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.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed 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. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Output convergence in Mercosur: multivariate time series evidence

The aim of this paper is to provide evidence on output convergence among the Mercosur countries and associates, using multivariate time-series tests. The methodology is based on a combination of tests and estimation procedures, both univariate and multivariate, applied to the differences in per capita real income. We use the definitions of time-series convergence proposed by Bernard & Durlauf and apply unit root and tests proposed by Abuaf & Jorion and Taylor & Sarno. In this same multivariate context, the Flôres, Preumont & Szafarz and Breuer, MbNown & Wallace tests, which allow for the existence of correlations across the series without imposing a common speed of mean reversion, identify the countries that convergence. Concerning the empirical results, there is evidence of long-run convergence or, at least, catching up, for the smaller countries, Bolivia, Paraguay, Peru and Uruguay, towards Brazil and, to some extent, Argentina. In contrast, the evidence on convergence for the larger countries is weaker, as they have followed different (or rather opposing) macroeconomic policy strategies. Thus the future of the whole area will critically depend on the ability of Brazil, Argentina and Chile to find some scope for more cooperative policy actions.

Bioimpedance Analysis: Should it be Used in Morbid Obesity?

Objectives: Questions about reliability of bioimpedance analysis (BIA) in morbidly obese subjects have curtailed its use in this setting, but metabolic implications might reignite the debate. In a prospective study, it was aimed to analyze anthropometric and clinical associations. Methods: Bariatric candidates (n = 94) with or without metabolic syndrome were consecutively investigated. Age was 34.9 +/- 10.4 years (68.1% females), and BMI was 40.8 +/- 4.6 kg m(-2). Methods included single-frequency BIA, anthropometrics, inflammatory indices, and general biochemical profile. Results: Body composition results (water, fat) in females, but not in males, were entirely consistent with the literature. In both genders good association was observed with anthropometrics (BMI, waist circumference), inflammatory indices (ferritin, C-reactive protein) and general biochemical variables. Anthropometric measurements also displayed comparable associations. Multivariate tests including the two sets of measurements indicated no predominance of one method over the other, one complementing the other as metabolic marker. Conclusions: BIA limitations were mostly relevant for males, not females. Despite such discrepancies, good associations with anthropometry were demonstrated for both genders. Correlations with liver enzymes, and indices of protein, carbohydrate, and lipid metabolism could be demonstrated. BIA deserves more investigations concerning liver steatosis and ongoing inflammation, and it could contribute as well, synergistically with anthropometry, to monitor weight loss, body fat shifts, and metabolic risk. Am. J. Hum. Biol. 23: 420-422, 2011. (c) 2011 Wiley-Liss, Inc.

Toll-like receptor activity in Recurrent Aphthous Ulceration

Toll-like receptors (TLR) are membrane proteins that recognize conserved molecules derived from bacterial, virus, fungal or host tissues. Activation of TLRs causes the production of cytokines that mediate inflammatory responses and drive T helper (Th) 1 and 2 cell development. As an exaggerated Th1 immune response is supposed to be involved in pathogenesis of Recurrent Aphthous Ulceration (RAU), we suggest that RAU patients may have an imbalance in TLR pathways. To study the function of TLR activation ex vivo, peripheral blood mononuclear cells (PBMCs) from RAU patients (n = 17) and controls (n = 17) were exposed to TLR2 [lipoteichoic acid (LTA), heat-killed Listeria monocytogenes (HKLM) and PamC3CSK4], TLR3 [Poly(I:C)], TLR4 [lipopolysaccharide (LPS)], TLR5 (flagellin) and TLR7 (imiquimod) ligands, and the time course of supernatant tumor necrosis factor-alpha (TNF-alpha) levels was quantified by enzyme-linked immunosorbent assay. In addition, serological and salivary TNF-alpha and soluble CD14 levels were quantified. The TNF-alpha produced by PBMCs in contact with each TLR ligand and autologous serum or saliva at the same time was also investigated. The data were analyzed by statistical multivariate tests. The control group had a higher response to LTA, whereas RAU had a higher response to HKLM. LTA and LPS interfered with the salivary stimulation of the RAU PBMC and HKLM with the stimulation of the control. Autologous serum was capable of inhibiting TLR2 responsiveness to LTA and enhancing LPS stimulation. Salivary and serological levels of sCD14 and TNF-alpha were not significantly different. Recurrent Aphthous Ulceration patients have an anomalous activity of the TLR2 pathway that probably influences the stimulation of an abnormal Th1 immune response.

