Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the forecasting accuracy of models selected by this procedure. Two empirical applications confirm the usefulness of the model selection procedure proposed here for forecasting.

Analysis of the four wave mixing effect (FWM) in a dispersion decreasing fiber (DDF) for a WDM system

We did a numerical investigation of the propagation of short light pulses in the region of 1.55 mu m and the conversion efficiency (CE) for the four wave mixing generation (FWM) of ordinary and dispersion decreasing fibers for use in wavelength division multiplexing (WDM) systems, Our simulations studies three different profiles, linear, hyperbolic. and constant, One conclude that for all the profiles there is decrease of the conversion efficiency with the increase in the channel separation. The hyperbolic profile present a higher efficiency of around 1000 above in magnitude compared with the others profiles at 0.2 nm of channel separation. We calculate the conversion efficiency versus the fiber length for the three profiles. The conversion efficiency for the hyperbolic profile is higher when compared to the constant and linear profiles. The other interesting point of the hyperbolic profile is that the increase of the CE in the beginning of the fiber does not show my oscillation in the CE value (log eta), which was observed for the constant and linear profiles. For all the profiles there is an increase of the conversion efficiency with the increase of the pump power. The compression factor C-i for the generated FWM signal at omega(3) was measured along the DDF's and the constant profile fibers. One can conclude that with the use of decreasing dispersion profile (DDF) fibers one can have a control of the (CE) conversion efficiency and the compression factor of the four wave mixing (FWM) generation in WDM systems. (c) 2005 Elsevier B.V. All rights reserved.

Leaf area prediction models for Zinnia elegans Jacq., Zinnia haageana regel and 'profusion cherry'

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Probing neutrino oscillations in supersymmetric models at the Large Hadron Collider

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Shorter CAG repeat length in the AR gene is associated with poor outcome in head and neck cancer

Objective: Alterations in the size of the [CAG](n) repeats of the AR gene have been described in several types tumors. The purpose of this study was to evaluate if there is an association between the AR [CAG](n) repeat alleles and the relative risk for head and neck cancer and to analyse microsatellite instability (MSI) and loss of heterozygosity (LOH) in these tumors.Design: Matched samples of blood and head and neck tumors were evaluated using two methodologies, silver-stained gels to perform the analyses of MSI and LOH, and automated analysis to confirm these results and for genotyping of the AR [CAG](n), repeat length. Sixty-nine individuals without cancer were used as a control group for both procedures. The Log-rank test was used to compare overall survival and disease-free survival curves. The Cox proportional hazards regression models were performed to determine the [CAG], repeats as an independent prognostic factor.Results: Patients with alleles <= 20 in the male group showed a correlation with lower disease-free survival (P = 0.0325) and with recurrence or metastasis (RR 2.52, CI 95%). in the female group, the allele 2 (longer allele) showed a significant lower mean of [CAG](n), repeat when compared to the control group. Microsatellite instability was detected in nine cases in both procedures. In six out of these nine cases, we observed a reduction of the AR [CAG](n) repeat length. LOH was detected in one out of 17 women informative for oral cancer in both procedures.Conclusion: These results suggest that short [CAG](n) repeat length (: 20) polymorphism is associated with poor prognosis in a subset of male patients with head and neck cancer and that AR gene microsatellite instability is uncommon in these tumors. (C) 2007 Elsevier Ltd. All rights reserved.

Low-Resolution Molecular Models Reveal the Oligomeric State of the PPAR and the Conformational Organization of Its Domains in Solution

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

Application of abrupt cut-off models in the analysis of the capacitance spectra of conjugated polymer devices

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

3-3-1 models at electroweak scale

We show that in 3-3-1 models there exist a natural relation among the SU(3)(L) coupling constant g, the electroweak mixing angle theta(W), the mass of the W, and one of the vacuum expectation values, which implies that those models can be realized at low energy scales and, in particular, even at the electroweak scale. So that, being that symmetries realized in Nature, new physics may be really just around the corner. (c) 2006 Elsevier B.V. All rights reserved.

Anomaly-free constraints in neutrino seesaw models

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

Radion-Higgs mixing effects on bounds from LHC Higgs boson searches

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

Mixing, demixing, and structure formation in a binary dipolar Bose-Einstein condensate

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

Photorefractive two-wave mixing phase coupling measurement in a self-stabilized recording regime

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)