Tests of Joint Hypotheses for Time Series Regression with a Unit Root

This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We Consider Two Types of Regression: One with a Constant and Lagged Dependent Variable, and the Other with a Trend Added. the Statistics Studied Are the Regression \"F-Test\" Originally Analysed by Dickey and Fuller (1981) in a Less General Framework. the Limiting Distributions Are Found Using Functinal Central Limit Theory. New Test Statistics Are Proposed Which Require Only Already Tabulated Critical Values But Which Are Valid in a Quite General Framework (Including Finite Order Arma Models Generated by Gaussian Errors). This Study Extends the Results on Single Coefficients Derived in Phillips (1986A) and Phillips and Perron (1986).

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Phyto-activity of biocides used to manipulate herbivory: tests of three pesticides on fourteen plant species

1. We tested three pesticides used for field manipulations of herbivory for direct phytoactive effects on the germination and growth of 14 herbaceous plant species selected to provide a range of life-history strategies and functional groups. 2. We report three companion experiments: (A) Two insecticides, chlorpyrifos (granular soil insecticide) and dimethoate (foliar spray), were applied in fully-factorial combination to pot-germinated individuals of 12 species. (B) The same fully-factorial design was used to test for direct effects on the germination of four herbaceous legumes. (C) The molluscicide, metaldehyde, was tested for direct effects on the germination and growth of six plant species. 3. The insecticides had few significant effects on growth and germination. Dimethoate acted only on growth stimulating Anisantha sterilis, Sonchus asper and Stellaria graminea. In contrast, chlorpyrifos acted on germination increasing the germination of Trifolium dubium and Trifolium pratense. There was also a significant interactive effect of chlorpyrifos and dimethoate on the germination of T pratense. However, all. effects were relatively small in magnitude and explanatory power. The molluscicide had no significant effect on plant germination or growth. 4. The small number and size of direct effects of the pesticides on plant performance is encouraging for the use of these pesticides in manipulative experiments on herbivory, especially for the molluscicide. However, a smatt number of direct (positive) effects of the insecticides on some plant species need to be taken into account when interpreting field manipulations of herbivory with these compounds, and emphasises the importance of conducting tests for direct phyto-active effects. (C) 2004 Elsevier GmbH. All rights reserved.

Tests of MULTIMODE calculations of rovibrational energies of CH4

We report variational calculations of rovibrational energies of CH4 using the code MULTIMODE and an ab initio force field of Schwenke and Partridge. The systematic convergence of the energies with respect to the level of mode coupling is presented. Converged vibrational energies calculated using the five-mode representation of the potential for zero total angular momentum are compared with previous, benchmark calculations based on Radau coordinates using this force field for zero total angular momentum and for J = 1. Very good agreement with the previous benchmark calculations is found. (c) 2006 Elsevier B.V. All rights reserved.

The MaPS project: mapping teacher conceptions of musical development

The chapter starts from the premise that an historically- and institutionally-formed orientation to music education at primary level in European countries privileges a nineteenth century Western European music aesthetic, with its focus on formal characteristics such as melody and rhythm. While there is a move towards a multi-faceted understanding of musical ability, a discrete intelligence and willingness to accept musical styles or 'open-earedness', there remains a paucity of documented evidence of this in research at primary school level. To date there has been no study undertaken which has the potential to provide policy makers and practitioners with insights into the degree of homogeneity or universality in conceptions of musical ability within this educational sector. Against this background, a study was set up to explore the following research questions: 1. What conceptions of musical ability do primary teachers hold a) of themselves and; b) of their pupils? 2. To what extent are these conceptions informed by Western classical practices? A mixed methods approach was used which included survey questionnaire and semi-structured interview. Questionnaires have been sent to all classroom teachers in a random sample of primary schools in the South East of England. This was followed up with a series of semi-structured interviews with a sub-sample of respondents. The main ideas are concerned with the attitudes, beliefs and working theories held by teachers in contemporary primary school settings. By mapping the extent to which a knowledge base for teaching can be resistant to change in schools, we can problematise primary schools as sites for diversity and migration of cultural ideas. Alongside this, we can use the findings from the study undertaken in an English context as a starting point for further investigation into conceptions of music, musical ability and assessment held by practitioners in a variety of primary school contexts elsewhere in Europe; our emphasis here will be on the development of shared understanding in terms of policies and practices in music education. Within this broader framework, our study can have a significant impact internationally, with potential to inform future policy making, curriculum planning and practice.

A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Emotional responses to Hindustani raga music: the role of musical structure

In Indian classical music, ragas constitute specific combinations of tonic intervals potentially capable of evoking distinct emotions. A raga composition is typically presented in two modes, namely, alaap and gat. Alaap is the note by note delineation of a raga bound by a slow tempo, but not bound by a rhythmic cycle. Gat on the other hand is rendered at a faster tempo and follows a rhythmic cycle. Our primary objective was to (1) discriminate the emotions experienced across alaap and gat of ragas, (2) investigate the association of tonic intervals, tempo and rhythmic regularity with emotional response. 122 participants rated their experienced emotion across alaap and gat of 12 ragas. Analysis of the emotional responses revealed that (1) ragas elicit distinct emotions across the two presentation modes, and (2) specific tonic intervals are robust predictors of emotional response. Specifically, our results showed that the ‘minor second’ is a direct predictor of negative valence. (3) Tonality determines the emotion experienced for a raga where as rhythmic regularity and tempo modulate levels of arousal. Our findings provide new insights into the emotional response to Indian ragas and the impact of tempo, rhythmic regularity and tonality on it.

Brain-computer music interfacing for continuous control of musical tempo

A Brain-computer music interface (BCMI) is developed to allow for continuous modification of the tempo of dynamically generated music. Six out of seven participants are able to control the BCMI at significant accuracies and their performance is observed to increase over time.