Conditional predictive density evaluation in the presence of instabilities

We propose new methods for evaluating predictive densities. The methods includeKolmogorov-Smirnov and Cram?r-von Mises-type tests for the correct specification ofpredictive densities robust to dynamic mis-specification. The novelty is that the testscan detect mis-specification in the predictive densities even if it appears only overa fraction of the sample, due to the presence of instabilities. Our results indicatethat our tests are well sized and have good power in detecting mis-specification inpredictive densities, even when it is time-varying. An application to density forecastsof the Survey of Professional Forecasters demonstrates the usefulness of the proposedmethodologies.

Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set

We evaluate conditional predictive densities for U.S. output growth and inflationusing a number of commonly used forecasting models that rely on a large number ofmacroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly used normality assumption fit actual realizationsout-of-sample. Our focus on predictive densities acknowledges the possibility that, although some predictors can improve or deteriorate point forecasts, they might have theopposite effect on higher moments. We find that normality is rejected for most modelsin some dimension according to at least one of the tests we use. Interestingly, however,combinations of predictive densities appear to be correctly approximated by a normaldensity: the simple, equal average when predicting output growth and Bayesian modelaverage when predicting inflation.

Testing for convergence clubs in income per-capita: A predictive density approach

The paper proposes a technique to jointly test for groupings of unknown size in the cross sectional dimension of a panel and estimates the parameters of each group, and applies it to identifying convergence clubs in income per-capita. The approach uses the predictive density of the data, conditional on the parameters of the model. The steady state distribution of European regional data clusters around four poles of attraction with different economic features. The distribution of incomeper-capita of OECD countries has two poles of attraction and each grouphas clearly identifiable economic characteristics.

A Survey on Graphical Methods for Classification Predictive Performance Evaluation

Predictive performance evaluation is a fundamental issue in design, development, and deployment of classification systems. As predictive performance evaluation is a multidimensional problem, single scalar summaries such as error rate, although quite convenient due to its simplicity, can seldom evaluate all the aspects that a complete and reliable evaluation must consider. Due to this, various graphical performance evaluation methods are increasingly drawing the attention of machine learning, data mining, and pattern recognition communities. The main advantage of these types of methods resides in their ability to depict the trade-offs between evaluation aspects in a multidimensional space rather than reducing these aspects to an arbitrarily chosen (and often biased) single scalar measure. Furthermore, to appropriately select a suitable graphical method for a given task, it is crucial to identify its strengths and weaknesses. This paper surveys various graphical methods often used for predictive performance evaluation. By presenting these methods in the same framework, we hope this paper may shed some light on deciding which methods are more suitable to use in different situations.

Bone mineral density evaluation in rats submitted to daily diet of coffee and soft drinks

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Alternative tests for correct specification of conditional predictive densities

We propose new methods for evaluating predictive densities that focus on the models' actual predictive ability in finite samples. The tests offer a simple way of evaluatingthe correct specification of predictive densities, either parametric or non-parametric.The results indicate that our tests are well sized and have good power in detecting mis-specification in predictive densities. An empirical application to the Survey ofProfessional Forecasters and a baseline Dynamic Stochastic General Equilibrium modelshows the usefulness of our methodology.

Evaluation of strain, dietary energy level and stocking density on broiler feathering

This study evaluated the effects of strain, stocking density and dietary energy level on the feathering of broiler chickens. Four trials were carried out between September 2000 and April 2002. There were 10,685 broiler chicks from the strains Ross 308, Cobb 500, Hybro PG, Hubbard, MPK, and Isa Vedette. The bids were reared at stocking densities varying between 10 and 16 birds/m² and were given diets containing different metabolizable energy levels. Broiler feathering was evaluated either by atrributing scores from 1 to 10 to feather covering along the thigh and back (visual inspection), or by determining the percentage weight of the feathers at 28 and 42 days of age. Increasing rearing densities resulted in poorer feathering, mainly if 12 or 13 birds/m² were compared with 16 birds/m². The strains showed different feathering; it was better in Cobb 500 and MPK birds, whereas Hubbard birds showed poorer feathering, mostly along the back. The energy level in the diet has also affected feathering scores. Medium energy level resulted in better feathering along the back at 28 days, and the low level, in better feathering along the thigh at 35 days of age. Finally, feather scores were better in females than in males.

Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

Bone mineral density of tibae and femura of broiler breeders: growth, development and production

The aim of this study was to follow-up the physiological variations in the development of the bone tissue, associating them with the egg production curve. This study was carried out in the facilities of the Faculdade de Medicina Veterinária e Zootecnia of the UNESP, Botucatu, Brazil. Twenty-three families of Ross broiler breeders were used, each family consisting of 13 females and 1 male, distributed in 23 pens of 5.0m² each. The management was that recommended by the genetic company manual (Agroceres Ross, 2003), with daily feeding until 6th week of age; and birds were fed according to a 5:2 schedule (5 days fed, 2 days of fasting) between 7 and 17 weeks of age, returning to daily feeding starting at 18 weeks of age. Birds did not receive afternoon calcium supplementation. on the fourth week of rearing, 84 females were removed for bone analyses of the right tibia and femur, using optical densitometry in radiographic images technique. These analyses were sequentially carried out in 4, 8, 12, 15, 20, 24, 30, 35, 42, 47, and 52 week-old birds. The egg production curve of the birds was followed-up and associated to bone mineral density results. For bone mineral density evaluation (BMD) birds were divided by weight categories as light, intermediate, or heavy within each data age. BMD values of the tibias were not influenced by weight range, but by the age at collection. on the other hand, interactions were found among femur BMD values and weight and age categories. There was no correlation between eggshell quality and femur BMD. A negative correlation (-0.15) was observed between tibia BMD and eggshell percentage. It was possible to conclude that the egg production has little influence on bone mineral density of the birds probably because there was no need of bone mineral mobilization during the production period, since the observed egg production was below that observed under commercial conditions.

Homeopathic Symphytum officinale increases removal torque and radiographic bone density around titanium implants in rats

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

Financial distress, financial constraint and investment decision: Evidence from Brazil

This paper analyses the presence of financial constraint in the investment decisions of 367 Brazilian firms from 1997 to 2004, using a Bayesian econometric model with group-varying parameters. The motivation for this paper is the use of clustering techniques to group firms in a totally endogenous form. In order to classify the firms we used a hybrid clustering method, that is, hierarchical and non-hierarchical clustering techniques jointly. To estimate the parameters a Bayesian approach was considered. Prior distributions were assumed for the parameters, classifying the model in random or fixed effects. Ordinate predictive density criterion was used to select the model providing a better prediction. We tested thirty models and the better prediction considers the presence of 2 groups in the sample, assuming the fixed effect model with a Student t distribution with 20 degrees of freedom for the error. The results indicate robustness in the identification of financial constraint when the firms are classified by the clustering techniques. (C) 2010 Elsevier B.V. All rights reserved.

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.

Calcificações vasculares nos doentes em diálise : elo de ligação entre doença óssea e doença vascular

