Multicollinearity and financial constraint in investment decisions: a bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

Improved Regression Estimation of a Multivariate Relationship with Population Data on the Bivariate Relationship

Regression coefficients specify the partial effect of a regressor on the dependent variable. Sometimes the bivariate or limited multivariate relationship of that regressor variable with the dependent variable is known from population-level data. We show here that such population- level data can be used to reduce variance and bias about estimates of those regression coefficients from sample survey data. The method of constrained MLE is used to achieve these improvements. Its statistical properties are first described. The method constrains the weighted sum of all the covariate-specific associations (partial effects) of the regressors on the dependent variable to equal the overall association of one or more regressors, where the latter is known exactly from the population data. We refer to those regressors whose bivariate or limited multivariate relationships with the dependent variable are constrained by population data as being ‘‘directly constrained.’’ Our study investigates the improvements in the estimation of directly constrained variables as well as the improvements in the estimation of other regressor variables that may be correlated with the directly constrained variables, and thus ‘‘indirectly constrained’’ by the population data. The example application is to the marital fertility of black versus white women. The difference between white and black women’s rates of marital fertility, available from population-level data, gives the overall association of race with fertility. We show that the constrained MLE technique both provides a far more powerful statistical test of the partial effect of being black and purges the test of a bias that would otherwise distort the estimated magnitude of this effect. We find only trivial reductions, however, in the standard errors of the parameters for indirectly constrained regressors.

Instrumental activities of daily living performance in healthy and cognitively intact seniors from a Brazilian sample and its relation to age and other socio-demographic variables

Background: Studies on functional capacity in community-dwelling older people have shown associations between declines in instrumental activities of daily living (IADL) and several factors. Among these, age has been the most consistently related to functional capacity independent of other variables. We aimed at evaluating the performance of a sample of healthy and cognitively intact Brazilian older people on activities of daily living and to analyze its relation to social-demographic variables. Methods: We conducted a secondary analysis of data collected for previous epidemiological studies with community-dwelling subjects aged 60 years or more. We selected subjects who did not have dementia or depression, and with no history of neurological diseases, heart attack, HIV, hepatitis or arthritis (n = 1,111). Functional capacity was assessed using the Brazilian version of the Older American Resources and Services Questionnaire (BOMFAQ). ADL performance was analyzed according to age, gender, education, and marital status (Pearson's chi(2), logistic regression). Results: IADL difficulties were present in our sample, especially in subjects aged 80 years or more, with lower levels of education, or widowed. The logistic regression analysis results indicated that "higher age" and "lower education" (p <= 0.001) remained significantly associated with IADL difficulty. Conclusions: Functional decline was present in older subjects even in the absence of medical conditions and cognitive impairment. Clinicians and researchers could benefit from knowing what to expect from older people regarding IADL performance in the absence of medical conditions.

Classification and regression tree (CART) model to predict pulmonary tuberculosis in hospitalized patients

Background: Tuberculosis (TB) remains a public health issue worldwide. The lack of specific clinical symptoms to diagnose TB makes the correct decision to admit patients to respiratory isolation a difficult task for the clinician. Isolation of patients without the disease is common and increases health costs. Decision models for the diagnosis of TB in patients attending hospitals can increase the quality of care and decrease costs, without the risk of hospital transmission. We present a predictive model for predicting pulmonary TB in hospitalized patients in a high prevalence area in order to contribute to a more rational use of isolation rooms without increasing the risk of transmission. Methods: Cross sectional study of patients admitted to CFFH from March 2003 to December 2004. A classification and regression tree (CART) model was generated and validated. The area under the ROC curve (AUC), sensitivity, specificity, positive and negative predictive values were used to evaluate the performance of model. Validation of the model was performed with a different sample of patients admitted to the same hospital from January to December 2005. Results: We studied 290 patients admitted with clinical suspicion of TB. Diagnosis was confirmed in 26.5% of them. Pulmonary TB was present in 83.7% of the patients with TB (62.3% with positive sputum smear) and HIV/AIDS was present in 56.9% of patients. The validated CART model showed sensitivity, specificity, positive predictive value and negative predictive value of 60.00%, 76.16%, 33.33%, and 90.55%, respectively. The AUC was 79.70%. Conclusions: The CART model developed for these hospitalized patients with clinical suspicion of TB had fair to good predictive performance for pulmonary TB. The most important variable for prediction of TB diagnosis was chest radiograph results. Prospective validation is still necessary, but our model offer an alternative for decision making in whether to isolate patients with clinical suspicion of TB in tertiary health facilities in countries with limited resources.

