Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends

This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

ICT Interventions for Schoolgirls Do Matter! Understanding the Factors Influencing ICT Career Intentions through Partial Least Squares Analysis.

Intervention programs aimed at promoting study and work opportunities in the Information and Communications Technology (ICT) field to schoolgirls (Interventions) have been encouraged to combat a decline in the interest among girls to study ICT at school. The goal of our study is to investigate the influence of Interventions on schoolgirls’ intentions to choose a career in the ICT field by analysing the  comprehensive survey data (n = 3577), collected during four interventions in Australia, using the Partial Least Squares method. Our study is also aimed at identifying other factors influencing ICT career intentions. We found that the attitude towards interventions has an indirect influence on ICT career intentions by affecting interest in ICT. Our results also challenge several existing theoretical studies by showing that factors that had previously been suggested as influencers were found to have little or no impact in this study, these being same-sex education and computer usage.

Least squares learning and the US Treasury bill rate

Understanding how agents formulate their expectations about Fed behavior is important for market participants because they can potentially use this information to make more accurate estimates of stock and bond prices. Although it is commonly assumed that agents learn over time, there is scant empirical evidence in support of this assumption. Thus, in this paper we test if the forecast of the three month T-bill rate in the Survey of Professional Forecasters (SPF) is consistent with least squares learning when there are discrete shifts in monetary policy. We first derive the mean, variance and autocovariances of the forecast errors from a recursive least squares learning algorithm when there are breaks in the structure of the model. We then apply the Bai and Perron (1998) test for structural change to a forecasting model for the three month T-bill rate in order to identify changes in monetary policy. Having identified the policy regimes, we then estimate the implied biases in the interest rate forecasts within each regime. We find that when the forecast errors from the SPF are corrected for the biases due to shifts in policy, the forecasts are consistent with least squares learning. © 2014 Elsevier B.V.

A primer on phylogenetic generalised least squares

Phylogenetic generalised least squares (PGLS) is one of the most commonly employed phylogenetic comparative methods. The technique, a modification of generalised least squares, uses knowledge of phylogenetic relationships to produce an estimate of expected covariance in cross-species data. Closely related species are assumed to have more similar traits because of their shared ancestry and hence produce more similar residuals from the least squares regression line. By taking into account the expected covariance structure of these residuals, modified slope and intercept estimates are generated that can account for interspecific autocorrelation due to phylogeny. Here, we provide a basic conceptual background to PGLS, for those unfamiliar with the approach. We describe the requirements for a PGLS analysis and highlight the packages that can be used to implement the method. We show how phylogeny is used to calculate the expected covariance structure in the data and how this is applied to the generalised least squares regression equation. We demonstrate how PGLS can incorporate information about phylogenetic signal, the extent to which closely related species truly are similar, and how it controls for this signal appropriately, thereby negating concerns about unnecessarily ‘correcting’ for phylogeny. In addition to discussing the appropriate way to present the results of PGLS analyses, we highlight some common misconceptions about the approach and commonly encountered problems with the method. These include misunderstandings about what phylogenetic signal refers to in the context of PGLS (residuals errors, not the traits themselves), and issues associated with unknown or uncertain phylogeny.

Corrigendum to “Least squares learning and the US treasury bill rate” [Econ. Syst. 38 (2014) 194–204]

Understanding how agents formulate their expectations about Fed behavior is important for market participants because they can potentially use this information to make more accurate estimates of stock and bond prices. Although it is commonly assumed that agents learn over time, there is scant empirical evidence in support of this assumption. Thus, in this paper we test if the forecast of the three month T-bill rate in the Survey of Professional Forecasters (SPF) is consistent with least squares learning when there are discrete shifts in monetary policy. We first derive the mean, variance and autocovariances of the forecast errors from a recursive least squares learning algorithm when there are breaks in the structure of the model. We then apply the Bai and Perron (1998) test for structural change to a forecasting model for the three month T-bill rate in order to identify changes in monetary policy. Having identified the policy regimes, we then estimate the implied biases in the interest rate forecasts within each regime. We find that when the forecast errors from the SPF are corrected for the biases due to shifts in policy, the forecasts are consistent with least squares learning.

Auction econometrics by least squares

This paper proposes a method to structurally estimate an auction model using a variation of OLS, under commonly held assumptions in both auction theory and econometrics. In spite of its computational simplicity, the method applies to a wide variety of environments, including interdependent values in general, and certain forms of endogenous participation and bidder asymmetry. Furthermore, it can be used for hypotheses testing about the shape of the valuation distribution, valuation interdependence, or existence of bidder asymmetry.

