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.

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

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.

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.

Adapting The Sniffin' Sticks Olfactory Test To Diagnose Parkinson's Disease In Estonia.

The aim of the study was to develop a culturally adapted translation of the 12-item smell identification test from Sniffin' Sticks (SS-12) for the Estonian population in order to help diagnose Parkinson's disease (PD). A standard translation of the SS-12 was created and 150 healthy Estonians were questioned about the smells used as response options in the test. Unfamiliar smells were replaced by culturally familiar options. The adapted SS-12 was applied to 70 controls in all age groups, and thereafter to 50 PD patients and 50 age- and sex-matched controls. 14 response options from 48 used in the SS-12 were replaced with familiar smells in an adapted version, in which the mean rate of correct response was 87% (range 73-99) compared to 83% with the literal translation (range 50-98). In PD patients, the average adapted SS-12 score (5.4/12) was significantly lower than in controls (average score 8.9/12), p < 0.0001. A multiple linear regression using the score in the SS-12 as the outcome measure showed that diagnosis and age independently influenced the result of the SS-12. A logistic regression using the SS-12 and age as covariates showed that the SS-12 (but not age) correctly classified 79.0% of subjects into the PD and control category, using a cut-off of <7 gave a sensitivity of 76% and specificity of 86% for the diagnosis of PD. The developed SS-12 cultural adaption is appropriate for testing olfaction in Estonia for the purpose of PD diagnosis.

Effect Of Exercise Test On Pulmonary Function Of Obese Adolescents.

to investigate the pulmonary response to exercise of non-morbidly obese adolescents, considering the gender. a prospective cross-sectional study was conducted with 92 adolescents (47 obese and 45 eutrophic), divided in four groups according to obesity and gender. Anthropometric parameters, pulmonary function (spirometry and oxygen saturation [SatO2]), heart rate (HR), blood pressure (BP), respiratory rate (RR), and respiratory muscle strength were measured. Pulmonary function parameters were measured before, during, and after the exercise test. BP and HR were higher in obese individuals during the exercise test (p = 0.0001). SatO2 values decreased during exercise in obese adolescents (p = 0.0001). Obese males had higher levels of maximum inspiratory and expiratory pressures (p = 0.0002) when compared to obese and eutrophic females. Obese males showed lower values of maximum voluntary ventilation, forced vital capacity, and forced expiratory volume in the first second when compared to eutrophic males, before and after exercise (p = 0.0005). Obese females had greater inspiratory capacity compared to eutrophic females (p = 0.0001). Expiratory reserve volume was lower in obese subjects when compared to controls (p ≤ 0,05). obese adolescents presented changes in pulmonary function at rest and these changes remained present during exercise. The spirometric and cardiorespiratory values were different in the four study groups. The present data demonstrated that, in spite of differences in lung growth, the model of fat distribution alters pulmonary function differently in obese female and male adolescents.

The Lea Grating Test In Assessing Detection Grating Acuity In Normal Infants Less Than 4 Months Of Age.

To assess binocular detection grating acuity using the LEA GRATINGS test to establish age-related norms in healthy infants during their first 3 months of life. In this prospective, longitudinal study of healthy infants with clear red reflex at birth, responses to gratings were measured at 1, 2, and 3 months of age using LEA gratings at a distance of 28 cm. The results were recorded as detection grating acuity values, which were arranged in frequency tables and converted to a one-octave scale for statistical analysis. For the repeated measurements, analysis of variance (ANOVA) was used to compare the detection grating acuity results between ages. A total of 133 infants were included. The binocular responses to gratings showed development toward higher mean values and spatial frequencies, ranging from 0.55 ± 0.70 cycles per degree (cpd), or 1.74 ± 0.21 logMAR, in month 1 to 3.11 ± 0.54 cpd, or 0.98 ± 0.16 logMAR, in month 3. Repeated ANOVA indicated differences among grating acuity values in the three age groups. The LEA GRATINGS test allowed assessment of detection grating acuity and its development in a cohort of healthy infants during their first 3 months of life.

The Geometric Curvature Of The Spine Of Runners During Maximal Incremental Effort Test.

This study sought to analyse the behaviour of the average spinal posture using a novel investigative procedure in a maximal incremental effort test performed on a treadmill. Spine motion was collected via stereo-photogrammetric analysis in thirteen amateur athletes. At each time percentage of the gait cycle, the reconstructed spine points were projected onto the sagittal and frontal planes of the trunk. On each plane, a polynomial was fitted to the data, and the two-dimensional geometric curvature along the longitudinal axis of the trunk was calculated to quantify the geometric shape of the spine. The average posture presented at the gait cycle defined the spine Neutral Curve. This method enabled the lateral deviations, lordosis, and kyphosis of the spine to be quantified noninvasively and in detail. The similarity between each two volunteers was a maximum of 19% on the sagittal plane and 13% on the frontal (p<0.01). The data collected in this study can be considered preliminary evidence that there are subject-specific characteristics in spinal curvatures during running. Changes induced by increases in speed were not sufficient for the Neutral Curve to lose its individual characteristics, instead behaving like a postural signature. The data showed the descriptive capability of a new method to analyse spinal postures during locomotion; however, additional studies, and with larger sample sizes, are necessary for extracting more general information from this novel methodology.

Twin-twin Transfusion Syndrome: Neurodevelopmental Screening Test.