Response plateau models fitting via isotonic regression

Within the nutritional context, the supplementation of microminerals in bird food is often made in quantities exceeding those required in the attempt to ensure the proper performance of the animals. The experiments of type dosage x response are very common in the determination of levels of nutrients in optimal food balance and include the use of regression models to achieve this objective. Nevertheless, the regression analysis routine, generally, uses a priori information about a possible relationship between the response variable. The isotonic regression is a method of estimation by least squares that generates estimates which preserves data ordering. In the theory of isotonic regression this information is essential and it is expected to increase fitting efficiency. The objective of this work was to use an isotonic regression methodology, as an alternative way of analyzing data of Zn deposition in tibia of male birds of Hubbard lineage. We considered the models of plateau response of polynomial quadratic and linear exponential forms. In addition to these models, we also proposed the fitting of a logarithmic model to the data and the efficiency of the methodology was evaluated by Monte Carlo simulations, considering different scenarios for the parametric values. The isotonization of the data yielded an improvement in all the fitting quality parameters evaluated. Among the models used, the logarithmic presented estimates of the parameters more consistent with the values reported in literature.

A general class of zero-or-one inflated beta regression models

This paper proposes a general class of regression models for continuous proportions when the data contain zeros or ones. The proposed class of models assumes that the response variable has a mixed continuous-discrete distribution with probability mass at zero or one. The beta distribution is used to describe the continuous component of the model, since its density has a wide range of different shapes depending on the values of the two parameters that index the distribution. We use a suitable parameterization of the beta law in terms of its mean and a precision parameter. The parameters of the mixture distribution are modeled as functions of regression parameters. We provide inference, diagnostic, and model selection tools for this class of models. A practical application that employs real data is presented. (C) 2011 Elsevier B.V. All rights reserved.

NMR, Metabonomics and Molecular Profiles: Applications to the Quality Assessment of Foodstuffs

Nuclear Magnetic Resonance (NMR) is a branch of spectroscopy that is based on the fact that many atomic nuclei may be oriented by a strong magnetic field and will absorb radiofrequency radiation at characteristic frequencies. The parameters that can be measured on the resulting spectral lines (line positions, intensities, line widths, multiplicities and transients in time-dependent experi-ments) can be interpreted in terms of molecular structure, conformation, molecular motion and other rate processes. In this way, high resolution (HR) NMR allows performing qualitative and quantitative analysis of samples in solution, in order to determine the structure of molecules in solution and not only. In the past, high-field NMR spectroscopy has mainly concerned with the elucidation of chemical structure in solution, but today is emerging as a powerful exploratory tool for probing biochemical and physical processes. It represents a versatile tool for the analysis of foods. In literature many NMR studies have been reported on different type of food such as wine, olive oil, coffee, fruit juices, milk, meat, egg, starch granules, flour, etc using different NMR techniques. Traditionally, univariate analytical methods have been used to ex-plore spectroscopic data. This method is useful to measure or to se-lect a single descriptive variable from the whole spectrum and , at the end, only this variable is analyzed. This univariate methods ap-proach, applied to HR-NMR data, lead to different problems due especially to the complexity of an NMR spectrum. In fact, the lat-ter is composed of different signals belonging to different mole-cules, but it is also true that the same molecules can be represented by different signals, generally strongly correlated. The univariate methods, in this case, takes in account only one or a few variables, causing a loss of information. Thus, when dealing with complex samples like foodstuff, univariate analysis of spectra data results not enough powerful. Spectra need to be considered in their wholeness and, for analysing them, it must be taken in consideration the whole data matrix: chemometric methods are designed to treat such multivariate data. Multivariate data analysis is used for a number of distinct, differ-ent purposes and the aims can be divided into three main groups: • data description (explorative data structure modelling of any ge-neric n-dimensional data matrix, PCA for example); • regression and prediction (PLS); • classification and prediction of class belongings for new samples (LDA and PLS-DA and ECVA). The aim of this PhD thesis was to verify the possibility of identify-ing and classifying plants or foodstuffs, in different classes, based on the concerted variation in metabolite levels, detected by NMR spectra and using the multivariate data analysis as a tool to inter-pret NMR information. It is important to underline that the results obtained are useful to point out the metabolic consequences of a specific modification on foodstuffs, avoiding the use of a targeted analysis for the different metabolites. The data analysis is performed by applying chemomet-ric multivariate techniques to the NMR dataset of spectra acquired. The research work presented in this thesis is the result of a three years PhD study. This thesis reports the main results obtained from these two main activities: A1) Evaluation of a data pre-processing system in order to mini-mize unwanted sources of variations, due to different instrumental set up, manual spectra processing and to sample preparations arte-facts; A2) Application of multivariate chemiometric models in data analy-sis.