Fast sequential multi-element determination of Ca, Mg, K, Cu, Fe, Mn and Zn for foliar diagnosis using high-resolution continuum source flame atomic absorption spectrometry: Feasibility of secondary lines, side pixel registration and least-squares background correction

The fast sequential multi-element determination of Ca, Mg, K, Cu, Fe, Mn and Zn in plant tissues by high-resolution continuum source flame atomic absorption spectrometry is proposed. For this, the main lines for Cu (324.754 nm), Fe (248.327 nm), Mn (279.482 nm) and Zn (213.857 nm) were selected, and the secondary lines for Ca (239.856 nm), Mg (202.582 nm) and K (404.414 nm) were evaluated. The side pixel registration approach was studied to reduce sensitivity and extend the linear working range for Mg by measuring at wings (202.576 nm; 202.577 nm; 202.578 nm; 202.580 nm: 202.585 nm; 202.586 nm: 202.587 nm; 202.588 nm) of the secondary line. The interference caused by NO bands on Zn at 213.857 nm was removed using the least-squares background correction. Using the main lines for Cu, Fe, Mn and Zn, secondary lines for Ca and K, and line wing at 202.588 nm for Mg, and 5 mL min(-1) sample flow-rate, calibration curves in the 0.1-0.5 mg L-1 Cu, 0.5-4.0 mg L-1 Fe, 0.5-4.0 mg L-1 Mn, 0.2-1.0 mg L-1 Zn, 10.0-100.0 mg L-1 Ca, 5.0-40.0 mg L-1 Mg and 50.0-250.0 mg L-1 K ranges were consistently obtained. Accuracy and precision were evaluated after analysis of five plant standard reference materials. Results were in agreement at a 95% confidence level (paired t-test) with certified values. The proposed method was applied to digests of sugar-cane leaves and results were close to those obtained by line-source flame atomic absorption spectrometry. Recoveries of Ca, Mg, K, Cu, Fe, Mn and Zn in the 89-103%, 84-107%, 87-103%, 85-105%, 92-106%, 91-114%, 96-114% intervals, respectively, were obtained. The limits of detection were 0.6 mg L-1 Ca, 0.4 mg L-1 Mg, 0.4 mg L-1 K, 7.7 mu g L-1 Cu, 7.7 mu g L-1 Fe, 1.5 mu g L-1 Mn and 5.9 mu g L-1 Zn. (C) 2009 Elsevier B.V. All rights reserved.

Internal standardization and least-squares background correction in high-resolution continuum source flame atomic absorption spectrometry to eliminate interferences on determination of Pb in phosphoric acid

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

Carbon Nuclear Magnetic Resonance Spectroscopic Profiles coupled to Partial Least-Squares Multivariate Regression for Prediction of Several Physicochemical Parameters of Brazilian Commercial Gasoline

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A partial least squares and principal component regression study of quinone compounds with trypanocidal activity

A quantitative structure-activity relationship (QSAR) study of 19 quinone compounds with trypanocidal activity was performed by Partial Least Squares (PLS) and Principal Component Regression (PCR) methods with the use of leave-one-out crossvalidation procedure to build the regression models. The trypanocidal activity of the compounds is related to their first cathodic potential (Ep(c1)). The regression PLS and PCR models built in this study were also used to predict the Ep(c1) of six new quinone compounds. The PLS model was built with three principal components that described 96.50% of the total variance and present Q(2) = 0.83 and R-2 = 0.90. The results obtained with the PCR model were similar to those obtained with the PLS model. The PCR model was also built with three principal components that described 96.67% of the total variance with Q(2) = 0.83 and R-2 = 0.90. The most important descriptors for our PLS and PCR models were HOMO-1 (energy of the molecular orbital below HOMO), Q4 (atomic charge at position 4), MAXDN (maximal electrotopological negative difference), and HYF (hydrophilicity index).

Simple orbit determination using GPS based on a least-squares algorithm employing sequential givens rotations

A low-cost computer procedure to determine the orbit of an artificial satellite by using short arc data from an onboard GPS receiver is proposed. Pseudoranges are used as measurements to estimate the orbit via recursive least squares method. The algorithm applies orthogonal Givens rotations for solving recursive and sequential orbit determination problems. To assess the procedure, it was applied to the TOPEX/POSEIDON satellite for data batches of one orbital period (approximately two hours), and force modelling, due to the full JGM-2 gravity field model, was considered. When compared with the reference Precision Orbit Ephemeris (POE) of JPL/NASA, the results have indicated that precision better than 9 m is easily obtained, even when short batches of data are used. Copyright (c) 2007.

A partial least squares regression study with antioxidant flavonoid compounds

The quantitative structure-activity relationship of a set of 19 flavonoid compounds presenting antioxidant activity was studied by means of PLS (Partial Least Squares) regression. The optimization of the structures and calculation of electronic properties were done by using the semiempirical method AMI. A reliable model (r(2) = 0.806 and q(2) = 0.730) was obtained and from this model it was possible to consider some aspects of the structure of the flavonoid compounds studied that are related with their free radical scavenging ability. The quality of the PLS model obtained in this work indicates that it can be used in order to design new flavonoid compounds that present ability to scavenge free radicals.

Near-infrared Raman spectroscopy to detect anti-Toxoplasma gondii antibody in blood sera of domestic cats: quantitative analysis based on partial least-squares multivariate statistics

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