DINAMICA MICROBIANA Y CALIDAD DE LA MATERIA ORGANICA DEL SUELO COMO INDICADORES DE SUSTENTABILIDAD EN EL CHACO ARIDO DE LA PROVINCIA DE CORDOBA Microbial dynamic and organic matter quality as indicators of soil sustainability in Dry Chaco of Córdoba Province

Se propone analizar el efecto del uso productivo en el Chaco Árido de la provincia de Córdoba, mediante la aplicación de indicadores de sustentabilidad relacionados con la calidad de la materia orgánica y la liberación de nutrientes en el suelo, con la finalidad de aportar a un tema de suma interes para la provincia de Córdoba como es la formulación de criterios y pautas de manejo para la implementación de la Ley de Bosques (N° 26331). Se trabajará en la localidad de San Miguel en el departamento Pocho, en un sitio de bosque no disturbado y en tres sistemas productivos: desmonte selectivo con implantación de pasturas; desmonte total con agricultura bajo riego y desmonte total sobrepastoreado. En cada sitio se medirá “in situ” la emisión de CO2 y se tomaran muestras de suelo a las que se les determinará: a) contenido de materia orgánica total (MO), b) contenido de sustancias húmicas (SH), diferenciando ácidos húmicos (AH) y fúlvicos (AF), c) abundancia y actividad de microorganismos nitrificadores y d) propiedades químicas de los AH y AF. Se calcularán los siguientes índices de sustentabilidad a) materia orgánica biodisponible (MOB=MO–SH); b) índice de humificación (IH=SH/MO); c) tipo de humus (TH=AF/AH; d) índice de mineralización de C (IMC=CO2/MO); e) índice de nitrificación (IN=actividad/abundancia); y f) índice de estabilidad de las fracciones humificadas: compuestos aromáticos/ alifáticos. Los datos serán analizados estadísticamente mediante ANOVA y comparación de medias por LSD (P<0.05) y tests multivariados. We proposed analyze the effect of land use in Arid Chaco of Cordoba province, using sustainability indicators related to organic matter quality and nutrient release in soil, with the aim to formulate management criteria for the implementation of the Ley de Bosques (N° 26331) in Córdoba province. The study will be conducted in San Miguel village in Pocho department, in one undisturbed forest site and three productive systems: selective clearing with grass sowing; total clearing with irrigation agriculture and total clearing with overgrazed. In each site "in situ" CO2 emission will be measured and soil samples will be taken, in which the following parameters will be determined: a) total organic matter content (MO), b) humic substances content (SH), in humic acids (AH) and fulvic acids (AF), c) abundance and activity of nitrifier microorganisms and d) chemical properties of AH and AF. The sustainability indexes will be calculated: biodisponible organic matter (MOB=MO–SH); b) humification index (IH=SH/MO); c) humus type (TH=AF/AH; d) C mineralization index (IMC=CO2/MO); e) nitrifying index (IN=activity/abundance); and f) humic fractions stability index: aromatic/aliphatic compounds. The data will be statistically analyzed by ANOVA and the means will be compared by LSD (P<0.05) and multivariate tests.

Emotional behavior in acute stroke: the Lausanne emotion in stroke study.

OBJECTIVE: To study emotional behaviors in an acute stroke population. BACKGROUND: Alterations in emotional behavior after stroke have been recently recognized, but little attention has been paid to these changes in the very acute phase of stroke. METHODS: Adult patients presenting with acute stroke were prospectively recruited and studied. We validated the Emotional Behavior Index (EBI), a 38-item scale designed to evaluate behavioral aspects of sadness, aggressiveness, disinhibition, adaptation, passivity, indifference, and denial. Clinical, historical, and imaging (computed tomography/magnetic resonance imaging) data were obtained on each subject through our Stroke Registry. Statistical analysis was performed with both univariate and multivariate tests. RESULTS: Of the 254 patients, 40% showed sadness, 49% passivity, 17% aggressiveness, 53% indifference, 76% disinhibition, 18% lack of adaptation, and 44% denial reactions. Several significant correlations were identified. Sadness was correlated with a personal history of alcohol abuse (r = P < 0.037), female gender (r = P < 0.028), and hemorrhagic nature of the stroke (r = P < 0.063). Aggressiveness was correlated with a personal history of depression (r = P < 0.046) and hemorrhage (r = P < 0.06). Denial was correlated with male gender (r = P < 0.035) and hemorrhagic lesions (r = P < 0.05). Emotional behavior did not correlate with either neurologic impairment or lesion localization, but there was an association between hemorrhage and aggressive behavior (P < 0.001), lack of adaptation (r = P < 0.015), indifference (r = P < 0.018), and denial (r = P < 0.045). CONCLUSIONS: Systematic observations of acute emotional behaviors after stroke suggest that emotional alterations are independent of mood and physical status and should be considered as a separate consequence of stroke.

