Deviance residuals in generalised log-gamma regression models with censored observations

In this article, we compare three residuals based on the deviance component in generalised log-gamma regression models with censored observations. For different parameter settings, sample sizes and censoring percentages, various simulation studies are performed and the empirical distribution of each residual is displayed and compared with the standard normal distribution. For all cases studied, the empirical distributions of the proposed residuals are in general symmetric around zero, but only a martingale-type residual presented negligible kurtosis for the majority of the cases studied. These studies suggest that the residual analysis usually performed in normal linear regression models can be straightforwardly extended for the martingale-type residual in generalised log-gamma regression models with censored data. A lifetime data set is analysed under log-gamma regression models and a model checking based on the martingale-type residual is performed.

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.

A note on influence diagnostics in nonlinear mixed-effects elliptical models

This paper provides general matrix formulas for computing the score function, the (expected and observed) Fisher information and the A matrices (required for the assessment of local influence) for a quite general model which includes the one proposed by Russo et al. (2009). Additionally, we also present an expression for the generalized leverage on fixed and random effects. The matrix formulation has notational advantages, since despite the complexity of the postulated model, all general formulas are compact, clear and have nice forms. (C) 2010 Elsevier B.V. All rights reserved.

Reduction of Models in the Presence of Nuisance Parameters

In many statistical inference problems, there is interest in estimation of only some elements of the parameter vector that defines the adopted model. In general, such elements are associated to measures of location and the additional terms, known as nuisance parameters, to control the dispersion and asymmetry of the underlying distributions. To estimate all the parameters of the model and to draw inferences only on the parameters of interest. Depending on the adopted model, this procedure can be both algebraically is common and computationally very costly and thus it is convenient to reduce it, so that it depends only on the parameters of interest. This article reviews estimation methods in the presence of nuisance parameters and consider some applications in models recently discussed in the literature.

Do Different Models of Integration Affect Actual Integration? The Cases of France and Great Britain Revisited

Britain and France adapted two different integration models, namely assimilationist and multiculturalism to integrate their immigrants. These two big models of integration have distinctive characteristics to integrate immigrants. There is a general claim that multiculturalism model is the best for integrating immigrants in terms of actual integration, however, some argue the opposite, that French assimilationist model is ‘better off.’ This study examines these controversial claims by looking at the level to which immigrants are integrated in economic, social, political, cultural dimensions of integration and attitudes towards immigrants in Britain and France. Within a given theoretical framework, this study compares the overall competency level of immigrants’ integration in terms of actual integration between British multiculturalism model and French assimilationist model and validate that both these two big models of integration have reached a comparable level of integration and they do not have any decisive impact on actual integration.

The Dynamics of The Firm : In Search for a General Model

This paper describe a model from system theory that can be used as a base for better understanding of different situations in the firms evolution. This change model is derived from the theory of organic systems and divides the evolution of the system into higher complexity of the system structure in three distinctive phases. These phases are a formative phase, a normative phase and an integrative phase. After a summary of different types of models of the dynamics of the firm the paper makes a theoretical presentation of the model and how this model is adaptable for better understanding of the need for change in strategic orientation, organization form and leadership style over time.

Factors associated with evidence-based practice among registered nurses in Sweden : a national cross-sectional study

Background: Evidence-based practice (EBP) is emphasized to increase the quality of care and patient safety. EBP is often described as a process consisting of distinct activities including, formulating questions, searching for information, compiling the appraised information, implementing evidence, and evaluating the resulting practice. To increase registered nurses' (RNs') practice of EBP, variables associated with such activities need to be explored. The aim of the study was to examine individual and organizational factors associated with EBP activities among RNs 2 years post graduation. Methods: A cross-sectional design based on a national sample of RNs was used. Data were collected in 2007 from a cohort of RNs, included in the Swedish Longitudinal Analyses of Nursing Education/Employment study. The sample consisted of 1256 RNs (response rate 76%). Of these 987 RNs worked in healthcare at the time of the data collection. Data was self-reported and collected through annual postal surveys. EBP activities were measured using six single items along with instruments measuring individual and work-related variables. Data were analyzed using logistic regression models. Results: Associated factors were identified for all six EBP activities. Capability beliefs regarding EBP was a significant factor for all six activities (OR = 2.6 - 7.3). Working in the care of older people was associated with a high extent of practicing four activities (OR = 1.7 - 2.2). Supportive leadership and high collective efficacy were associated with practicing three activities (OR = 1.4 - 2.0). Conclusions: To be successful in enhancing EBP among newly graduated RNs, strategies need to incorporate both individually and organizationally directed factors.

