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.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

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.

An EPN-based method for web service composition

Web service composition can be facilitated by an automatic process which consists of rules, conditions and actions. This research has adapted ElementaryPetri Net (EPN) to analyze and model the web services and their composition. This paper describes a set of techniques for representing transition rules, algorithm and workflow that web service composition can be automatically carried out.

Development and validation of a qPCR-based method for quantifying Shiga toxin-encoding and other lambdoid bacteriophages

P>To address whether seasonal variability exists among Shiga toxin-encoding bacteriophage (Stx phage) numbers on a cattle farm, conventional plaque assay was performed on water samples collected over a 17 month period. Distinct seasonal variation in bacteriophage numbers was evident, peaking between June and August. Removal of cattle from the pasture precipitated a reduction in bacteriophage numbers, and during the winter months, no bacteriophage infecting Escherichia coli were detected, a surprising occurrence considering that 1031 tailed-bacteriophages are estimated to populate the globe. To address this discrepancy a culture-independent method based on quantitative PCR was developed. Primers targeting the Q gene and stx genes were designed that accurately and discriminately quantified artificial mixed lambdoid bacteriophage populations. Application of these primer sets to water samples possessing no detectable phages by plaque assay, demonstrated that the number of lambdoid bacteriophage ranged from 4.7 x 104 to 6.5 x 106 ml-1, with one in 103 free lambdoid bacteriophages carrying a Shiga toxin operon (stx). Specific molecular biological tools and discriminatory gene targets have enabled virus populations in the natural environment to be enumerated and similar strategies could replace existing propagation-dependent techniques, which grossly underestimate the abundance of viral entities.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

Quantitation of malondialdehyde in gingival crevicular fluid by a high-performance liquid chromatography-based method

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

Simulation-based ultrasound-guided central venous cannulation training program

PURPOSE: To propose a simulation-based ultrasound-guided central venous cannulation skills' training program, during residency.METHODS: This study describes the strategies for learning the ultrasound-guided central venous cannulation on low-fidelity bench models. The preparation of bench models, educational goals, processes of skill acquisition, feedback and evaluation methods were also outlined. The training program was based on key references to the subject.RESULTS: It was formulated a simulation-based ultrasound-guided central venous cannulation teaching program on low-fidelity bench models.CONCLUSION: A simulation-based inexpensive, low-stress, no-risk learning program on low-fidelity bench models was proposed to facilitate acquisition of ultrasound-guided central venous cannulation skills by residents-in-training before exposure to the living patient.

HPLC-DAD based method for the quantification of flavonoids in the hydroethanolic extract of Tonina fluviatilis Aubl. (Eriocaulaceae) and their radical scavenging activity

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