Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply our results to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) and prove the first order asymptotic validity of the bootstrap approximation to the true distribution of quasi-maximum likelihood estimators. We also consider bootstrap testing. In particular, we prove the first order asymptotic validity of the bootstrap distribution of suitable bootstrap analogs of Wald and Lagrange Multiplier statistics for testing hypotheses. Nous proposons une approche unifiée pour analyser la méthode de bootstrap appliquée aux estimateurs de pseudo-maximum de vraisemblance dans le contexte de modèles non linéaires dynamiques où les données sont caractérisées par une dépendance d'époque proche. Nous appliquons nos résultats à la méthode de bootstrap de blocs mouvants de Künsch (1989) et Liu et Singh (1992) et nous démontrons la validité asymptotique de premier ordre de l'approximation du bootstrap à la distribution asymptotique de l'estimateur de pseudo-maximum de vraisemblance. Nous considérons aussi l'application du bootstrap à la réalisation de tests d'hypothèses. En particulier, nous démontrons la validité asymptotique des versions de bootstrap des tests de Wald et du multiplicateur de Lagrange.Block bootstrap, quasi-maximum likelihood estimator, nonlinear dynamic model, near epoch dependence, Wald test, Bootstrap en bloc, pseudo-maximum de vraisemblance, modèle non linéaire dynamique, dépendance d'époque proche, test de Wald

The Bootstrap of the Mean for Dependent Heterogeneous Arrays

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. A0501n purpose of this paper is thus to establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a class of processes broadly relevant for applications in economics and finance. The results apply to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) as well as to the stationary bootstrap of Politis and Romano (1994). In particular, the consistency of the bootstrap variance estimator for the sample mean is shown to be robust against heteroskedasticity and dependence of unknown form. The first order asymptotic validity of the bootstrap approximation to the actual distribution of the sample mean is also established in this heterogeneous NED context. Actuellement, les conditions assurant la validité des méthodes de bootstrap pour la moyenne d'échantillon des (possiblement hétérogènes) fonctions de dépendance d'époque proche (DEP) des processus de mixage sont inconnues. Ainsi, un des objectifs principaux de cet article est d'établir la validité du bootstrap dans ce contexte, en élargissant l'applicabilité des méthodes de bootstrap à une classe de processus largement adéquats pour les applications en économie et en finance. Les résultats se rapportent au bootstrap de blocs mouvants de Künsch (1989) et Liu et Singh (1992), de même qu'au bootstrap stationnaire de Politis et Romano (1994). Plus particulièrement, nous démontrons que la consistance de l'estimateur de variance du bootstrap pour la moyenne d'échantillon résiste à l'hétéroscédasticité et à la dépendance de forme inconnue. La validité asymptotique de premier ordre de l'approximation du bootstrap à la distribution actuelle de la moyenne d'échantillon est également démontrée dans ce contexte DEP hétérogène.Block bootstrap, near epoch dependence, sample mean, Bootstrap en bloc, dépendance d'époque proche, moyenne d'échantillon

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy-toimplement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional large-sample approximation based on robust standard errors. In contrast, standard residual-based bootstrap methods for models with i.i.d. errors may be very inaccurate if the i.i.d. assumption is violated. We conclude that in many empirical applications the proposed robust bootstrap procedures should routinely replace conventional bootstrap procedures based on the i.i.d. error assumption. -- Bedingte Heteroskedastizität ist eine wichtige Eigenschaft von vielen Daten über Finanzmärkte und die Makroökonomie. Standard bootstrap Verfahren für dynamische Regressionsmodelle behandeln die Residuen der Regression als i. i. d. Bei bedingter Heteroskedastizität sind diese Prozeduren nicht angemessen. Wir zeigen die asymptotische Gültigkeit von 3 alternativen bootstrap Methoden für stationäre autoregressive Prozesse mit m. d. s. Fehler, die eine bedingte Heteroskedastizität unbekannter Form aufweisen. Es geht dabei um ein fixed-design wild bootstrap, den recursive-design wild bootstrap und den paarweisen bootstrap. In einer Simulationsstudie erscheinen alle 3 Prozeduren in kleinen Stichproben angewandt genauer als die konventionellen Approximationen, die auf robusten Standardfehlern basieren. Diese letztgenannten Methoden können dagegen sehr ungenau sein, wenn die i. i. d. Annahme nicht gilt. Wir schließen daraus, dass bei vielen empirischen Anwendungen die robusten bootstrap Verfahren, die hier vorgestellt werden und leicht zu implementieren sind, die üblichen bootstrap Verfahren ersetzen sollten.wild bootstrap,pairwise bootstrap,robust inference