Inflammation, oxidative stress, glomerular filtration rate, and albuminuria in elderly men : a cross-sectional study

BACKGROUND: The role of inflammation and oxidative stress in mild renal impairment in the elderly is not well studied. Accordingly, we aimed at investigating the associations between estimated glomerular filtration rate (eGFR), albumin/creatinine ratio (ACR), and markers of different inflammatory pathways and oxidative stress in a community based cohort of elderly men. FINDINGS: Cystatin C-based GFR, ACR, and biomarkers of cytokine-mediated inflammation (interleukin-6, high-sensitivity C-reactive protein[CRP], serum amyloid A[SAA]), cyclooxygenase-mediated inflammation (urinary prostaglandin F2alpha [PGF2alpha]), and oxidative stress (urinary F2 isoprostanes) were assessed in the Uppsala Longitudinal Study of Adult Men(n = 647, mean age 77 years). RESULTS: In linear regression models adjusting for age, BMI, smoking, blood pressure, LDL-cholesterol, HDL-cholesterol, triglycerides, and treatment with statins, ACE-inhibitors, ASA, and anti-inflammatory agents, eGFR was inversely associated with CRP, interleukin-6, and SAA (beta-coefficient -0.13 to -0.19, p < 0.001 for all), and positively associated with urinary F2-isoprostanes (beta-coefficient 0.09, p = 0.02). In line with this, ACR was positively associated with CRP, interleukin-6, and SAA (beta- coefficient 0.09-0.12, p < 0.02 for all), and negatively associated with urinary F2-isoprostanes (beta-coefficient -0.12, p = 0.002). The associations were similar but with lower regression coefficients in a sub-sample with normal eGFR (>60 ml/min/1.73 m2, n = 514), with the exception that F2-isoprostane and SAA were no longer associated with eGFR. CONCLUSION: Our data indicate that cytokine-mediated inflammation is involved in the early stages of impaired kidney function in the elderly, but that cyclooxygenase-mediated inflammation does not play a role at this stage. The unexpected association between higher eGFR/lower albuminuria and increased F2-isoprostanes in urine merits further studies.

The Capm and Fama-French models in Brazil: a comparative study

This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.

Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data

Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts.

Optimal auction with a general distribution: virtual valuation without densities

We characterize the optimal auction in an independent private values framework for a completely general distribution of valuations. We do this introducing a new concept: the generalized virtual valuation. To show the wider applicability of this concept we present two examples showing how to extend the classical models of Mussa and Rosen and Baron and Myerson for arbitrary distributions

Essays on the general equilibrium effects of barriers to trade on economic growth, foreign trade and the location of economic activity in Brazil

This work presents a fully operational interstate CGE model implemented for the Brazilian economy that tries to quantify both the role of barriers to trade on economic growth and foreign trade performance and how the distribution of the economic activity may change as the country opens up to foreign trade. Among the distinctive features embedded in the model, modeling of external scale economies, port efficiency and land-maritime transport costs provides an innovative way of dealing explicitly with theoretical issues related to integrated regional systems. In order to illustrate the role played by the quality of infrastructure and geography on the country‟s foreign and interregional trade performance, a set of simulations is presented where barriers to trade are significantly reduced. The relative importance of trade policy, port efficiency and land-maritime transport costs for the country trade relations and regional growth is then detailed and quantified, considering both short run as well as long run scenarios. A final set of simulations shed some light on the effects of liberal trade policies on regional inequality, where the manufacturing sector in the state of São Paulo, taken as the core of industrial activity in the country, is subjected to different levels of external economies of scale. Short-run core-periphery effects are then traced out suggesting the prevalence of agglomeration forces over diversion forces could rather exacerbate regional inequality as import barriers are removed up to a certain level. Further removals can reverse this balance in favor of diversion forces, implying de-concentration of economic activity. In the long run, factor mobility allows a better characterization of the balance between agglomeration and diversion forces among regions. Regional dispersion effects are then clearly traced-out, suggesting horizontal liberal trade policies to benefit both the poorest regions in the country as well as the state of São Paulo. This long run dispersion pattern, on one hand seems to unravel the fragility of simple theoretical results from recent New Economic Geography models, once they get confronted with more complex spatially heterogeneous (real) systems. On the other hand, it seems to capture the literature‟s main insight: the possible role of horizontal liberal trade policies as diversion forces leading to a more homogeneous pattern of interregional economic growth.

Multiple structural change models:a simulation analysis

In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting distriblltion of estimators and test. statist.ics in the linear model \\'ith multiplc struct ural changes. \Ve assess. via simulations, the adequacy of the \'arious I1Iethods suggested. These CO\'er the size and power of tests for structural changes. the cO\'erage rates of the confidence Íntervals for the break dates and the relat.Í\'e merits of methods to select the I1umber of breaks. The \'arious data generating processes considered alIo,,' for general conditions OIl the data and the errors including differellces across segmcll(s. Yarious practical recommendations are made.

Bailey's measure of the welfare costs of infiation as a general-equilibrium measure

Lucas (2000) has ShO\nl t hat Baile,\"'s formula for t hc \\'elfare costs of inflatioIl caIl bc rcgardpd as an approximation to t hc gcneral-equilibriuIll IllCaSllH'S \\"hich emerge from thc Sidrauski anrl the shopping-time models, In this paper \\'c shm\' that Baile~"s mcaSllrc can bc cxactly obtairlf'd in tllf' Siclrauski geIleral-equilibri1lIn framp\\'ork under the assUIllption of quasilinpar prefpreIlC'cs, The rpslllt. based on ",heter or not \\'Palt h pffpcts are incorporatccl into t hp analysis, is also helpful in darif\'ing \\'hy Lucas' Illeasurp clerin'd from the Siclrauski model turns 01lt to be aIl upper bOllIlcl to Bailp~"s, T,,'o eXaInplcs arp used to illustratc t he main C'ondusions,