Emotional behavior in acute stroke : the Lausanne emotion in stroke study

Résumé : Objectif: Etudier les comportements émotionnels chez les patients ayant souffert d'un accident vasculaire cérébral (AVC) Contexte: Les modifications du comportement émotionnel après un AVC sont actuellement bien reconnues mais ont été très peu étudiées dans la phase aigüe de l'AVC. Méthode: Tous les patients présentant un AVC datant de moins de 24 heures ont été inclus prospectivement. Nous avons validé une échelle (the Emotional Behavior Index (EBI)), comprenant 38 qualificatifs, représentant la tristesse, l'agressivité, la désinhibition, l'adaptation, la passivité, l'indifférence et le déni. Les informations cliniques et radiologiques (CT et IRM) ont été obtenues par le biais de notre Registre des AVC. L'analyse statistique a été faite au moyen de tests uni- et multi-variés Résultats: Des 254 patients inclus, 40% présentaient de la tristesse, 49% de la passivité, 17% de l'agressivité, 53% de l'indifférence, 76% de la désinhibition, 18% un manque d'adaptation et 44% une réaction de déni. Plusieurs interactions statistiquement significatives ont été mises en évidence. En effet, la tristesse semble corréler à des antécédents d'alcoolisme (r = p< 0.037), au sexe féminin (r = p<0.028) et à la nature hémorragique de l'AVC (r = p<0.063). L'agressivité corrèle à des antécédents de troubles dépressifs (r = p<0.046) et à la nature hémorragique de l'AVC (r = p<0.06). Le déni corrèle plutôt au sexe masculin (r = p<0.035) et aux lésions hémorragiques (r = p<0.05). Le comportement émotionnel ne corrèle ni au degré et type d'atteinte neurologique, ni à la localisation de l'AVC mais une association entre Les lésions hémorragiques et un comportement agressif a été mis en évidence (p<0.001) de même qu'avec un manque d'adaptation (r = p<0.015), une certaine indifférence (r = p<0.018) et une réaction de déni (r = p<0.045). Conclusion: L'observation systématique des modifications du comportement émotionnel après un AVC suggère que les altérations émotionnelles sont indépendantes de la thymie et de l'atteinte physique et représentent donc probablement des séquelles à part entière de l'AVC. Abstract: Objective: To study emotional behaviors in an acute stroke population. Background: Alterations in emotional behavior after stroke have been recently recognized, but little attention has been paid to these changes in the very acute phase of stroke. Methods: Adult patients presenting with acute stroke were prospectively recruited and studied. We validated the Emotional Behavior Index (EBI), a 38-item scale designed to evaluate behavioral aspects of sadness, aggressiveness, disinhibition, adaptation, passivity, indifference, and denial. Clinical, historical, and imaging (computed tomography/magnetic resonance imaging) data were obtained on each subject through our Stroke Registry. Statistical analysis was performed with both univariate and multivariate tests. Results: Of the 254 patients, 40% showed sadness, 49% passivity, 17% aggressiveness, 53% indifference, 76% disinhibition, 18% lack of adaptation, and 44% denial reactions. Several significant correlations were identified. Sadness was correlated with a personal history of alcohol abuse (r = P < 0.037), female gender (r = P < 0.028), and hemorrhagic nature of the stroke (r = P < 0.063). Aggressiveness was correlated with a personal history of depression (r = P < 0.046) and hemorrhage (r = P < 0.06). Denial was correlated with male gender (r= P < 0.035) and hemorrhagic lesions (r = P < 0.05). Emotional behavior did not correlate with either neurologic impairment or lesion localization, but there was an association between hemorrhage and aggressive behavior (P < 0.001), lack of adaptation (r = P < 0.015), indifference (r = P < 0.018), and denial (r = P < 0.045). Conclusions: Systematic observations of acute emotional behaviors after stroke suggest that emotional alterations are independent of mood and physical status and should be considered as a separate consequence of stroke.