Desenvolvimento das competências auditivas de crianças com implante coclear

Mestrado em Ciências da Fala e da AudiçãoObjetivo/Tema: Até ao momento, em Português Europeu, são poucos os estudos publicados sobre o desenvolvimento das competências auditivas de crianças com perda auditiva pré-lingual, utilizadoras de implante coclear. Deste modo, os principais objetivos deste estudo foram a análise do desempenho das competências auditivas de crianças com implante coclear, verificando em que medida esse desenvolvimento é similar ao que se observa em crianças normo-ouvintes. Pretendeu-se ainda estudar de que forma a idade auditiva e a idade cronológica afetaram o desempenho das crianças com implante coclear e se as condições em que o estímulo auditivo foi apresentado influenciaram a performance da amostra selecionada. Método: Nesta investigação participaram 17 crianças subdivididas em 2 grupos: grupo normo-ouvinte (n=10) e grupo de implantes cocleares (n=7), ambos os grupos com uma idade auditiva entre os 5 e 24 meses. Para a avaliação das competências auditivas funcionais foi utilizada a versão portuguesa da escala Functional Auditory Performance Indicators (FÁPI): An integrated Approach to Auditory Skill Development. Resultados: Os principais resultados do estudo foram a caracterização do desenvolvimento das competências auditivas de crianças com implante coclear e de crianças normo-ouvintes. Essa caracterização permitiu detetar a seguinte hierarquia de dificuldade de categorias, para ambos os grupos: “CASS”–”LFS”–“FAI”–“DAR”–“CA”–“MACP” e “PAL”. Em todas as categorias houve diferenças significativas, em termos de desempenho, entre os dois grupos em estudo. Também foram reunidos dados que apontam para uma correlação positiva entre a idade auditiva e o desempenho auditivo das crianças com implante coclear. No geral, as condições de apresentação do estímulo auditivo afetaram mais o desempenho das crianças normo-ouvintes do que o das crianças com implante coclear. Discussão: No que diz respeito à comparação de desempenho entre o grupo normo-ouvinte e o grupo de crianças com implante coclear existe alguma incongruência na literatura sobre este tópico. Contudo, relativamente à influência da idade auditiva e das condições de apresentação do estímulo auditivo, no geral, os resultados estão de encontro com a literatura. Conclusão: Os dados recolhidos demonstraram diferenças de desempenho entre os grupos de amostra. Novas investigações deverão incluir um método longitudinal e uma amostra de maior dimensão com mais subgrupos de idade auditiva.Objetive/Theme: Until now, in European Portuguese, there are few published studies about the development of auditory skills, of children with pre-lingual hearing impairment and cochlear implant users. In this way, the main objectives of this study were to analyze the performance of the auditory skills of children with cochlear implants by checking to what extent this development is similar to that observed in normal-hearing children. It was intended to also study how hearing age and chronological age affected the performance of children with cochlear implants and if the conditions in which the auditory stimulus was presented influenced the performance of the selected sample. Method: In this research participated 17 children divided into 2 groups: normal hearing group (n=10) and cochlear implants group (n=7), both groups with hearing age between 5 and 24 months. To evaluate the functional auditory skills, the portuguese version of the scale Functional Auditory Performance Indicators (FÁPI): An integrated Approach to Auditory Skill Development was used. Results: The main results of the study were to characterize the development of auditory skills of children with cochlear implant and children with normal-hearing. This characterization allowed to detect the following difficulty hierarchy of categories for both groups "CASS" - "LFS" - "FAI" - "DAR" - "CA" - "MACP" and "PAL". In all categories there were significant differences between the performance of the two study groups. There were also collected data that point to a positive correlation between hearing age and auditory performance of children with cochlear implants. Overall, the conditions of presentation of auditory stimuli affected more the performance of normal-hearing children than the children with cochlear implants. Discussion: Regarding to the comparison of performance between the normal-hearing group and the group of children with cochlear implants, there is some inconsistency in the literature on this topic. However, about the influence of hearing age and the conditions of presentation of the auditory stimulus, in general, the results are in agreement with the literature. Conclusion: The collected data showed differences in performance between the sample groups. Further investigations should include a longitudinal method and a bigger sample with more subgroups of hearing age

