Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has four regimes. Only three of them are statistically different. The first starts at the beginning of the sample and goes until September of 1997. The second starts at October of 1997 until December of 1998. The third starts at January of 1999 and goes until the end of the sample. It is used monthly data. Models that allows for some similarities across the regimes are also estimated and tested. The models are estimated using the Generalized Reduced-Rank Regressions developed by Hansen (2003). All imposed restrictions can be tested using likelihood ratio test with standard asymptotic 1 qui-squared distribution. The results of the paper show evidence in favor of the long run implications of the expectation hypothesis for Brazil.

Stochastic growth and monetary policy: the impacts on the term structure of interest rates

This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible to the intervention of the monetary authority following a policy rule. The model predicts several patterns of the term structure which are in accordance to observed empirical facts: (i) pro-cyclical pattern of the level of nominal interest rates; (ii) countercyclical pattern of the term spread; (iii) pro-cyclical pattern of the curvature of the yield curve; (iv) lower predictability of the slope of the middle of the term structure; and (v) negative correlation of changes in real rates and expected inflation at short horizons.

PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries

This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations will be tested: Purchasing Power Parity (PPP), Uncovered Interest Rate Parity (UIP) and the Fisher Parity condition. The second model follows the line of though of Imperfect Knowledge Economics (IKE) where two equilibrium relations will be tested. According to IKE, even under the assumption that agents are rational, the presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are obtained for Chile.

Previsibilidade de retorno das ações no mercado brasileiro, através da aplicação de modelo de valor presente com retornos esperados constantes num contexto de expectativas racionais

Através de dados financeiros de ações negociadas na Bolsa de Valores de São Paulo, testa-se a validade do modelo de valor presente (MVP) com retornos esperados constantes ao longo do tempo (Campbell & Schiller, 1987). Esse modelo relaciona o preço de uma ação ao seu esperado fluxo de dividendos trazido a valor presente a uma taxa de desconto constante ao longo do tempo. Por trás desse modelo está a hipótese de expectativas racionais, bem como a hipótese de previsibilidade de preço futuro do ativo, através da inserção dos dividendos esperados no período seguinte. Nesse trabalho é realizada uma análise multivariada num arcabouço de séries temporais, utilizando a técnica de Auto-Regressões Vetoriais. Os resultados empíricos apresentados, embora inconclusivos, permitem apenas admitir que não é possível rejeitar completamente a hipótese de expectativas racionais para os ativos brasileiros.

Essays in Macroecometrics: methodological aspects and empirical applications

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of individuals of the panel is small relatively to the number of time series observations. I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries. In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time. I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets. The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Failure or Voluntary Exit? Reassessing the Female Underperformance Hypothesis

We reevaluate the female underperformance hypothesis by challenging the assumption that female-owned ventures are more likely to fail. Instead of equating exit with failure, we draw on exit literature and feminist theories to argue that female entrepreneurs are actually more likely than males to exit voluntarily. We argue for further gender differences by using an even more fine-grained conceptualization of entrepreneurial exit (failure, exit for personal reasons, and exit for other professional/financial opportunities). Post-hoc analyses also point to withingender heterogeneity depending on family status. A sample probe of 219 Spanish entrepreneurs who had exited their business supports our overall reasoning.

Test of the enemy release hypothesis: the native magpie moth prefers a native fireweed (Senecio pinnatifolius) to its introduced congener (S.Madagascariensis)

Abstract The enemy release hypothesis predicts that native herbivores will either prefer or cause more damage to native than introduced plant species. We tested this using preference and performance experiments in the laboratory and surveys of leaf damage caused by the magpie moth Nyctemera amica on a co-occuring native and introduced species of fireweed (Senecio) in eastern Australia. In the laboratory, ovipositing females and feeding larvae preferred the native S. pinnatifolius over the introduced S. madagascariensis. Larvae performed equally well on foliage of S. pinnatifolius and S. madagascariensis: pupal weights did not differ between insects reared on the two species, but growth rates were significantly faster on S. pinnatifolius. In the field, foliage damage was significantly greater on native S. pinnatifolius than introduced S. madagascariensis. These results support the enemy release hypothesis, and suggest that the failure of native consumers to switch to introduced species contributes to their invasive success. Both plant species experienced reduced, rather than increased, levels of herbivory when growing in mixed populations, as opposed to pure stands in the field; thus, there was no evidence that apparent competition occurred.

