On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Vector Error-Correction Models in a consumer packaged goods category forecasting decision support system

A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the shifts and still provide the other advantages of the BVAR is a Bayesian Vector Error-Correction Model (BVECM). We present the mechanics of extending the DSS to move from a BVAR model to the BVECM model for the category management problem. Several additional iterative steps are required in the DSS to allow the decision maker to arrive at the best forecast possible. The revised marketing DSS framework and model fitting procedures are described. Validation is conducted on a sample problem.

Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége = Empirical models of exchange rate target zones

A sávosan rögzített devizaárfolyamok elméleti és gyakorlati vizsgálatai a nemzetközi közgazdaságtan egyik legnépszerűbb témaköre volt a kilencvenes évek elején. A gyakorlati módszerek közül az alkalmazások és hivatkozások száma tekintetében az úgynevezett eltolódással igazítás módszere emelkedett ki. A módszert alkalmazó szerzők szerint amíg a lebegő árfolyamú devizák előrejelzése céltalan feladatnak tűnik, addig sávos árfolyam esetén az árfolyam sávon belüli helyzetének előrejelzése sikeresen végezhető. E tanulmány bemutatja, hogy az Európai Monetáris Rendszer és az északeurópai államok sávos árfolyamrendszereinél e módszer alkalmazásával adódott eredmények például a lebegő árfolyamú amerikai dollárra és az egységgyökfolyamatok többségére is érvényesek. A tanulmány feltárja e látszólagos ellentmondás okait, és bemutat egy olyan, a sávos árfolyamrendszerek főbb megfigyelt jellemzőire épülő modellt, amelynek keretei között a sávon belüli árfolyam előrejelzése nem feltétlenül lehetséges, mert a leértékelés előtti időszakban a sávon belüli árfolyam alakulása kaotikus lehet. / === / Following the development of the first exchange rate target zone model at the end of the eighties dozens of papers analyzed theoretical and empirical topics of currency bands. This paper reviews different empirical methods to analyze the credibility of the band and lays special emphasis on the most widely used method, the so-called drift-adjustment method. Papers applying that method claim that while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper shows that the results achieved by applications to EMS and Nordic currencies are not specific to data of target zone currencies. For example, application to US dollar and even to most unit root processes leads qualitatively to the same. This paper explores the solutions of this puzzle and shows a model of target zones in which the exchange rate within the band is not necessarily predictable since the process might follow chaotic dynamics before devaluation.

The Causal Links between FDI and Economic Growth in Developing Countries: A Case Study of the Republic of Rwanda

The study examines the short-run and long-run causality running from real economic growth to real foreign direct investment inflows (RFDI). Other variables such as education (involving combination of primary, secondary and tertiary enrolment as a proxy to education), real development finance, unskilled labour, to real RFDI inflows are included in the study. The time series data covering the period of 1983 -2013 are examined. First, I applied Augmented Dicky-Fuller (ADF) technique to test for unit root in variables. Findings shows all variables integrated of order one [I(1)]. Thereafter, Johansen Co-integration Test (JCT) was conducted to establish the relationship among variables. Both trace and maximum Eigen value at 5% level of significance indicate 3 co-integrated equations. Vector error correction method (VECM) was applied to capture short and long-run causality running from education, economic growth, real development finance, and unskilled labour to real foreign direct investment inflows in the Republic of Rwanda. Findings shows no short-run causality running from education, real development finance, real GDP and unskilled labour to real FDI inflows, however there were existence of long-run causality. This can be interpreted that, in the short-run; education, development finance, finance and economic growth does not influence inflows of foreign direct investment in Rwanda; but it does in long-run. From the policy perspective, the Republic of Rwanda should focus more on long term goal of investing in education to improve human capital, undertake policy reforms that promotes economic growth, in addition to promoting good governance to attract development finance – especially from Nordics countries (particularly Norway and Denmark).

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis

In this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference parameters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects

Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients of MLR systems. For the case of uniform linear hypotheses, we present exact distributional invariance results concerning several standard test criteria. These include Wilks' likelihood ratio (LR) criterion as well as trace and maximum root criteria. The normality assumption is not necessary for most of the results to hold. Implications for inference are two-fold. First, invariance to nuisance parameters entails that the technique of Monte Carlo tests can be applied on all these statistics to obtain exact tests of uniform linear hypotheses. Second, the invariance property of the latter statistic is exploited to derive general nuisance-parameter-free bounds on the distribution of the LR statistic for arbitrary hypotheses. Even though it may be difficult to compute these bounds analytically, they can easily be simulated, hence yielding exact bounds Monte Carlo tests. Illustrative simulation experiments show that the bounds are sufficiently tight to provide conclusive results with a high probability. Our findings illustrate the value of the bounds as a tool to be used in conjunction with more traditional simulation-based test methods (e.g., the parametric bootstrap) which may be applied when the bounds are not conclusive.

