Small sample power of tests of normality when the alternative is an alpha-stable distribution

This paper is a Monte-Carlo study of the small sample power of six tests of a normality hypotheses when the alternative is an alpha-stable distribution with param- eter values similar to those estimated for monthly total returns on equity indices. In these circumstances a sample size of 2oo is required to detect departures from normality. In most cases only small samples of consistent monthly data on such to- tal returns are available and these are not sufficient to differentiate between normal and alpha-stable distributions.

Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices

This Paper summarizes the theory of Maximum Likelihood Estimation of regressions with alpha-stable residuals. Day of week effects in returns on equity indices, adjusted for dividends (total returns) are estimated and tested using this and traditional OLS methodology. I find that the alpha-stable methodology is feasible. There are some differences in the results from the two methodologies. The conclusion remains that if individual coefficients are of interest and the residuals have fat tails and a possible alpha-stable distribution, the results can be checked for robustness using methods such as those employed here.alpha stable distribution, regression, day of week effects

A RATS subroutine to implement the Chow-Lin distribution/interpolation procedure

This paper describes a RATS (www.estima.com) routine to implement the Chow Lin (1971) procedure for the best linear unbiased distribution and interpolation of time series by related series. Various versions of this procedure have been used in the Bank to distribute/interpolate annual to quarterly time series. One particular use of the routine described here has been to derive quarterly national accounts that have been used to estimate a quarterly macro model of the Irish economy and in various other research studies in the Bank. A zip archive containing a pdf version of the paper, the RATS routine, a sample program and data is available for download. The archive was created using Info-ZIP’s WIZ (http://www.info-zip.org/pub/infozip/WiZ.html) and may be expanded using this program or similar program.

Inflation and Money Growth - Evidence from a Multi-Country Data-Set

Using a multi-country data set strong correlation are found between average growth rates of monetary aggregates and average inflation. The correlation remains strong when countries with higher average inflation rates are removed from the sample. These results confirm the strong correlation found in the traditional literature but contradict those in De Grauwe and Polan (2001) who, in a recent analysis, find that the strong link vanishes when higher inflation countries are excluded. Further analysis confirms the unit response and bears out the value of monetary aggregates as an input to the making of monetary policy.

Market Risk: An introduction to the concept & analytics of Value-at-risk.

In recent years the concept of Value-at-risk has achieved prominence among risk managers for the purpose of market risk measurement and control. Spurred by the increasing complexity and volume of trade in derivatives, and by the numerous headline cases of institutions sustaining enormous losses from their derivatives activities, risk managers have acknowledged the need for a unified risk measurement and management strategy. Furthermore, the regulatory authorities, recognising the systemic threat posed by the growth and complexity of derivatives trading, moved swiftly to address this problem. As a result, the European Union approved EC/93/6, "The Capital Adequacy Directive", which mandates financial institutions to quantify and measure risk on an aggregate basis and to set aside capital to cover potential losses which might accrue from their market positions. More recently, the Basle committee of the BIS published an amendment to the "Capital Accord" which makes provision for the use of proprietary in-house models to be employed instead of the original framework. The proposed basis of these in-house models is the value-at-risk framework. In this paper, we present an introductory exposition to the concept of Value-at-risk describing, among other things, the methods commonly employed in its calculation, and a brief critique of each.

Estimating Investment Functions for a Small-Scale Econometric Model

This note summarises the results of an exercise in estimating investment functions for inclusion in a small-scale econometric model of the economy. The overall exercise in model-building is a joint project involving three staff from Economic Analysis, Research and Publications. Its aim is to produce a small-scale model of the economy with reasonably good forecasting and policy simulation properties. One of the main difficulties with previous versions of the model and, indeed, with some other models of the Irish economy is their relatively unsatisfactory modelling of investment. The estimated equations generally have poor fit compared to other areas of the model resulting in rather large forecast errors and undermining confidence in policy simulations.

An Introduction to Matlab for Econometrics

This paper is an introduction to MATLAB for econometrics. It describes the MATLAB Desktop, contains a sample MATLAB session showing elementary MATLAB operations, gives details of data input/output, decision and loop structures, elementary plots, describes the LeSage econometrics toolbox and maximum likelihood using the LeSage toolbox. Various worked examples of the use of MATLAB in econometrics are also given. After reading this document the reader should be able to make better use of the MATLAB on-line help and manuals.Matlab, Econometric Software

Value at Risk (VaR) and the alpha-stable distribution

Volatility in financial markets is a matter of considerable concern to financial institutions and their supervisors. Already it is clear that this volatility has had an adverse effect on the real economy. Many measures of risk that are used today do not take full account of the kind of extreme changes in asset prices that have been observed. This paper finds that the Value at Risk measure of risk can be improved by the use of an alpha-stable distribution in place of more conventional measures. The paper describes the use of this measure and implements it for six total returns equity portfolios. We find that alpha-stable based measures are feasible and are better than conventional measures. They are a useful tool for the risk manager and the financial regulator.alpha stable distribution, Value at Risk, VaR

Data-independent acquisition mass spectrometry in severe rheumatic heart disease (RHD) identifies a proteomic signature showing ongoing inflammation and effectively classifying RHD cases

Background Rheumatic heart disease (RHD) remains a major source of morbidity and mortality in developing countries. A deeper insight into the pathogenetic mechanisms underlying RHD could provide opportunities for drug repurposing, guide recommendations for secondary penicillin prophylaxis, and/or inform development of near-patient diagnostics. Methods We performed quantitative proteomics using Sequential Windowed Acquisition of All Theoretical Fragment Ion Mass Spectrometry (SWATH-MS) to screen protein expression in 215 African patients with severe RHD, and 230 controls. We applied a machine learning (ML) approach to feature selection among the 366 proteins quantifiable in at least 40% of samples, using the Boruta wrapper algorithm. The case–control differences and contribution to Area Under the Receiver Operating Curve (AUC) for each of the 56 proteins identified by the Boruta algorithm were calculated by Logistic Regression adjusted for age, sex and BMI. Biological pathways and functions enriched for proteins were identified using ClueGo pathway analyses. Results Adiponectin, complement component C7 and fibulin-1, a component of heart valve matrix, were significantly higher in cases when compared with controls. Ficolin-3, a protein with calcium-independent lectin activity that activates the complement pathway, was lower in cases than controls. The top six biomarkers from the Boruta analyses conferred an AUC of 0.90 indicating excellent discriminatory capacity between RHD cases and controls. Conclusions These results support the presence of an ongoing inflammatory response in RHD, at a time when severe valve disease has developed, and distant from previous episodes of acute rheumatic fever. This biomarker signature could have potential utility in recognizing different degrees of ongoing inflammation in RHD patients, which may, in turn, be related to prognostic severity