Ryanodine receptor phosphorylation in human heart failure

Heart failure is a complex disorder, characterized by activation of the sympathetic nervous system, leading to dysregulated Ca2+ homeostasis in cardiac myocytes and tissue remodeling. In a variety of diseases, cardiac malfunction is associated with aberrant fluxes of Ca2+ across both the surface membrane and the internal Ca2+ store, the sarcoplasmic reticulum (SR). One prominent hypothesis residues is that in heart failure, the activity of the ryanodine receptor (RyR2) Ca2+ release channel in the SR is increased due to excess phosphorylation and that this contributes to excess SR Ca2+ leak in diastole, reduced SR Ca2+ load and decreased contractility (Huke & Bers, 2008). There is controversy over which serine residues in RyR2 are hyperphosphorylated in animal models of heart failure and whether this is via the CaMKII or the PKA-linked signaling pathway. S2808, S2814 and S2030 in RyR2 have been variously claimed to be hyperphosphorylated. Our aim was to examine the degree of phosphorylation of these residues in RyR2 from failing human hearts. The use of human tissue was approved by the Human Research Ethics Committee, The Prince Charles Hospital, EC28114. Left ventricular tissue samples were obtained from an explanted heart of a patient with endstage heart failure (Emery Dreifuss Muscular Dystrophy with cardiomyopathy) and non-failing tissue was from a patient with cystic fibrosis undergoing heart-lung transplantation with no history of heart disease. SR vesicles were prepared as described by Laver et al. (1995) and examined with SDS-Page and Western Blot. Transferred proteins were probed with antibodies to detect total protein phosphorylation, phosphorylation of RyR2 serine residues S2808, S2814, S2030 and for the key proteins calsequestrin, triadin, junctin and FKBP12.6. To avoid membrane stripping artifact, each membrane was exposed to one phosphorylation-specific antibody and signal densities quantified using Bio-Rad Quantity One software. We found no distinguishable difference between failing and healthy hearts in the protein expression levels of RyR2, triadin, junctin or calsequestrin. We found an expected upregulation of total RyR2 phosphorylation in the failing heart sample, compared to a matched amount of RyR2 (quantified using densiometry) in healthy heart. Probing with antibodies detecting only the phosphorylated form of the specific RyR2 residues showed that the increase in total RyR2 phosphorylation in the failing heart was due to hyperphosphorylation of S2808 and S2814. We found that S2030 phosphorylation levels were unchanged in human heart failure. Interestingly, we found that S2030 has a basal level of phosphorylation in the healthy human heart, different from the absence of basal phosphorylation recently reported in rodent heart (Huke & Bers, 2008). Finally, preliminary results indicate that less FKBP 12.6 is associated with RyR2 in the failing heart, possibly as a consequence of PKA activation. In conclusion, residues S2808 and S2814 are hyperphosphorylated in human heart failure, presumably due to upregulation of the CaMKII and/or PKA signaling pathway as a result of chronic activation of the sympathetic nervous system. Such changes in RyR2 phosphorylation are believed to contribute to the leaky RyR2 phenotype associated with heart failure, which increases the incidence of arrhythmia and contributes to the severely impaired contractile performance of the failing heart. Huke S & Bers DM. (2008). Ryanodine receptor phosphorylation at serine 2030, 2808 and 2814 in rat cardiomyocytes. Biochemical and Biophysical Research Communications 376, 80-85. Laver DR, Roden LD, Ahern GP, Eager KR, Junankar PR & Dulhunty AF. (1995). Cytoplasmic Ca2+ inhibits the ryanodine receptor from cardiac muscle. Journal of Membrane Biology 147, 7-22. Proceedings