Measuring Bond Strength Between Fiber Post and Root Dentin: A Comparison of Different Tests

Purpose The aim of this study was to evaluate the ability of bond strength tests to accurately measure the bond strength of fiber posts luted into root canals Materials and Methods The test methods studied were hourglass microtensile (HM), push-out (PS), modified push out (MP) and pull out (PL) The evaluated parameters were bond strength values, reliability (using Weibull analysis), failure mode (using confocal microscopy), and stress distribution (using finite element analysis) Forty human intact single rooted and endodontically treated teeth were divided into four groups Each group was assigned one of the test methods The samples in the HM and PS groups were 1 0 +/- 0 1 mm thick, the HM samples were hourglass shaped and the PS samples were disk shaped For the PL and MP groups, each 1 mm dentin slice was luted with a fiber post piece Three dimensional models of each group were made and stress was analyzed based on Von Mises criteria Results PL provided the highest values of bond strength followed by MP both of which also had greater amounts of adhesive failures PS showed the highest frequency of cohesive failures MP showed a more homogeneous stress distribution and a higher Weibull modulus Conclusion The specimen design directly influences the biomechanical behavior of bond strength tests

Experimental high-throughput adsorption unit for multi-evaluation of adsorbents for gas capture, storage and separation applications

Dissertação para obtenção do grau de Mestre em Engenharia Química e Bioquímica

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

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.

Radiopacity evaluation of new root canal filling materials by digitalization of images

The aim of this study was to evaluate the radiopacity of five root canal filling materials (AH Plus, Intrafill, Roeko Seal, Epiphany, and EndoRez). Following the International Organization of Standardization 687612001, five circular specimens (10 X 1 mm) were made from each material. After the material set, radiographs were made using occlusal film and a graduated aluminum step-wedge varying in thickness from 2 to 16 mm. The dental X-ray unit (GE1000) was set at 50 Kvp, 10 mA, 18 pulses/second, and distance of 33.5 cm. The radiographs were digitized, and the radiopacity was compared with the aluminum step-wedge, using WIXWIN-2000 software (Gendex). Data (mm Al) were analyzed using ANOVA and Tukey tests. AH Plus and Epiphany were the most radiopaque materials (9.8 and 8.8 mm Al, respectively), followed by EndoRez (7.2 mm Al). Roeko Seal and Intrafill presented the lowest radiopacity values (5.7 and 6.1 mm Al, respectively). Although the materials evaluated demonstrated different radiopacities, all had values above the minimum recommended by the international Organization of Standardization.

Antimicrobial activity of root canal irrigants associated with cetrimide against biofilm and planktonic Enterococcus Faecalis

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Measurement of the inclusive jet cross section in proton-proton collisions at root out s = 7 TeV with the ATLAS detector

The dominant process in hard proton-proton collisions is the production of hadronic jets.rnThese sprays of particles are produced by colored partons, which are struck out of their confinement within the proton.rnPrevious measurements of inclusive jet cross sections have provided valuable information for the determination of parton density functions and allow for stringent tests of perturbative QCD at the highest accessible energies.rnrnThis thesis will present a measurement of inclusive jet cross sections in proton-proton collisions using the ATLAS detector at the LHC at a center-of-mass energy of 7 TeV.rnJets are identified using the anti-kt algorithm and jet radii of R=0.6 and R=0.4.rnThey are calibrated using a dedicated pT and eta dependent jet calibration scheme.rnThe cross sections are measured for 40 GeV < pT <= 1 TeV and |y| < 2.8 in four bins of absolute rapidity, using data recorded in 2010 corresponding to an integrated luminosity of 3 pb^-1.rnThe data is fully corrected for detector effects and compared to theoretical predictions calculated at next-to-leading order including non-perturbative effects.rnThe theoretical predictions are found to agree with data within the experimental and theoretic uncertainties.rnrnThe ratio of cross sections for R=0.4 and R=0.6 is measured, exploiting the significant correlations of the systematic uncertainties, and is compared to recently developed theoretical predictions.rnThe underlying event can be characterized by the amount of transverse momentum per unit rapidity and azimuth, called rhoue.rnUsing analytical approaches to the calculation of non-perturbative corrections to jets, rhoue at the LHC is estimated using the ratio measurement.rnA feasibility study of a combined measurement of rhoue and the average strong coupling in the non-perturbative regime alpha_0 is presented and proposals for future jet measurements at the LHC are made.

Test Blueprints - Exposing Side Effects in Execution Traces to Support Writing Unit Tests

Writing unit tests for legacy systems is a key maintenance task. When writing tests for object-oriented programs, objects need to be set up and the expected effects of executing the unit under test need to be verified. If developers lack internal knowledge of a system, the task of writing tests is non-trivial. To address this problem, we propose an approach that exposes side effects detected in example runs of the system and uses these side effects to guide the developer when writing tests. We introduce a visualization called Test Blueprint, through which we identify what the required fixture is and what assertions are needed to verify the correct behavior of a unit under test. The dynamic analysis technique that underlies our approach is based on both tracing method executions and on tracking the flow of objects at runtime. To demonstrate the usefulness of our approach we present results from two case studies.