Checking Assumptions in Latent Class Regression Models via a Markov Chain Monte Carlo Estimation Approach: An Application to Depression and Socio-Economic Status

Latent class regression models are useful tools for assessing associations between covariates and latent variables. However, evaluation of key model assumptions cannot be performed using methods from standard regression models due to the unobserved nature of latent outcome variables. This paper presents graphical diagnostic tools to evaluate whether or not latent class regression models adhere to standard assumptions of the model: conditional independence and non-differential measurement. An integral part of these methods is the use of a Markov Chain Monte Carlo estimation procedure. Unlike standard maximum likelihood implementations for latent class regression model estimation, the MCMC approach allows us to calculate posterior distributions and point estimates of any functions of parameters. It is this convenience that allows us to provide the diagnostic methods that we introduce. As a motivating example we present an analysis focusing on the association between depression and socioeconomic status, using data from the Epidemiologic Catchment Area study. We consider a latent class regression analysis investigating the association between depression and socioeconomic status measures, where the latent variable depression is regressed on education and income indicators, in addition to age, gender, and marital status variables. While the fitted latent class regression model yields interesting results, the model parameters are found to be invalid due to the violation of model assumptions. The violation of these assumptions is clearly identified by the presented diagnostic plots. These methods can be applied to standard latent class and latent class regression models, and the general principle can be extended to evaluate model assumptions in other types of models.

Towards greater accuracy in individual-tree mortality regression

Background mortality is an essential component of any forest growth and yield model. Forecasts of mortality contribute largely to the variability and accuracy of model predictions at the tree, stand and forest level. In the present study, I implement and evaluate state-of-the-art techniques to increase the accuracy of individual tree mortality models, similar to those used in many of the current variants of the Forest Vegetation Simulator, using data from North Idaho and Montana. The first technique addresses methods to correct for bias induced by measurement error typically present in competition variables. The second implements survival regression and evaluates its performance against the traditional logistic regression approach. I selected the regression calibration (RC) algorithm as a good candidate for addressing the measurement error problem. Two logistic regression models for each species were fitted, one ignoring the measurement error, which is the “naïve” approach, and the other applying RC. The models fitted with RC outperformed the naïve models in terms of discrimination when the competition variable was found to be statistically significant. The effect of RC was more obvious where measurement error variance was large and for more shade-intolerant species. The process of model fitting and variable selection revealed that past emphasis on DBH as a predictor variable for mortality, while producing models with strong metrics of fit, may make models less generalizable. The evaluation of the error variance estimator developed by Stage and Wykoff (1998), and core to the implementation of RC, in different spatial patterns and diameter distributions, revealed that the Stage and Wykoff estimate notably overestimated the true variance in all simulated stands, but those that are clustered. Results show a systematic bias even when all the assumptions made by the authors are guaranteed. I argue that this is the result of the Poisson-based estimate ignoring the overlapping area of potential plots around a tree. Effects, especially in the application phase, of the variance estimate justify suggested future efforts of improving the accuracy of the variance estimate. The second technique implemented and evaluated is a survival regression model that accounts for the time dependent nature of variables, such as diameter and competition variables, and the interval-censored nature of data collected from remeasured plots. The performance of the model is compared with the traditional logistic regression model as a tool to predict individual tree mortality. Validation of both approaches shows that the survival regression approach discriminates better between dead and alive trees for all species. In conclusion, I showed that the proposed techniques do increase the accuracy of individual tree mortality models, and are a promising first step towards the next generation of background mortality models. I have also identified the next steps to undertake in order to advance mortality models further.