Qualidade de vida, bem-estar psicológico e estratégias de coping no tratamento de substituição com metadona e buprenorfina

Dissertação de mestrado integrado em Psicologia (área de especialização em Psicologia da Saúde)O presente estudo visa compreender como os toxicodependentes em dois tipos distintos de terapêutica de substituição (metadona e buprenorfina) percepcionam a sua qualidade de vida, que estratégias de coping utilizam e que níveis de ansiedade/depressão revelam ou seja verificar em qual dos programas terapêuticos apresentam uma percepção mais positiva em relação à qualidade de vida, bem-estar psicológico e às estratégias de coping. O tratamento pode permitir levar uma vida livre de drogas ou redução dos riscos de forma a promover o uso controlado de drogas, conseguir passar de hábitos de consumo perniciosos ao uso com menos riscos. Ao longo deste estudo pretende-se avaliar bem-estar físico, mental e social, dos toxicodependentes em tratamento de manutenção com metadona e buprenorfina, para o efeito utilizouse Questionário de Avaliação do Estado de Saúde (SF-36) Ware, Snow, Kosinsky & Candek (1993), adaptação e validação de Ferreira (2000), Hospital Anxiety Depression Scale (HADS) Zigmond & Snaith (1983), traduzido e adaptado por McIntyre, Pereira, Soares, Gouveia & Silva (1999) e o Questionário de Estratégias de Coping Folkman & Lazarus (1988) adaptação de Santos & Ribeiro (1998). O consumo de substâncias nocivas afecta dimensões importantes para a saúde (e.g., desempenho físico, emocional, saúde mental, função social e a vitalidade), leva à perda de controlo em termos comportamentais ou emocionais, problemas físicos, limitações para executar actividades físicas e potencia quadros de ansiedade e depressão. A amostra do estudo foi constituída por 49 sujeitos, submetidos a um dos tratamentos com metadona ou buprenorfina. Os resultados indicam que não existem diferenças significativas ao nível da ansiedade e depressão, qualidade e vida e estratégias de coping entre os indivíduos em terapêutica de substituição com buprenorfina e metadona.This study aims to understand how drug users into two distinct types of substitution therapy (methadone and buprenorphine) do their quality of life, which coping use strategies and that levels of anxiety/depression reveal that is check which therapeutic programmes feature a more positive perception in relation to the quality of life, well-being and psychological strategies coping. Treatment can allow lead a life free from drugs or reduction of risks in order to promote the use of controlled drugs, get going from pernicious habits to use with less risk. Throughout this study aims to evaluate physical, mental and social well-being, of drug addicts in methadone maintenance treatment and buprenorphine, for this purpose used Questionnaire for assessment of health status (SF-36) Ware, Snow, Kosinsky & Candek (1993), adaptation and validation of Ferreira (2000), the Hospital Anxiety Depression Scale (HADS) & Zigmond Snaith (1983), translated and adapted by McIntyre, Pereira Soares, Gouveia & Silva (1999) and the Questionnaire Coping strategies of Lazarus & Folkman (1988) adaptation of Saints & Ribeiro (1998). The consumption of substances harmful affects important dimensions to health (e.g.performance, physical, emotional, mental health, social function and vitality), leads to loss of control in terms of emotional, behavioral or physical problems, limitations to perform physical activities and potencies frames of anxiety and depression. The study sample consisted of 49 subject, subjected to a treatment with methadone or buprenorphine. The results indicate that there are no significant differences at the level of anxiety and depression, and quality and life coping strategies in either subject in substitution therapy with methadone or buprenorphine

