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.

Estudo das características físico-químicas e biológicas pela adesão de osteoblastos em superfícies de titânio modificadas pela nitretação em plasma

SILVA, J. S. P. Estudo das características físico-químicas e biológicas pela adesão de osteoblastos em superfícies de titânio modificadas pela nitretação em plasma. 2008. 119 f. Tese (Doutorado) - Faculdade de Medicina, Universidade de São Paulo. São Paulo, 2008.

Avaliação do potencial antiinflamatório, anticoagulante e hemorrágico de heparinóides presentes em "Artemia franciscana"

Heparan sulfate (HS) and Heparin (Hep) glycosaminoglycans (GAGs) are heterogeneous and highly charged polysaccharides. HS is structurally related to Hep but is much less substituted with sulfo groups than heparin and has a more varied structure (or sequence). Because of structural similiarities between these two polymers, they have been described together as heparinoids . Both chains bind a variety of proteins and mediate various physiologically important processes including, blood coagulation, cell adhesion and growth factor regulation. Heparinoids with structural characteristics similar to these described from HS and/or Hep from mammalian tissues have been isolated from different species of invertebrates, although only a few heparinoids from unusual sources have been characterized. The present study describes the presence of unusual heparinoids population from Artemia franciscana, isolated after proteolysis and fractionation by ion exchange resin and named, F-3.0M. The study model in vivo were hemostasis (rat tail scarification) and inflamatoty activity. The tests in vitro were used for coagulations assays (PT and APTT). The analyse of the heparinoids eluted with 3,0M NaCl showed electrophoretic migration in different buffer systems a single band with a behaviour intermediate between those of mammalian HEP and HS. The main products obtained from Artemia heparinoids after enzymatic degradation with heparitinases I and II from F. heparinum were N-sulphated disaccharides (∆U-GlcNS,6S/ ∆U,2S-GlcNS and ∆U-GlcNS) and N-acetylated disaccharides (∆U, GlcNAc). This heparinoid had a lower hemorrhagic effect (400μg/ml) when compared to unfractiionated heparins(25μg/ml).The results also suggest a negligible APTT activity of this heparinoid (62.2s). No action was observed on PT indicating that F-3.0M haven t action on the extrinsic pathway. The results showed that the fraction F- 3.0M have inhibitory effect on migration of leukocytes, 64.5% in the concentration of 10 μg/ml (P<0.001). The search for new heparin and/or heparan sulphates analogs devoid of anticoagulant activity is an atractive alternative and may open up a wide variety of new therapeutic applications

Avaliação de concretos reforçados por confinamento com manta de fibra de vidro estrutural e pré-impreganada

Due to the occurrence of diseases in the use of structural reinforcements in composites, with presentation of concrete blanket detachment, has been identified the need to evaluate the performance of concrete reinforced with glass fiber. This study aims to evaluate these concretes by means of testing methodologies, using concrete with low resistance with structural reinforcement for confinement by preimpregnated glass fiber and traditional fiberglass blanket. The first stage of work was the development of methodologies for analysis, opting for four types, such as the acoustic survey, strength to compressive, the pull-off and ultrasound. Next, tests were carried out using the four selected methodologies in 30 of proof-of-specimens by 5x10 cm, 15 were reinforced with the traditional fiberglass blanket with 5specimens exposed to test a marine environment of marine coastline of Natal-RN and 15 were reinforced with a pre-impregnated glass fiber blanket, as well as 5specimens exposed to a test environment of the marine coastline of Natal-RN. After conducting the acoustic survey, it has been verified a lack of delaminating and air bubbles in the samples, confirming the absence of gross shortcomings in the implementation of the ribs both the traditional fiberglass blanket and in the preimpregnated fiber glass blanket. After carrying out methods of pull-off and compressive strengthening test it was observed that the reinforced proof-bodies with pre-impregnated glass blanket showed maximum stresses higher than the traditional fiberglass blanket; consequently a greater grip with the formation of a smaller area of . fracture, unlike traditional glass mat, which showed lower maximum stresses, with a greater area of fracture. It was also found that the traditional fiberglass blanket presented detachment of blanket-concrete interface, unlike the pre-impregnated fiberglass blanket, which showed a better grip on the blanket-concrete interface. In the trial of ultrasound there was no presence of cracks in the blanket-concrete interface, yielding to both blankets good compactness of the concrete. At the end of this work, they were developed and proposed two methods of testing for evaluation of reinforced concrete structures with composites, for standardization, the acoustic survey and pull-off

