRM. The male adolescents, regardless of age, showed superiority in MRP values when compared to the opposite sex. Weight, height and sex correlated with the PRM. Regression analysis suggested in this study, pointed out that the weight and sex had an influence in MIP and MEP only in relation to sex influenced. The mean for each PRM adolescents classified as very active were superior to those observed in adolescents classified as irregularly active. Conclusion: This study provides reference values and two models of predictive equations for maximal inspiratory and expiratory pressures, and to establish the lower limits of normality that will serve as an indispensable condition for careful evaluation of respiratory muscle strength in Brazilian adolescents