O microbioma intestinal humano e as suas implicações na saúde

Monografia realizada no âmbito da unidade de Estágio Curricular do Mestrado Integrado em Ciências Farmacêuticas, apresentada à Faculdade de Farmácia da Universidade de CoimbraO Microbioma Humano é definido como a comunidade de microrganismos e dos seus genes, que colonizam zonas superficiais ou profundas do corpo humano. O desenvolvimento do microbioma humano é um processo dinâmico, variando ao longo da vida coexistindo em sinergia com o seu hospedeiro. O trato gastrointestinal, mais precisamente o intestino, é o local do organismo humano que alberga o maior número e diversidade de microrganismos, exercendo uma maior influência sobre os mecanismos homeostáticos humanos. Assim, alterações ao nível da homeostasia do microbioma intestinal humano, podem estar associadas a diversas doenças como a diabetes mellitus, a obesidade, doenças cardiovasculares, doenças neurodegenerativas e doenças metabólicas. No entanto, as consequências dessas alterações podem ser reduzidas por influência de determinadas fatores nomeadamente a dieta mediterrânica, através do sinergismo entre os alimentos e os seus componentes, juntamente com terapias medicamentosas, como o uso de probióticos, prebióticos ou o método de transplante bacteriano fecal. Estes fatores modelam o microbioma humano, impedindo o desenvolvimento e prevalência das doenças, contribuindo para uma vida mais saudável. Há ainda um longo caminho a percorrer nesta área e espera-se que, num futuro próximo, surjam avanços no tratamento das patologias associadas ao microbioma intestinal, a partir do conhecimento mais aprofundado deste.The human microbiome is defined as a microorganism community and its genetic code. The human microbiome colonizes different parts of human body, lying in greater abundance on the gut. Its development is dynamic process, varying through the different life stages. It coexists in a synergetic relation with the human host. Thus, its physiology is influenced by the performance of metabolic functions and the immune system growth. Gastrointestinal tract, particularly in the gut, is the anatomical region which accounts the highest quantity and widest diversity of microorganisms. Moreover, it has major influence over the human homeostatics mechanisms. Variations in the intestinal microbiome homeostasis level, tend to be associated to several diseases such as diabetes mellitus, obesity, cardiovascular diseases, neurodegenerative diseases or metabolic diseases. Nevertheless, the consequences of these variations may be minimized by the influence of several factors like the mediterranean diet. Through the synergism between food and its components, drug therapies, such as the use of probiotics, prebiotics and fecal bacterial transplant method, these factors may modulate the human microbiota. Leading to the prevention in the development and prevalence of illnesses, contributing for a healthier life. There is still an ample room for further researches in this field of analysis. However, it is expected that, in the nearby future, some discoveries may lead to advances in the pathologies’ treatments connected with the intestinal microbiome. Per contra, it is central a deeper knowledge concerning the whole human microbiome

The Bootstrap of Mean for Dependent Heterogeneous Arrays

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a class of processes broadly relevant for applications in economics and finance. Our results apply to two block bootstrap methods: the moving blocks bootstrap of Künsch ( 989) and Liu and Singh ( 992), and the stationary bootstrap of Politis and Romano ( 994). In particular, the consistency of the bootstrap variance estimator for the sample mean is shown to be robust against heteroskedasticity and dependence of unknown form. The first order asymptotic validity of the bootstrap approximation to the actual distribution of the sample mean is also established in this heterogeneous NED context.Actuellement, les conditions assurant la validité des méthodes de bootstrap pour la moyenne d'échantillon des fonctions (possiblement hétérogènes) de dépendance d'époque proche (DEP) des processus de mixage sont inconnues. Un des objectifs principaux de cet article est d'établir la validité du bootstrap dans ce contexte, élargissant ainsi l'applicabilité des méthodes de bootstrap à une classe de processus largement adéquats pour les applications en économie et en finance. Les résultats s'appliquent au bootstrap de blocs mouvants de Künsch ( 989) et Liu et Singh ( 992), de même qu'au bootstrap stationnaire de Politis et Romano ( 994). Plus particulièrement, nous démontrons que la convergence de l'estimateur de variance du bootstrap pour la moyenne d'échantillon est robuste à l'hétéroscédasticité et à la dépendance de forme inconnue. La validité asymptotique de premier ordre de l'approximation du bootstrap à la distribution asymptotique de la moyenne d'échantillon est également démontrée dans ce contexte DEP hétérogène

Bootstrapping factor models with cross sectional dependence

We consider bootstrap methods for factor-augmented regressions with cross sectional dependence among idiosyncratic errors. This is important to capture the bias of the OLS estimator derived recently by Gonçalves and Perron (2014). We first show that a common approach of resampling cross sectional vectors over time is invalid in this context because it induces a zero bias. We then propose the cross-sectional dependent (CSD) bootstrap where bootstrap samples are obtained by taking a random vector and multiplying it by the square root of a consistent estimator of the covariance matrix of the idiosyncratic errors. We show that if the covariance matrix estimator is consistent in the spectral norm, then the CSD bootstrap is consistent, and we verify this condition for the thresholding estimator of Bickel and Levina (2008). Finally, we apply our new bootstrap procedure to forecasting inflation using convenience yields as recently explored by Gospodinov and Ng (2013)