Nonparametric entropy-based tests of independence between stochastic processes

This paper develops nonparametric tests of independence between two stationary stochastic processes. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary densities. For that purpose, I take advantage of a generalized entropic measure so as to build a class of nonparametric tests of independence. Asymptotic normality and local power are derived using the functional delta method for kernels, whereas finite sample properties are investigated through Monte Carlo simulations.

Wald tests for IV regression with weak instruments

This dissertation deals with the problem of making inference when there is weak identification in models of instrumental variables regression. More specifically we are interested in one-sided hypothesis testing for the coefficient of the endogenous variable when the instruments are weak. The focus is on the conditional tests based on likelihood ratio, score and Wald statistics. Theoretical and numerical work shows that the conditional t-test based on the two-stage least square (2SLS) estimator performs well even when instruments are weakly correlated with the endogenous variable. The conditional approach correct uniformly its size and when the population F-statistic is as small as two, its power is near the power envelopes for similar and non-similar tests. This finding is surprising considering the bad performance of the two-sided conditional t-tests found in Andrews, Moreira and Stock (2007). Given this counter intuitive result, we propose novel two-sided t-tests which are approximately unbiased and can perform as well as the conditional likelihood ratio (CLR) test of Moreira (2003).

Contributions to the Theory of Optimal Tests

This paper considers tests which maximize the weighted average power (WAP). The focus is on determining WAP tests subject to an uncountable number of equalities and/or inequalities. The unifying theory allows us to obtain tests with correct size, similar tests, and unbiased tests, among others. A WAP test may be randomized and its characterization is not always possible. We show how to approximate the power of the optimal test by sequences of nonrandomized tests. Two alternative approximations are considered. The rst approach considers a sequence of similar tests for an increasing number of boundary conditions. This discretization allows us to implement the WAP tests in practice. The second method nds a sequence of tests which approximate the WAP test uniformly. This approximation allows us to show that WAP similar tests are admissible. The theoretical framework is readily applicable to several econometric models, including the important class of the curved-exponential family. In this paper, we consider the instrumental variable model with heteroskedastic and autocorrelated errors (HAC-IV) and the nearly integrated regressor model. In both models, we nd WAP similar and (locally) unbiased tests which dominate other available tests.

Non- parametric specification tests for conditional duration models

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange.

Multivariate unit root tests

A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions, for the case oftwo series, are obtained and a table with criticai vaIues is generated. Some simulations indivate that the procedure performs better than the existing alternatives.

Strategic manipulation of empirical tests

Theories can be produced by individuals seeking a good reputation of knowledge. Hence, a significant question is how to test theories anticipating that they might have been produced by (potentially uninformed) experts who prefer their theories not to be rejected. If a theory that predicts exactly like the data generating process is not rejected with high probability then the test is said to not reject the truth. On the other hand, if a false expert, with no knowledge over the data generating process, can strategically select theories that will not be rejected then the test can be ignorantly passed. These tests have limited use because they cannot feasibly dismiss completely uninformed experts. Many tests proposed in the literature (e.g., calibration tests) can be ignorantly passed. Dekel and Feinberg (2006) introduced a class of tests that seemingly have some power of dismissing uninformed experts. We show that some tests from their class can also be ignorantly passed. One of those tests, however, does not reject the truth and cannot be ignorantly passed. Thus, this empirical test can dismiss false experts.We also show that a false reputation of knowledge can be strategically sustained for an arbitrary, but given, number of periods, no matted which test is used (provided that it does not reject the truth). However, false experts can be discredited, even with bounded data sets, if the domain of permissible theories is mildly restricted.

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We introduce two weights which are invariant to orthogonal transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be severely biased, optimal tests based on the MM2 weight are naturally two-sided when errors are homoskedastic. We propose two boundary conditions that yield two-sided tests whether errors are homoskedastic or not. The locally unbiased (LU) condition is related to the power around the null hypothesis and is a weaker requirement than unbiasedness. The strongly unbiased (SU) condition is more restrictive than LU, but the associated WAP tests are easier to implement. Several tests are SU in nite samples or asymptotically, including tests robust to weak IV (such as the Anderson-Rubin, score, conditional quasi-likelihood ratio, and I. Andrews' (2015) PI-CLC tests) and two-sided tests which are optimal when the sample size is large and instruments are strong. We refer to the WAP-SU tests based on our weights as MM1-SU and MM2-SU tests. Dropping the restrictive assumptions of normality and known variance, the theory is shown to remain valid at the cost of asymptotic approximations. The MM2-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Minimizing inter-genotypic competition effects to predict genetic values and selection in forestry genetic tests

The effect of competition is an important source of variation in breeding experiments. This study aimed to compare the selection of plants of open-pollinated families of Eucalyptus with and without the use of competition covariables. Genetic values were determined for each family and tree and for the traits height, diameter at breast height and timber volume in a randomized block design, resulting in the variance components, genetic parameters, selection gains, effective size and selection coincidence, with and without the use of covariables. Intergenotypic competition is an important factor of environmental variation. The use of competition covariables generally reduces the estimates of variance components and influences genetic gains in the studied traits. Intergenotypic competition biases the selection of open-pollinated eucalypt progenies, and can result in an erroneous choice of superior genotypes; the inclusion of covariables in the model reduces this influence.

