Improved score tests in symmetric linear regression models

The class of symmetric linear regression models has the normal linear regression model as a special case and includes several models that assume that the errors follow a symmetric distribution with longer-than-normal tails. An important member of this class is the t linear regression model, which is commonly used as an alternative to the usual normal regression model when the data contain extreme or outlying observations. In this article, we develop second-order asymptotic theory for score tests in this class of models. We obtain Bartlett-corrected score statistics for testing hypotheses on the regression and the dispersion parameters. The corrected statistics have chi-squared distributions with errors of order O(n(-3/2)), n being the sample size. The corrections represent an improvement over the corresponding original Rao`s score statistics, which are chi-squared distributed up to errors of order O(n(-1)). Simulation results show that the corrected score tests perform much better than their uncorrected counterparts in samples of small or moderate size.

Three Bartlett-type corrections for score statistics in symmetric nonlinear regression models

We present simple matrix formulae for corrected score statistics in symmetric nonlinear regression models. The corrected score statistics follow more closely a chi (2) distribution than the classical score statistic. Our simulation results indicate that the corrected score tests display smaller size distortions than the original score test. We also compare the sizes and the powers of the corrected score tests with bootstrap-based score tests.

Improved testing inference in mixed linear models

Mixed linear models are commonly used in repeated measures studies. They account for the dependence amongst observations obtained from the same experimental unit. Often, the number of observations is small, and it is thus important to use inference strategies that incorporate small sample corrections. In this paper, we develop modified versions of the likelihood ratio test for fixed effects inference in mixed linear models. In particular, we derive a Bartlett correction to such a test, and also to a test obtained from a modified profile likelihood function. Our results generalize those in [Zucker, D.M., Lieberman, O., Manor, O., 2000. Improved small sample inference in the mixed linear model: Bartlett correction and adjusted likelihood. Journal of the Royal Statistical Society B, 62,827-838] by allowing the parameter of interest to be vector-valued. Additionally, our Bartlett corrections allow for random effects nonlinear covariance matrix structure. We report simulation results which show that the proposed tests display superior finite sample behavior relative to the standard likelihood ratio test. An application is also presented and discussed. (C) 2008 Elsevier B.V. All rights reserved.

Bias-corrected estimators for dispersion models with dispersion covariates

In this paper we discuss bias-corrected estimators for the regression and the dispersion parameters in an extended class of dispersion models (Jorgensen, 1997b). This class extends the regular dispersion models by letting the dispersion parameter vary throughout the observations, and contains the dispersion models as particular case. General formulae for the O(n(-1)) bias are obtained explicitly in dispersion models with dispersion covariates, which generalize previous results obtained by Botter and Cordeiro (1998), Cordeiro and McCullagh (1991), Cordeiro and Vasconcellos (1999), and Paula (1992). The practical use of the formulae is that we can derive closed-form expressions for the O(n(-1)) biases of the maximum likelihood estimators of the regression and dispersion parameters when the information matrix has a closed-form. Various expressions for the O(n(-1)) biases are given for special models. The formulae have advantages for numerical purposes because they require only a supplementary weighted linear regression. We also compare these bias-corrected estimators with two different estimators which are also bias-free to order O(n(-1)) that are based on bootstrap methods. These estimators are compared by simulation. (C) 2011 Elsevier B.V. All rights reserved.

Birnbaum-Saunders nonlinear regression models

We introduce, for the first time, a new class of Birnbaum-Saunders nonlinear regression models potentially useful in lifetime data analysis. The class generalizes the regression model described by Rieck and Nedelman [Rieck, J.R., Nedelman, J.R., 1991. A log-linear model for the Birnbaum-Saunders distribution. Technometrics 33, 51-60]. We discuss maximum-likelihood estimation for the parameters of the model, and derive closed-form expressions for the second-order biases of these estimates. Our formulae are easily computed as ordinary linear regressions and are then used to define bias corrected maximum-likelihood estimates. Some simulation results show that the bias correction scheme yields nearly unbiased estimates without increasing the mean squared errors. Two empirical applications are analysed and discussed. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Short-term temporal changes of bare soil CO2 fluxes after tillage described by first-order decay models

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

Combinatorial identities and quantum state densities of supersymmetric sigma models on N-folds

There is a remarkable connection between the number of quantum states of conformal theories and the sequence of dimensions of Lie algebras. In this paper, we explore this connection by computing the asymptotic expansion of the elliptic genus and the microscopic entropy of black holes associated with (supersymmetric) sigma models. The new features of these results are the appearance of correct prefactors in the state density expansion and in the coefficient of the logarithmic correction to the entropy.

First-order decay models to describe soil C-CO2 Loss after rotary tillage

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

THE ALGEBRA OF NONLOCAL CHARGES IN NONLINEAR SIGMA-MODELS

We obtain the exact classical algebra obeyed by the conserved non-local charges in bosonic non-linear sigma models. Part of the computation is specialized for a symmetry group O(N). As it turns out the algebra corresponds to a cubic deformation of the Kac-Moody algebra. We generalize the results for the presence of a Wess-Zumino term. The algebra is very similar to the previous one, now containing a calculable correction of order one unit lower. The relation with Yangians and the role of the results in the context of Lie-Poisson algebras are also discussed.

Generating VRS data using atmospheric models: How far can we go?

Nowadays, with the expansion of the reference stations networks, several positioning techniques have been developed and/or improved. Among them, the VRS (Virtual Reference Station) concept has been very used. In this paper the goal is to generate VRS data in a modified technique. In the proposed methodology the DD (double difference) ambiguities are not computed. The network correction terms are obtained using only atmospheric (ionospheric and tropospheric) models. In order to carry out the experiments it was used data of five reference stations from the GPS Active Network of West of São Paulo State and an extra station. To evaluate the VRS data quality it was used three different strategies: PPP (Precise Point Positioning) and Relative Positioning in static and kinematic modes, and DGPS (Differential GPS). Furthermore, the VRS data were generated in the position of a real reference station. The results provided by the VRS data agree quite well with those of the real file data.

Effects of the Eccentricity of a Perturbing Third Body on the Orbital Correction Maneuvers of a Spacecraft

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Thermochemical equilibrium modeling of biomass downdraft gasifier: Stoichiometric models

The aim of this work is to develop stoichiometric equilibrium models that permit the study of parameters effect in the gasification process of a particular feedstock. In total four models were tested in order to determine the syngas composition. One of these four models, called M2, was based on the theoretical equilibrium constants modified by two correction factors determined using published experimental data. The other two models, M3 and M4 were based in correlations, while model M4 was based in correlations to determine the equilibrium constants, model M3 was based in correlations that relate the H-2, CO and CO2 content on the synthesis gas. Model M2 proved to be the more accurate and versatile among these four models, and also showed better results than some previously published models. Also a case study for the gasification of a blend of hardwood chips and glycerol at 80% and 20% respectively, was performed considering equivalence ratios form 0.3 to 0.5, moisture contents from 0%-20% and oxygen percentages in the gasification agent of 100%, 60% and 21%. (C) 2013 Elsevier Ltd. All rights reserved.

Three-dimensional dental arch changes of patients submitted to orthodontic-surgical treatment for correction of Class II malocclusion

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)