RESUMO: A presente dissertação para tese de doutoramento apresenta o desenvolvimento e a validação de um método simples e original para o diagnóstico de calcificações vasculares em doentes em diálise, utilizando um score semiquantitativo criado por nós e obtido em RX simples da bacia e das mãos, denominado score de calcifi cação vascular simples. Demonstramos que este score vascular simples é preditor de risco cardiovascular nos doentes em diálise. O score de calcificação vascular simples associou-se ainda à baixa densidade mineral óssea avaliada por dual energy X -ray absortiometry (DXA) no colo do fémur. Verifi camos igualmente que, em doentes em diálise, as calcifi cações coronárias quantifi cadas pelo score de Agatston e o score de calcifi cação vascular simples se associaram a um menor volume ósseo avaliado em biopsias ósseas. Estes trabalhos corroboram a hipótese da existência de um elo de ligação entre a doença óssea e a doença vascular nos doentes em diálise, e um dos elementos que contribuem para este elo de ligação podem ser as calcificações vasculares. Este score de calcificação vascular simples avalia calcifi cações em artérias de grande, médio e pequeno calibre, e inclui os dois padrões radiológicos de calcificação: calcificação linear, associada à calcifi cação da camada média da parede arterial, e calcificação irregular, associada à calcifi cação da camada íntima arterial1. Nos diferentes trabalhos por nós publicados demonstramos que as calcificações vasculares avaliadas por este método simples e barato permitem a identificação de indivíduos com elevado risco cardiovascular. Este score vascular associa -se a maior risco de mortalidade cardiovascular2, de mortalidade de causa global3, de internamentos cardiovasculares2, de doença ardiovascular2, de doença arterial periférica2,4,de calcifi cações valvulares5 e de rigidez arterial3. As guidelines KDIGO (Kidney disease: improving global outcomes), publicadas em 2009,sugerem que os doentes renais crónicos nos estadios 3 a 5, com calcificações vasculares e valvulares, devem ser considerados como apresentando o mais elevado risco cardiovascular6. A elevada mortalidade dos doentes renais crónicos não é totalmente explicada pelos fatores de risco tradicionais7. A organização KDIGO defende, desde 2006, a hipótese da existência de um elo de ligação entre a doença óssea e a doença vascular8. Esta ligação pode ser explicada pelas alterações do metabolismo mineral e ósseo e pela sua interação com as calcificações vasculares. Verificamos, nos nossos trabalhos, uma associação entre calcifi cações vasculares e doença óssea. O baixo volume ósseo diagnosticado por análise histomorfométrica de biopsias ósseas foi preditor de maior risco de calcificações vasculares avaliadas pelo score de calcifi cação vascular simples (dados apresentados nesta dissertação, no capítulo 6) e pelo score coronário de Agatston num grupo de doentes em diálise9. A contribuição original deste artigo9 foi considerada merecedora de um editorial feito pelo Dr. Gérard London10, investigador líder na área da calcificação vascular dos doentes renais crónicos e actual Presidente da EDTA (European Dialysis and Transplantation Association). Fomos também os primeiros a descrever uma associação independente e inversa entre a densidade mineral avaliada no colo do fémur por DXA (dual energy X -ray absortiometry) com calcificações vasculares avaliadas pelo score de calcificação vascular simples, com rigidez arterial avaliada por velocidade de onda de pulsocarotidofemoral e com doença arterial periférica diagnosticada por critérios clínicos11. Fomos igualmente os primeiros a mostrar uma correlação signifi cativa entre a densidade mineral óssea avaliada por DXA no colo do fémur, mas não na coluna lombar, com a espessura cortical avaliada por análise histomorfométrica em biopsia óssea12. O nosso estudo atribui pela primeira vez à DXA um papel no diagnóstico de porosidade cortical nos doentes em diálise. A utilidade da avaliação diferencial da densidade mineral óssea cortical e trabecular necessita ainda de ser confirmada em estudos prospectivos. Este achado inovador do nosso estudo foi mencionado pela ERBP (European Renal Best Practice) no comentário feito à posição da KDIGO que considera ser reduzida a utilidade da densidade mineral óssea nos doentes em diálise13. Dois dos trabalhos incluídos nesta dissertação foram referenciados nas guidelines KDIGO 2009 para avaliar a prevalência das calcificações vasculares (KDIGO 2009: Tabela suplementar 10, Fig. 3.6) e para validar a associação entre calcificações vasculares e mortalidade cardiovascular (KDIGO 2009: Tabela suplementar 12, Fig. 3.7)6. A inclusão destes nossos dois estudos nas referências destas guidelines, que utilizaram o exigente sistema GRADE (Grades of recommendation, assessment, development, and evaluation) na classificação e selecção dos estudos, valida o interesse científico dos nossos trabalhos. O diagnóstico de calcificações vasculares tem um interesse prático para os doentes renais crónicos. A presença de calcifi cações vasculares é um sinal de alerta para a existência de um elevado risco cardiovascular, e esta informação pode ser utilizada para modificar a terapêutica nestes doentes6. Diferentes métodos podem ser usados para diagnosticar calcificações vasculares nos doentes em diálise14,15. O score de calcificação vascular simples tem a vantagem da simplicidade e de poder ser facilmente interpretado pelo nefrologista, sem necessidade de um radiologista. A reprodutibilidade deste score já foi demonstrada por diferentes grupos em estudos nacionais e internacionais16-24. Nestes estudos foi demonstrado que as calcifi cações vasculares avaliadas pelo método criado por nós são preditoras de maior risco de eventos cardiovasculares16, de amputações dos membros inferiores17, de velocidade de onda de pulso18,19, de calcificações corneanas e conjuntivais20 e de calcifi cações coronárias21. Também foi demonstrada uma associação inversa entre o score de calcificação vascular simples com os níveis séricos de PTH21, com os níveis de 25(OH)vitamina D 22,23 e com os níveis de fetuína A19,24. Todos estes estudos, realizados por diferentes grupos, que utilizaram o score de calcificação vascular simples na sua metodologia, comprovam a facilidade de utilização deste score e a concordância de resultados atestam a sua reprodutibilidade e a utilidade na avaliação dos doentes renais crónicos. ---------------------------ABSTRACT: This thesis presents the development and validation of a simple and original method to identify vascular calcifications in dialysis patients, using a semi -quantitative score that we have created and that is obtained in plain X -ray of pelvis and hands. This score was named in different publications as “simple vascular