Exploration of geological variability and possible processes through the use of compositional data analysis: an example using scottish metamorphosed

Developments in the statistical analysis of compositional data over the last twodecades have made possible a much deeper exploration of the nature of variability,and the possible processes associated with compositional data sets from manydisciplines. In this paper we concentrate on geochemical data sets. First we explainhow hypotheses of compositional variability may be formulated within the naturalsample space, the unit simplex, including useful hypotheses of subcompositionaldiscrimination and specific perturbational change. Then we develop through standardmethodology, such as generalised likelihood ratio tests, statistical tools to allow thesystematic investigation of a complete lattice of such hypotheses. Some of these tests are simple adaptations of existing multivariate tests but others require specialconstruction. We comment on the use of graphical methods in compositional dataanalysis and on the ordination of specimens. The recent development of the conceptof compositional processes is then explained together with the necessary tools for astaying- in-the-simplex approach, namely compositional singular value decompositions. All these statistical techniques are illustrated for a substantial compositional data set, consisting of 209 major-oxide and rare-element compositions of metamorphosed limestones from the Northeast and Central Highlands of Scotland.Finally we point out a number of unresolved problems in the statistical analysis ofcompositional processes

Iron oxides and quality of organic matter in sugarcane harvesting systems

Improvements in working conditions, sustainable production, and competitiveness have led to substantial changes in sugarcane harvesting systems. Such changes have altered a number of soil properties, including iron oxides and organic matter, as well as some chemical properties, such as the maximum P adsorption capacity of the soil. The aim of this study was to characterize the relationship between iron oxides and the quality of organic matter in sugarcane harvesting systems. For that purpose, two 1 ha plots in mechanically and manually harvested fields were used to obtain soil samples from the 0.00-0.25 m soil layer at 126 different points. The mineralogical, chemical, and physical results were subjected to descriptive statistical analyses, such as the mean comparison test, as well as to multivariate statistical and principal component analyses. Multivariate tests allowed soil properties to be classified in two different groups according to the harvesting method: manual harvest with the burning of residual cane, and mechanical harvest without burning. The mechanical harvesting system was found to enhance pedoenvironmental conditions, leading to changes in the crystallinity of iron oxides, an increase in the humification of organic matter, and a relative decrease in phosphorus adsorption in this area compared to the manual harvesting system.

Exploration of geological variability and possible processes through the use of compositional data analysis: an example using scottish metamorphosed

Developments in the statistical analysis of compositional data over the last two decades have made possible a much deeper exploration of the nature of variability, and the possible processes associated with compositional data sets from many disciplines. In this paper we concentrate on geochemical data sets. First we explain how hypotheses of compositional variability may be formulated within the natural sample space, the unit simplex, including useful hypotheses of subcompositional discrimination and specific perturbational change. Then we develop through standard methodology, such as generalised likelihood ratio tests, statistical tools to allow the systematic investigation of a complete lattice of such hypotheses. Some of these tests are simple adaptations of existing multivariate tests but others require special construction. We comment on the use of graphical methods in compositional data analysis and on the ordination of specimens. The recent development of the concept of compositional processes is then explained together with the necessary tools for a staying- in-the-simplex approach, namely compositional singular value decompositions. All these statistical techniques are illustrated for a substantial compositional data set, consisting of 209 major-oxide and rare-element compositions of metamorphosed limestones from the Northeast and Central Highlands of Scotland. Finally we point out a number of unresolved problems in the statistical analysis of compositional processes

Iron oxides and quality of organic matter in sugarcane harvesting systems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Perceptions of beginning teachers in Florida regarding their preparation as it relates to the Florida Essential Generic Competencies

The purpose of the study is to investigate how beginning teachers in the state of Florida perceive their preparation to demonstrate the 27 Florida Essential Generic Competencies.^ The basic research question of this study was: How do beginning teachers perceive their level of preparation regarding their implementation of the Florida Essential Generic Competencies? This study identified and categorized the perceived degree of preparation for each of the competencies. Also, elementary, middle, and high school beginning teachers were compared to find significant differences and similarities in their perception of their preparation. A comparison was also done for graduates from in-state versus out-of-state and private versus public institutions.^ A survey developed in collaboration with the Department of Education, Florida State University, members of the Professional Orientation Program (POP) Coordinators, and the Project Director of Program Review in the College of Education at the University of South Florida, was sent to 5,076 beginning teachers. A total of 1,995 returned the survey in February of 1993. The Multivariate Analysis of Variance (MANOVA) procedure was used (Alpha =.05). Statistical analysis of the data involved a comparison of the different groups of beginning teachers by school level and kind of graduating institutions. The dependent variables analyzed were the responses to all items representing the generic competencies.^ The study identified and categorized the degree of preparation for each competency. The competencies receiving the lowest ratings for degree of preparation were: integrate computers in instruction; manage situations involving child abuse and/or neglect; severe emotional stress; alcohol and drug abuse.^ The Wilkes lambda and the Hotellings multivariate tests of significance were used to examine the differences among the groups. The competency items were further analyzed by a univariate F test. Results indicated that: (1) significant differences were found in nine competency items in which elementary teachers felt better prepared than middle and high school beginning teachers, (2) graduates from a Florida teacher education program felt they were better prepared in demonstrating the competencies than those from out-of-state schools, and (3) no significant difference was found in the perceptions of those who graduated from public versus private institutions.^ Based on the findings of this study, the following recommendations are made: (1) Florida's institutions responsible for teacher preparation programs need to focus on those competencies receiving the lowest ratings, (2) Districts should provide an orientation program for out-of-state beginning teachers, and (3) The survey instrument should be used annually to evaluate teacher education programs. ^