Objective To assess the neurodevelopmental functions (cognition, language and motor function) of survivors of twin-twin transfusion syndrome (TTTS). Method Observational cross-sectional study of a total of 67 monochorionic diamniotic twins who underwent fetoscopic laser coagulation (FLC) for treatment of TTTS. The study was conducted at the Center for Investigation in Pediatrics (CIPED), Universidade Estadual de Campinas. Ages ranged from one month and four days to two years four months. Bayley Scales of Infant and Toddler Development Screening Test-III, were used for evaluation. Results Most children reached the competent category and were classified as having appropriate performance. The preterm children scored worse than term infants for gross motor subtest (p = 0.036). Conclusion The majority of children reached the expected development according to their age. Despite the good neurodevelopment, children classified at risk should be monitored for development throughout childhood.

Evaluation of the cytotoxic and genotoxic potential of water from the River Paraíba do Sul, in Brazil, with the Allium cepa L. test

This work investigated the cytotoxic and genotoxic potential of water from the River Paraíba do Sul (Brazil) using Allium cepa roots. An anatomo-morphological parameter (root length), mitotic indices, and frequency of micronuclei were analysed. Eight bulbs were chosen at random for treatment for 24 to 120 hours with the River water collected in the years of 2005 and 2006 from sites in the cities of Tremembé and Aparecida (São Paulo state, Brazil). Daily measurements of the length of the roots grown from each bulb were carried out throughout the experiment. Mitotic index (MI) and frequency of micronuclei (MN) were determined for 2000 cells per root, using 3-5 root tips from other bulbs (7-10). Only in the roots treated with samples of the River water collected in 2005 in Tremembé city was there a decrease in the root length growth compared to the respective control. However, a reduction in MI values was verified for both sites analysed for that year. Considering the data involving root length growth and especially MI values, a cytotoxic potential is suggested for the water of the River Paraíba do Sul at Tremembé and Aparecida, in the year of 2005. On the other hand, since in this year the MN frequency was not affected with the river water treatments, genotoxicity is not assumed for the river water sampled at the aforementioned places.

Comparison between the 1% and 2% ibopamine provocative test in primary open-angle glaucoma patients: sensitivity, specificity and tolerability

PURPOSE: To compare intraocular pressure (IOP) rise in normal individuals and primary open-angle glaucoma patients and the safety and efficacy of ibopamine eye drops in different concentrations as a provocative test for glaucoma. METHODS: Glaucoma patients underwent (same eye) the ibopamine provocative test with two concentrations, 1% and 2%, in a random sequence at least 3 weeks apart, but not more than 3 months. The normal individuals were randomly submitted to one of the concentrations of ibopamine (1% and 2%). The test was considered positive if there was an IOP rise greater than 3 or 4 mmHg at 30 or 45 minutes to test which subset of the test has the best sensitivity (Se)/specificity (Sp). RESULTS: There was no statistically significant difference in any of the IOP measurements, comparing 1% with 2% ibopamine. The IOP was significantly higher at 30 and 45 minutes with both concentrations (p<0.001). The best sensitivity/specificity ratio was achieved with the cutoff point set as greater than 3 mmHg at 45 minutes with 2% ibopamine (area under the ROC curve: 0.864, Se: 84.6%; Sp:73.3%). All patients described a slight burning after ibopamine's instillation. CONCLUSION: 2% ibopamine is recommended as a provocative test for glaucoma. Because both concentrations have similar ability to rise IOP, 1% ibopamine may be used to treat ocular hypotony.

Applying a new version of the Brazilian-Portuguese UPSIT smell test in Brazil

Standardized olfactory tests are now available to quantitatively assess disorders of olfaction. A Brazilian-Portuguese version of the University of Pennsylvania Smell Identification Test (UPSIT) is currently being developed specifically for the Brazilian population. The most recent Brazilian-Portuguese version of the UPSIT (UPSIT-Br2) was administered to 88 Brazilian subjects who had no history of neurological or otorhinolaryngological disease. UPSIT-Br2 scores decreased with age, were lower in men than in women, and were lower in subjects with lower income. The degree to which the poorer performance of subjects with lower socio-economic status reflects lack of familiarity with test items is not known. Although this version of the UPSIT provides a sensitive and useful test of smell function for the Brazilian population, a revision of some test items is needed to achieve comparable norms to those found using the North American UPSIT in the United States.

Pathogenicity of different rabies virus isolates and protection test in vaccinated mice

This study was aimed to evaluate and compare the pathogenicity of rabies virus isolated from bats and dogs, and to verify the efficacy of a commercial rabies vaccine against these isolates. For evaluation of pathogenicity, mice were inoculated by the intramuscular route (IM) with 500MICLD50/0.03mL of the viruses. The cross-protection test was performed by vaccinating groups of mice by the subcutaneous route and challenged through the intracerebral (IC) route. Isolates were fully pathogenic when inoculated by the IC route. When inoculated intramuscularly, the pathogenicity observed showed different death rates: 60.0% for the Desmodus rotundus isolate; 50.0% for dog and Nyctinomops laticaudatus isolates; 40.0% for Artibeus lituratus isolate; 9.5% Molossus molossus isolate; and 5.2% for the Eptesicus furinalis isolate. Mice receiving two doses of the vaccine and challenged by the IC route with the isolates were fully protected. Mice receiving only one dose of vaccine were partially protected against the dog isolate. The isolates from bats were pathogenic by the IC route in mice. However, when inoculated through the intramuscular route, the same isolates were found with different degrees of pathogenicity. The results of this work suggest that a commercial vaccine protects mice from infection with bat rabies virus isolates, in addition to a canine rabies virus isolate.