The effect of exercise on sleep quality in heart failure

Purpose The primary objective of this study was to examine the effect of exercise on subjective sleep quality in heart failure patients. Methods This study used a randomised, controlled trial design with blinded end-point analysis. Participants were randomly assigned to a 12-week programme of education and self-management support (control) or to the same programme with the addition of a tailored physical activity programme designed and supervised by an exercise specialist (intervention). The intervention consisted of 1 hour of aerobic and resistance exercise twice a week. Participants included 108 patients referred to three hospital heart failure services in Queensland, Australia. Results Patients who participated in supervised exercise classes showed significant improvement in subjective sleep quality, sleep latency, sleep disturbance and global sleep quality scores after 12 weeks of supervised hospital based exercise. Secondary analysis showed that improvements in sleep quality were correlated with improvements in geriatric depression score (p=0.00) and exercise performance (p=0.03). General linear models were used to examine whether the changes in sleep quality following intervention occurred independently of changes in depression, exercise performance and weight. Separate models adjusting for each covariate were performed. Results suggest that exercise significantly improved sleep quality independent of changes in depression, exercise performance and weight. Conclusion This study supports the hypothesis that a 12 week program of aerobic and resistance exercise improves subjective sleep quality in patients with heart failure. This is the first randomised controlled trial to examine the role of exercise in the improvement of sleep quality for patients with this disease. While this study establishes exercise as a therapy for poor sleep quality, further research is needed to investigate exercise as a treatment for other parameters of sleep in this population. Study investigators plan to undertake a more in-depth examination within the next 12 months

Fixed failure rate ambiguity validation methods for GPS and compass

Ambiguity resolution plays a crucial role in real time kinematic GNSS positioning which gives centimetre precision positioning results if all the ambiguities in each epoch are correctly fixed to integers. However, the incorrectly fixed ambiguities can result in large positioning offset up to several meters without notice. Hence, ambiguity validation is essential to control the ambiguity resolution quality. Currently, the most popular ambiguity validation is ratio test. The criterion of ratio test is often empirically determined. Empirically determined criterion can be dangerous, because a fixed criterion cannot fit all scenarios and does not directly control the ambiguity resolution risk. In practice, depending on the underlying model strength, the ratio test criterion can be too conservative for some model and becomes too risky for others. A more rational test method is to determine the criterion according to the underlying model and user requirement. Miss-detected incorrect integers will lead to a hazardous result, which should be strictly controlled. In ambiguity resolution miss-detected rate is often known as failure rate. In this paper, a fixed failure rate ratio test method is presented and applied in analysis of GPS and Compass positioning scenarios. A fixed failure rate approach is derived from the integer aperture estimation theory, which is theoretically rigorous. The criteria table for ratio test is computed based on extensive data simulations in the approach. The real-time users can determine the ratio test criterion by looking up the criteria table. This method has been applied in medium distance GPS ambiguity resolution but multi-constellation and high dimensional scenarios haven't been discussed so far. In this paper, a general ambiguity validation model is derived based on hypothesis test theory, and fixed failure rate approach is introduced, especially the relationship between ratio test threshold and failure rate is examined. In the last, Factors that influence fixed failure rate approach ratio test threshold is discussed according to extensive data simulation. The result shows that fixed failure rate approach is a more reasonable ambiguity validation method with proper stochastic model.

Artemisinin-induced parasite dormancy : a plausible mechanism for treatment failure

Background Artemisinin-combination therapy is a highly effective treatment for uncomplicated falciparum malaria but parasite recrudescence has been commonly reported following artemisinin (ART) monotherapy. The dormancy recovery hypothesis has been proposed to explain this phenomenon, which is different from the slower parasite clearance times reported as the first evidence of the development of ART resistance. Methods In this study, an existing P. falciparum infection model is modified to incorporate the hypothesis of dormancy. Published in vitro data describing the characteristics of dormant parasites is used to explore whether dormancy alone could be responsible for the high recrudescence rates observed in field studies using monotherapy. Several treatment regimens and dormancy rates were simulated to investigate the rate of clinical and parasitological failure following treatment. Results The model output indicates that following a single treatment with ART parasitological and clinical failures occur in up to 77% and 67% of simulations, respectively. These rates rapidly decline with repeated treatment and are sensitive to the assumed dormancy rate. The simulated parasitological and clinical treatment failure rates after 3 and 7 days of treatment are comparable to those reported from several field trials. Conclusions Although further studies are required to confirm dormancy in vivo, this theoretical study adds support for the hypothesis, highlighting the potential role of this parasite sub-population in treatment failure following monotherapy and reinforcing the importance of using ART in combination with other anti-malarials.