calcifi cation score”. We have demonstrated that this score is a predictor of higher cardiovascular risk in dialysis patients. The simple vascular calcification score was also associated with lower mineral bone density evaluated by DXA in femoral neck. In hemodialysis patients coronary calcifications evaluated by the coronary Agatston score and by the simple vascular calcification score were associated with lower bone volume analysed in bone biopsies. These studies corroborate the hypothesis of the existence of a link between bone disease and vascular disease in dialysis patients and one of the elements of this link may be vascular calcifications. This simple vascular calcification score identifi es calcifications in large, medium and small calibre arteries and includes the two radiological patterns of arterial calcifi cation: linear calcification which has been associated with the calcifi cation of the media layer of the arterial wall and irregular and patchy calcification which has been associated with the calcifi cation of the intima layer of the arterial wall1. In the several studies that we have published we have demonstrated that vascular calcifications evaluated by this simple and inexpensive method allow the identification of patients with high cardiovascular risk. This simple vascular calcification score is an independent predictor of cardiovascular mortality2, all -cause mortality3, cardiovascular hospitalizations2, cardiovascular disease2, peripheral artery disease2,4, valvular calcifi cations5 and arterial stiffness3.KDIGO (Kidney Disease: Improving Global Outcomes) guidelines published in 2009 suggest that chronic kidney disease patients in stages 3 to 5, with vascular and valvular calcifications should be considered to be at the highest cardiovascular risk6. The high mortality of chronic kidney disease patients is not completely explained by the traditional risk factors7 and KDIGO group supports, since 2006, the hypothesis of the existence of a link between bone disease and vascular disease8.This link may be explained by the alterations of the bone and mineral metabolism and their interaction with development and progression of vascular calcifications. We have also verifi ed in our studies the existence of an association between vascular calcifications and bone disease. Low bone volume diagnosed by histomorphometric analysis of bone biopsies, in a group of dialysis patients, was independently associated with the simple vascular calcification score (data presented in this thesis,chapter 6) and with coronary calcifications evaluated by the Agatston score9. The original contribution of this article published in CJASN9 deserved a commentary in an Editorial written by Prof. Gérard London10 leader investigator in this area and current EDTA (European Dialysis and Transplantation Association) President. We were also the fi rst group to describe an independent and inverse association between bone mineral density evaluated in the femoral neck by DXA (dual energy X -ray absortiometry) with vascular calcifications evaluated by the simple vascular calcification score, with arterial stiffness evaluated by carotid-femoral pulse wave velocity and with peripheral artery disease diagnosed by clinical criteria11. We were also the first group to demonstrate a significant correlation between bone mineral density evaluated by DXA in femoral neck but not in lumbar spine, with cortical thickness evaluated by histomorphometric analysis of bone biopsy12. Our study has attributed to DXA, for the first time, a role in the diagnosis of cortical porosity in dialysis patients. The clinical utility of the differential evaluation of bone mineral density in cortical or trabecular bone needs, however, to be confi rmed in prospective studies. This original fi nding of our study was mentioned by ERBP (European Renal Best Practice) commenting the KDIGO position in relation with the reduced utility of bone mineral density evaluation in dialysis patients13. Two of the studies included in this thesis have been integrated in a group of studies selected as references by the KDIGO guidelines published in 2009 to evaluate the prevalence of vascular calcifications in CKD patients (KDIGO 2009: Supplementary Table 10, Fig. 3.6) and to corroborate the association between vascular calcifications and cardiovascular mortality (KDIGO 2009: Supplementary Table 12, Fig. 3.7)6. The inclusion of both studies as references in the KDIGO guidelines that have used the exigent GRADE system (Grades of Recommendation, Assessment, Development, and Evaluation) in the classifi cation and selection of studies, validates the scientifi c value of our studies. The diagnosis of vascular calcifi cations has a practical interest for chronic kidney disease patients. The presence of vascular calcifications is an alert sign to the existence of a high cardiovascular risk and this information may be used to modify the treatment of these patients6. Different methods may be used to detect the presence of vascular calcifications in dialysis patients14,15. The simple vascular calcifi cation score has the advantage of being simple, inexpensive and easily evaluated by the Nephrologist without the need for a Radiologist interpretation. The reproducibility of this method has already been demonstrated by other groups in national and international studies16 -24. It was demonstrated in those studies that vascular calcifi cations evaluated by the method created by us, predict higher risk of cardiovascular events16, higher risk of lower limbs amputations17, higher pulse wave velocity18,19, corneal and conjuntival calcifi cations 20 and coronary calcifi cations21. A negative association between the simple vascular calcification score and PTH levels21, 25(OH) vitamin D levels22,23 and Fetuin A levels19,24 has also been demonstrated. All these studies performed by different groups that have used the simple vascular calcifi cation score in their methods demonstrate that this score is simple, useful and reproducible in the evaluation of chronic kidney disease patients simple, useful and reproducible in the evaluation of chronic kidney disease patients.

Forecasting with Medium and Large Bayesian VARs

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors which have been used with small VARs, discuss the issues which arise when they are used with medium and large VARs and examine their forecast performance using a US macroeconomic data set containing 168 variables. We nd that Bayesian VARs do tend to forecast better than factor methods and provide an extensive comparison of the strengths and weaknesses of various approaches. Our empirical results show the importance of using forecast metrics which use the entire predictive density, instead of using only point forecasts.