The intravenous glucose tolerance and postprandial glucose tests may present different responses in the evaluation of obese dogs

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

Adult attractiveness and oviposition preference of Bemisia tabaci (Genn.) (Homoptera: Aleyrodidae) B-biotype in cotton genotypes

Considerada importante praga do algodoeiro, a mosca-branca Bemisia tabaci biótipo B pode através de sua alimentação, diminuir o vigor das plantas, trasmitir vírus e prejudicar a qualidade da fibra. Visando avaliar a resistência de genótipos de algodoeiro, Gossypium hirsutum (L.), à mosca-branca Bemisia tabaci biótipo B, realizaram-se testes de atratividade e não-preferência para oviposição, com e sem chance de escolha, em telado, a temperatura ambiente. Verificou-se baixa atratividade das plantas dos genótipos Fabrika, CNPA Ita 90, Makina, Coodetec 407 e IAC 01-639 CPA 02-24 a adultos dessa mosca-branca, o que pode representar um componente de resistência destes materiais genéticos ao inseto. Os genótipos BRS Aroeira, Coodetec 406, Fabrika e Coodetec 401 apresentaram resistência do tipo não-preferência para oviposição, nos testes com e sem chance de escolha. Os números de tricomas e de glândulas de gossipol por cm² não foram adequados para se avaliar a não-preferência para oviposição de adultos da mosca-branca em genótipos de algodoeiro.

Accelerated ageing and controlled deterioration in beetroot seeds

It is fundamentally important that adequate tests are used to evaluate the physiological quality of produced and commercialized seeds. The objective of this work was to study accelerated ageing and controlled deterioration to evaluate seed vigour in beetroot, seeking to associate these results with seedling emergence in the field. Consequently, five seed lots of Top Tall Early Wonder cultivar were submitted to the tests of germination, seedling emergence in the field, accelerated ageing (using periods of 24, 48 and 72 hours at 42 degrees C) and controlled deterioration (seeds with moisture contents of 22, 24 and 26% at 41 degrees C and 45 degrees C for 12, 24 and 36 hours). Combinations of 72h at 42 degrees C for the accelerated ageing test and 45 degrees C with 24% moisture content for 24h for the controlled deterioration test were sensitive enough to evaluate the physiological potential of beetroot seeds, providing information that was compatible with results of the seedling emergence in the field.

Electrical conductivity and mineral composition of the imbibition solution of bean seeds during storage

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

Potencial fisiológico de sementes de mutambo (Guazuma ulmifolia Lam.) em diferentes procedências

The work had as objective to evaluate the provenances of seeds to verify the efficiency of different tests of vigor for identification of the physiological potential in four lots of seeds of mutamba (Guazuma ulmifolia Lam.). The study it was developed in the Laboratory of Analysis of Seeds and in the Experimental Fishery of Ornamental and Forest Plants - UNESP, Jaboticabal, SP. Four lots of seeds proceeding from three São Paulo localities had been used: lots I and II, collected in the city of Jaboticabal in 2000 and 2001, respectively, lot III: collected in Saint Rita do Passo Quatro and it crowds IV: collected in Luiz Antonio, both in 2001. The seeds used in all the tests had been escarificadas with sulfuric acid during 50 minutes, and washed in current water during 15 minutes. They had been evaluated: seed moisture, test of germination, test of first counting, index of germination speed, emergency in fishery, index of emergency speed. The seeds moisture of the seeds in the different lots had presented small variations (9,2 10.0%). Statistical differences for the germination percentage, emergency in fishery and index of speed of emergency in the different studied lots had not been verified. The tests of first counting and index of germination speed had revealed adequate for evaluation of the physiological potential of the lots. The seeds of lot III proceeding from the city of Santa Rita do Passo Quatro, had presented superior physiological potential to the too much studied lots.

Procedimento para condução do teste de envelhecimento acelerado em sementes de algodão

The evaluation of the effect of seed has been fundamental tool in the program of quality control, and the accelerated aging test, an important part of that process. Some authors report that the germination and vigor are associated with seed size and facing the lack of consensus for the use of this test methodology and the relationship of seed size on the physiological quality, this work aimed to adapt the existing methodology as the temperature and period of conditioning on the performance of two sizes of seed cotton. The seeds were classified into two meshes of sieves, and then subjected to tests of water content, germination and electrical conductivity. The experimental design was completely randomized, analyzed statistically in a factorial threefold. Seeds of different sizes, showed no difference in percentage of germination. Seeds subjected to 40 degrees C for 42h of conditioning showed better percentage of germination.