Efeito da adição do poli(etileno acrilato de metila) (ema) e da fibra de linter de algodão nas propriedades do poli(tereftalato de etileno) reciclado (petrec)

The development of new materials to fill the demand of technological advances is a challenge for many researchers around the world. Strategies such as making blends and composites are promising alternatives to produce materials with different properties from those found in conventional polymers. The objective of this study is to evaluate the effect of adding the copolymer poly(ethylene methyl acrylate) (EMA) and cotton linter fibers (LB) on the properties of recycled poly(ethylene terephthalate) (PETrec) by the development of PETrec/EMA blend and PETrec/EMA/LB blend composite. In order to improve the properties of these materials were added as compatibilizers: Ethylene - methyl acrylate - glycidyl methacrylate terpolymer (EMA-GMA) and maleic anhydride grafted polyethylene (PE-g-MA). The samples were produced using a single screw extruder and then injection molded. The obtained materials were characterized by thermogravimetry (TG), melt flow index (MFI) mensurements, torque rheometry, pycnometry to determinate the density, tensile testing and scanning electron microscopy (SEM). The rheological results showed that the addition of the EMA copolymer increased the viscosity of the blend and LB reduces the viscosity of the blend composite. SEM analysis of the binary blend showed poor interfacial adhesion between the PETrec matrix and the EMA dispersed phase, as well as the blend composite of PETrec/EMA/LB also observed low adhesion with the LB fiber. The tensile tests showed that the increase of EMA percentage decreased the tensile strength and the Young s modulus, also lower EMA percentage samples had increased the elongation at break. The blend composite showed an increase in the tensile strength and in the Young`s modulus, and a decrease in the elongation at break. The blend formulations with lower EMA percentages showed better mechanical properties that agree with the particle size analysis which showed that these formulations presented a smaller diameter of the dispersed phase. The blend composite mechanical tests showed that this material is stronger and stiffer than the blend PETrec/EMA, whose properties have been reduced due to the presence of EMA rubbery phase. The use of EMA-GMA was effective in reducing the particle size of the EMA dispersed phase in the PETrec/EMA blend and PE-g-MA showed evidences of reaction with LB and physical mixture with the EMA

Adesão, proliferação e genotoxicidade celular de celulose bacteriana modificada por plasma

Bacterial cellulose (BC) has a wide range of potential applications, namely as temporary substitute skin in the treatment of skin wounds, such as burns, ulcers and grafts. Surface properties determine the functional response of cells, an important factor for the successful development of biomaterials. This work evaluates the influence of bacterial cellulose surface treatment by plasma (BCP) on the cellular behavior and its genotoxicity potential. The modified surface was produced by plasma discharge in N2 and O2 atmosphere, and the roughness produced by ion bombardment characterized by scanning electron microscopy (SEM) and atomic force microscopy (AFM). Cell adhesion, viability and proliferation on BCP were analysed using crystal violet staining and the 3-[4,5-dimethylthiazol-2-yl]-2,5-diphenyl-tetrazolium (MTT) method. Genotoxicity was evaluated using the comet and cytokinesis block micronucleus assay. The results show that the plasma treatment changed surface roughness, producing an ideal cell attachment, evidenced by more elongated cell morphology and improved proliferation. The excellent biocompatibility of BCP was confirmed by genotoxicity tests, which showed no significant DNA damage. The BCP has therefore great potential as a new artificial implant

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)

A kinetic model for Xylella fastidiosa adhesion, biofilm formation, and virulence

Xylella fastidiosa is the causal agent of citrus variegated chlorosis and Pierce's disease which are the major threat to the citrus and wine industries. The most accepted hypothesis for Xf diseases affirms that it is a vascular occlusion caused by bacterial biofilm, embedded in an extracellular translucent matrix that was deduced to be the exopolysaccharide fastidian. Fourier transform infrared spectroscopy analysis demonstrated that virulent cells which form biofilm on glass have low fastidian content similar to the weak virulent ones. This indicates that high amounts of fastidian are not necessary for adhesion. In this paper we propose a kinetic model for X fastidiosa adhesion, biofilm formation, and virulence based on electrostatic attraction between bacterial surface proteins and xylem walls. Fastidian is involved in final biofilm formation and cation sequestration in dilute sap. (C) 2004 Federation of European Microbiological Societies. Published by Elsevier B.V. All rights reserved.