Reading comprehension and mathematical concept acquisition through the use of math stories with bilingual children

Math storybooks are picture books in which the understanding of mathematical concepts is central to the comprehension of the story. Math stories have provided useful opportunities for children to expand their skills in the language arts area and to talk about mathematical factors that are related to their real lives. The purpose of this study was to examine bilingual children's reading and math comprehension of the math storybooks. ^ The participants were randomly selected from two Korean schools and two public elementary schools in Miami, Florida. The sample consisted of 63 Hispanic American and 43 Korean American children from ages five to seven. A 2 x 3 x (2) mixed-model design with two between- and one within-subjects variable was used to conduct this study. The two between-subjects variables were ethnicity and age, and the within-subjects variable was the subject area of comprehension. Subjects were read the three math stories individually, and then they were asked questions related to reading and math comprehension. ^ The overall ANOVA using multivariate tests was conducted to evaluate the factor of subject area for age and ethnicity. As follow-up tests for a significant main effect and a significant interaction effect, pairwise comparisons and simple main effect tests were conducted, respectively. ^ The results showed that there were significant ethnicity and age differences in total comprehension scores. There were also age differences in reading and math comprehension, but no significant differences were found in reading and math by ethnicity. Korean American children had higher scores in total comprehension than those of Hispanic American children, and they showed greater changes in their comprehension skills at the younger ages, from five to six, whereas Hispanic American children showed greater changes at the older ages, from six to seven. Children at ages five and six showed higher scores in reading than in math, but no significant differences between math and reading comprehension scores were found at age seven. ^ Through schooling with integrated instruction, young bilingual children can move into higher levels of abstraction and concepts. This study highlighted bilingual children's general nature of thinking and showed how they developed reading and mathematics comprehension in an integrated process. ^

Perceptions of beginning teachers in Florida regarding their preparation as it relates to the Florida essential generic competencies

The purpose of the study is to investigate how beginning teachers in the state of Florida perceive their preparation to demonstrate the 27 Florida Essential Generic Competencies. The basic research question of this study was: How do beginning teachers perceive their level of preparation regarding their implementation of the Florida Essential Generic Competencies? This study identified and categorized the perceived degree of preparation for each of the competencies. Also, elementary, middle, and high school beginning teachers were compared to find significant differences and similarities in their perception of their preparation. A comparison was also done for graduates from in-state versus out-of-state and private versus public institutions. A survey developed in collaboration with the Department of Education, Florida State University, members of the Professional Orientation Program (POP) Coordinators, and the Project Director of Program Review in the College of Education at the University of South Florida, was sent to 5,076 beginning teachers. A total of 1,995 returned the survey in February of 1993. The Multivariate Analysis of Variance (MANOVA) procedure was used (Alpha = .05). Statistical analysis of the data involved a comparison of the different groups of beginning teachers by school level and kind of graduating institutions. The dependent variables analyzed were the responses to all items representing the generic competencies. The study identified and categorized the degree of preparation for each competency. The competencies receiving the lowest ratings for degree of preparation were: integrate computers in instruction; manage situations involving child abuse and/or neglect; severe emotional stress; alcohol and drug abuse. The Wilkes lambda and the Hotellings multivariate tests of significance were used to examine the differences among the groups. The competency items were further analyzed by a univariate F test. Results indicated that: (1) significant differences were found in nine competency items in which elementary teachers felt better prepared than middle and high school beginning teachers, (2) graduates from a Florida teacher education program felt they were better prepared in demonstrating the competencies than those from out-of-state schools, and (3) no significant difference was found in the perceptions of those who graduated from public versus private institutions. Based on the findings of this study, the following recommendations are made: (1) Florida's institutions responsible for teacher preparation programs need to focus on those competencies receiving the lowest ratings, (2) Districts should provide an orientation program for out-of-state beginning teachers, and (3) The survey instrument should be used annually to evaluate teacher education programs.