Effects of driver familiarity and prolonged or intermittent right-side failure on level crossing safety

This paper investigates the adverse effects of familiarity and human factors issues associated with the reliability of low-cost warning devices at level crossings. The driving simulator study featured a repetitive, low workload, monotonous driving task in which there were no failures of the level crossing (control) or prolonged or intermittent right-side failures (where the device reverts to a safe failure mode). The results of the experiment provided mixed support for the familiarity hypothesis. Four of the 23 participants collided with the train when it first appeared on trial 10 but safety margins increased from the first train to the next presentation of a train (trial 12). Contrary to expectations, the safety margins decreased with repeated right-side failure only for the intermittent condition. The limited head movement data showed that participants in the prolonged failure condition were more likely to turn their head to check for trains in the right-side failure trials than in earlier trials where there was no signal and no train. Few control participants turned their head to check for trains when no signal was presented. This research highlights the need to consider repetitive tasks and workload in experimental design and accident investigation at railway level crossings.

A novel ambiguity acceptance test threshold determination method with controllable failure rate

Ambiguity validation as an important procedure of integer ambiguity resolution is to test the correctness of the fixed integer ambiguity of phase measurements before being used for positioning computation. Most existing investigations on ambiguity validation focus on test statistic. How to determine the threshold more reasonably is less understood, although it is one of the most important topics in ambiguity validation. Currently, there are two threshold determination methods in the ambiguity validation procedure: the empirical approach and the fixed failure rate (FF-) approach. The empirical approach is simple but lacks of theoretical basis. The fixed failure rate approach has a rigorous probability theory basis, but it employs a more complicated procedure. This paper focuses on how to determine the threshold easily and reasonably. Both FF-ratio test and FF-difference test are investigated in this research and the extensive simulation results show that the FF-difference test can achieve comparable or even better performance than the well-known FF-ratio test. Another benefit of adopting the FF-difference test is that its threshold can be expressed as a function of integer least-squares (ILS) success rate with specified failure rate tolerance. Thus, a new threshold determination method named threshold function for the FF-difference test is proposed. The threshold function method preserves the fixed failure rate characteristic and is also easy-to-apply. The performance of the threshold function is validated with simulated data. The validation results show that with the threshold function method, the impact of the modelling error on the failure rate is less than 0.08%. Overall, the threshold function for the FF-difference test is a very promising threshold validation method and it makes the FF-approach applicable for the real-time GNSS positioning applications.

Test of the enemy release hypothesis: the native magpie moth prefers a native fireweed (Senecio pinnatifolius) to its introduced congener (S. madagascariensis).

The enemy release hypothesis predicts that native herbivores will either prefer or cause more damage to native than introduced plant species. We tested this using preference and performance experiments in the laboratory and surveys of leaf damage caused by the magpie moth Nyctemera amica on a co-occuring native and introduced species of fireweed (Senecio) in eastern Australia. In the laboratory, ovipositing females and feeding larvae preferred the native S. pinnatifolius over the introduced S. madagascariensis. Larvae performed equally well on foliage of S. pinnatifolius and S. madagascariensis: pupal weights did not differ between insects reared on the two species, but growth rates were significantly faster on S. pinnatifolius. In the field, foliage damage was significantly greater on native S. pinnatifolius than introduced S. madagascariensis. These results support the enemy release hypothesis, and suggest that the failure of native consumers to switch to introduced species contributes to their invasive success. Both plant species experienced reduced, rather than increased, levels of herbivory when growing in mixed populations, as opposed to pure stands in the field; thus, there was no evidence that apparent competition occurred.

Clinical reasoning: The relative contribution of identification, interpretation and hypothesis errors to misdiagnosis

The aim of this study was to identify and describe the types of errors in clinical reasoning that contribute to poor diagnostic performance at different levels of medical training and experience. Three cohorts of subjects, second- and fourth- (final) year medical students and a group of general practitioners, completed a set of clinical reasoning problems. The responses of those whose scores fell below the 25th centile were analysed to establish the stage of the clinical reasoning process - identification of relevant information, interpretation or hypothesis generation - at which most errors occurred and whether this was dependent on problem difficulty and level of medical experience. Results indicate that hypothesis errors decrease as expertise increases but that identification and interpretation errors increase. This may be due to inappropriate use of pattern recognition or to failure of the knowledge base. Furthermore, although hypothesis errors increased in line with problem difficulty, identification and interpretation errors decreased. A possible explanation is that as problem difficulty increases, subjects at all levels of expertise are less able to differentiate between relevant and irrelevant clinical features and so give equal consideration to all information contained within a case. It is concluded that the development of clinical reasoning in medical students throughout the course of their pre-clinical and clinical education may be enhanced by both an analysis of the clinical reasoning process and a specific focus on each of the stages at which errors commonly occur.