DEVELOPMENT OF A PREDICTIVE COMBUSTION MODEL OF A SPARK IGNITED ENGINE WITH GASOLINE DIRECT INJECTION, VARIABLE VALVE TIMING, DURATION AND LIFT TECHNOLOGIES

There is a need by engine manufactures for computationally efficient and accurate predictive combustion modeling tools for integration in engine simulation software for the assessment of combustion system hardware designs and early development of engine calibrations. This thesis discusses the process for the development and validation of a combustion modeling tool for Gasoline Direct Injected Spark Ignited Engine with variable valve timing, lift and duration valvetrain hardware from experimental data. Data was correlated and regressed from accepted methods for calculating the turbulent flow and flame propagation characteristics for an internal combustion engine. A non-linear regression modeling method was utilized to develop a combustion model to determine the fuel mass burn rate at multiple points during the combustion process. The computational fluid dynamic software Converge ©, was used to simulate and correlate the 3-D combustion system, port and piston geometry to the turbulent flow development within the cylinder to properly predict the experimental data turbulent flow parameters through the intake, compression and expansion processes. The engine simulation software GT-Power © is then used to determine the 1-D flow characteristics of the engine hardware being tested to correlate the regressed combustion modeling tool to experimental data to determine accuracy. The results of the combustion modeling tool show accurate trends capturing the combustion sensitivities to turbulent flow, thermodynamic and internal residual effects with changes in intake and exhaust valve timing, lift and duration.

A chrysophyte stomatocyst-based reconstruction of cold-season air temperature from Alpine Lake Silvaplana (AD 1500–2003); methods and concepts for quantitative inferences

Relatively little is known about past cold-season temperature variability in high-Alpine regions because of a lack of natural cold-season temperature proxies as well as under-representation of high-altitude sites in meteorological, early-instrumental and documentary data sources. Recent studies have shown that chrysophyte stomatocysts, or simply cysts (sub-fossil algal remains of Chrysophyceae and Synurophyceae), are among the very few natural proxies that can be used to reconstruct cold-season temperatures. This study presents a quantitative, high-resolution (5-year), cold-season (Oct–May) temperature reconstruction based on sub-fossil chrysophyte stomatocysts in the annually laminated (varved) sediments of high-Alpine Lake Silvaplana, SE Switzerland (1,789 m a.s.l.), since AD 1500. We first explore the method used to translate an ecologically meaningful variable based on a biological proxy into a simple climate variable. A transfer function was applied to reconstruct the ‘date of spring mixing’ from cyst assemblages. Next, statistical regression models were tested to convert the reconstructed ‘dates of spring mixing’ into cold-season surface air temperatures with associated errors. The strengths and weaknesses of this approach are thoroughly tested. One much-debated, basic assumption for reconstructions (‘stationarity’), which states that only the environmental variable of interest has influenced cyst assemblages and the influence of confounding variables is negligible over time, is addressed in detail. Our inferences show that past cold-season air-temperature fluctuations were substantial and larger than those of other temperature reconstructions for Europe and the Alpine region. Interestingly, in this study, recent cold-season temperatures only just exceed those of previous, multi-decadal warm phases since AD 1500. These findings highlight the importance of local studies to assess natural climate variability at high altitudes.

Variance estimation in ranked set sampling using a concomitant variable

We propose a nonparametric variance estimator when ranked set sampling (RSS) and judgment post stratification (JPS) are applied by measuring a concomitant variable. Our proposed estimator is obtained by conditioning on observed concomitant values and using nonparametric kernel regression.

Some Identification Issues in Nonparametric Linear Models with Endogenous Regressors

In applied work economists often seek to relate a given response variable y to some causal parameter mu* associated with it. This parameter usually represents a summarization based on some explanatory variables of the distribution of y, such as a regression function, and treating it as a conditional expectation is central to its identification and estimation. However, the interpretation of mu* as a conditional expectation breaks down if some or all of the explanatory variables are endogenous. This is not a problem when mu* is modelled as a parametric function of explanatory variables because it is well known how instrumental variables techniques can be used to identify and estimate mu*. In contrast, handling endogenous regressors in nonparametric models, where mu* is regarded as fully unknown, presents di±cult theoretical and practical challenges. In this paper we consider an endogenous nonparametric model based on a conditional moment restriction. We investigate identification related properties of this model when the unknown function mu* belongs to a linear space. We also investigate underidentification of mu* along with the identification of its linear functionals. Several examples are provided in order to develop intuition about identification and estimation for endogenous nonparametric regression and related models.