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.

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR (QLR) test based on feasible generalized least squares (FGLS). We show that the latter statistics are pivotal under the null, which provides the justification for applying MC tests. Furthermore, we extend the exact independence test proposed by Harvey and Phillips (1982) to the multi-equation framework. Specifically, we introduce several induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the associated combination problem. The properties of the proposed tests are studied in a Monte Carlo experiment which shows that standard asymptotic tests exhibit important size distortions, while MC tests achieve complete size control and display good power. Moreover, MC-QLR tests performed best in terms of power, a result of interest from the point of view of simulation-based tests. The power of the MC induced tests improves appreciably in comparison to standard Bonferroni tests and, in certain cases, outperforms the likelihood-based MC tests. The tests are applied to data used by Fischer (1993) to analyze the macroeconomic determinants of growth.

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non-Gaussian multivariate Markov processes. In the context of a linear regression model with AR(1) errors, we show how these results can be used to simplify the distributional properties of the model by conditioning a subset of the data on the remaining observations. This transformation leads to a new model which has the form of a two-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and confidence sets for the mean and/or autoregressive parameters of the model. We also develop a test on the order of an autoregression. We show that a combination of subsample-based inferences can improve the performance of the procedure. An application to U.S. domestic investment data illustrates the method.

The Bootstrap of Mean for Dependent Heterogeneous Arrays.

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a class of processes broadly relevant for applications in economics and finance. Our results apply to two block bootstrap methods: the moving blocks bootstrap of Künsch ( 989) and Liu and Singh ( 992), and the stationary bootstrap of Politis and Romano ( 994). In particular, the consistency of the bootstrap variance estimator for the sample mean is shown to be robust against heteroskedasticity and dependence of unknown form. The first order asymptotic validity of the bootstrap approximation to the actual distribution of the sample mean is also established in this heterogeneous NED context.

New discotic liquid crystals based on large polycyclic aromatic hydrocarbons as materials for molecular electronics

A series of new columnar discotic liquid crystalline materials based on the superphenalene (C96) core has been synthesized by oxidative cyclodehydrogenation with iron(III) chloride of suitable three-dimensional oligophenylene precursors. These compounds were investigated by means of differential scanning calorimetry (DSC), polarized optical microscopy (POM) and wide angle X-ray scattering (WAXS), and showed highly ordered supramolecular arrays and mesophase behavior over a broad temperature range. Good solubility, through the introduction of long alkyl chains, and the fact that these new superphenalene derivatives were found to be liquid crystalline at room temperature enabled the formation of highly ordered films (using the zone-casting technique), a requirement for application in organic electronic devices. The one-dimensional, intracolumnar charge carrier mobilities of superphenalene derivatives were determined using the pulse-radiolysis time-resolved microwave conductivity technique (PR-TRMC). Electrical properties of different C96-C12 architectures on mica surfaces were examined by using Electrostatic Force Microscopy (EFM) and Kelvin Probe Force Microscopy (KPFM). Hexa-peri-hexabenzocoronene (C42) derivatives substituted at the periphery with six branched alkyl ether chains were also synthesized. It was found that the introduction of ether groups within the side chains enhances the affinity of the discotic molecules towards polar surfaces, resulting in homeotropic self-assembly (as shown by POM and 2D-WAXS) when the compounds are processed from the isotropic state between two surfaces. A new, insoluble, superphenalene building block bearing six reactive sites was prepared, and was further used for the preparation of dendronized superphenalenes with bulky dendritic substituents around the core. UV/Vis and fluorescence experiments suggest reduced π-π stacking of the superphenalene cores as a result of steric hindrance between the peripheral dendritic units. A new family of graphitic molecules with partial ”zig-zag” periphery has been established. The incorporation of ”zig-zag” edges was shown to have a strong influence on the electronic properties of the new molecules (as studied by solution and solid-state UV/Vis, and fluorescence spectroscopy), leading to a significant bathochromic shift with respect to the parent PAHs (C42 and C96). The reactivity of the additional double bonds was examined. The attachment of long alkyl chains to a ”zig-zag” superphenalene core afforded a new, processable, liquid crystalline material.

Alkenon concentrations of Creatcesous sediments of DSDP Hole 76-534A (Table 1)

We here report the discovery of unusual distributions of long-chain alkenones (C37-C42) in two Cretaceous black shales from the Blake-Bahama Basin, western North Atlantic. These sediments are Cenomanian (c. 95 Ma) and mid-Albian (c. 105 Ma) in age, thus significantly extending the geological range of these compounds. The precise source of these lipids is, as yet, unknown, although they may derive from an ancient ancestor of Emiliania huxleyi.