Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Growth and distribution: a revised classical model

This paper discusses distribution and the historical phases of capitalism. It assumes that technical progress and growth are taking place, and, given that, its question is on the functional distribution of income between labor and capital, having as reference classical theory of distribution and Marx’s falling tendency of the rate of profit. Based on the historical experience, it, first, inverts the model, making the rate of profit as the constant variable in the long run and the wage rate, as the residuum; second, it distinguishes three types of technical progress (capital-saving, neutral and capital-using) and applies it to the history of capitalism, having the UK and France as reference. Given these three types of technical progress, it distinguishes four phases of capitalist growth, where only the second is consistent with Marx prediction. The last phase, after World War II, should be, in principle, capital-saving, consistent with growth of wages above productivity. Instead, since the 1970s wages were kept stagnant in rich countries because of, first, the fact that the Information and Communication Technology Revolution proved to be highly capital using, opening room for a new wage of substitution of capital for labor; second, the new competition coming from developing countries; third, the emergence of the technobureaucratic or professional class; and, fourth, the new power of the neoliberal class coalition associating rentier capitalists and financiers

Lumber quality of Eucalyptus grandis as a function of diametrical position and log steaming

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

Log smoldering after an Amazonian deforestation fire

The characteristics of log smoldering after an Amazonian deforestation fire are described. The experiment was carried out in 2001 at the Caiabi farm, near the city of Alta Floresta, state of Mato Grosso, Brazil, as part of a set of tests that have been performed in the same area since 1997. A 200 x 200m(2) test area was slashed in the beginning of June and burned on 20 August. The area contained 507 logs with diameter at breast height (DBH) higher than 10 cm, per hectare. In the day following the main burn 59 logs were found to remain smoldering, a number that corresponds to 2.9% of the total in the area. We chose 11 of the 59 logs to have their smoldering process monitored. Their diameter, moisture content and CHN dry biomass composition after the plot burn and before smoldering were determined. Other parameters such as temperature distribution while smoldering, porosity, density and mass volatilized during thermogravimetric test were also determined. Average smoldering speeds were in the range from 0.8 to 1.5 cm h(-1) for logs that smoldered without transition to the flaming regime. The average speed increased to 2.1 cm h(-1) for those logs that oscillated between smoldering and flaming. The speeds were lower overnight as compared to values determined during daytime for the same log. Higher log moisture contents were found to produce decreased speeds. Micro-porous biomass was not observed in the set of the 11 selected logs. Smoldering was observed to occur at substantial intensity in crossing of logs, with no longitudinal propagation. (C) 2003 Elsevier Ltd. All rights reserved.

Time-series-based maximization of distributed wind power generation integration

Energy policies and technological progress in the development of wind turbines have made wind power the fastest growing renewable power source worldwide. The inherent variability of this resource requires special attention when analyzing the impacts of high penetration on the distribution network. A time-series steady-state analysis is proposed that assesses technical issues such as energy export, losses, and short-circuit levels. A multiobjective programming approach based on the nondominated sorting genetic algorithm (NSGA) is applied in order to find configurations that maximize the integration of distributed wind power generation (DWPG) while satisfying voltage and thermal limits. The approach has been applied to a medium voltage distribution network considering hourly demand and wind profiles for part of the U.K. The Pareto optimal solutions obtained highlight the drawbacks of using a single demand and generation scenario, and indicate the importance of appropriate substation voltage settings for maximizing the connection of MPG.

Bathymetric distribution of brachyuran crab (Crustacea, Decapoda) communities on coastal soft bottoms off southeastern Brazil

The communities of brachyuran crabs living on soft bottoms off Ubatuba in SE Brazil were studied with respect to their structure, bathymetric distribution, composition, diversity and indices of similarity. The data were analyzed using multivariate techniques of classification and ordination. Most of the individuals caught during summer were the swimming crab Portunas spinicarpus at the 35 m isobath, which contributed to the much-decreased diversity in this season and site. Multivariate analysis indicated that the species were distributed according to depth and also in relation to environmental gradients.

Comments about some species abundance patterns: classic, neutral, and niche partitioning models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A new species of Pseudopaludicola Miranda-Ribeiro, 1926 (Anura: Leiuperidae) from the state of Mato Grosso, Brazil, with comments on the geographic distribution of Pseudopaludicola canga Giaretta & Kokubum, 2003.

A new species of Pseudopaludicola is described from the state of Mato Grosso, western Brazil. The new species inhabits the transition zone between Brazilian Cerrado and Amazon rainforest in northern Mato Grosso, and is characterized by its medium size (snout-vent length 12-17 mm), lack of T-shaped terminal phalanges, toe tips not expanded laterally, presence of two antebrachial tubercles, and smooth upper eyelids. The advertisement call of the new species consists of a series composed of 11-74 non-pulsed notes. Mean dominant frequency is 3938 Hz. Each note presents a slight ascendant frequency modulation in its first half, and another ascendant modulation in its last half. We also present new data on the distribution and conservation status of Pseudopaludicola canga.

Radioactivity distribution in some Permian sediments from the Irati and Corumbatal formations of the Parana basin, southeastern Brazil

in the city of Limeira, southeastern Brazil, an important exposure of Permian sediments of the Parana basin was revealed by an open pit mine that exploits limestone for production of soil correction compounds and raw materials for the ceramic industry. The radioactivity of these sediments was investigated in some detail and the results provided a general view of the vertical distributions of uranium, thorium and potassium concentrations and of the element ratios U/K, U/Th and Th/K. In general, the concentrations of the main natural radioactive elements are low, with uranium being enriched in some limestone and shale levels. In addition the results showed that the U-238 series is in radioactive disequilibrium in many of the analyzed samples. Although the origin of the observed disequilibrium has not been investigated, the results suggest that it is due to weathering processes and water interaction with the rock matrix. (C) 2003 Elsevier Ltd. All rights reserved.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

THE STRONG C-SYMMETRICAL DISTRIBUTION

In this paper, we consider a class of strong symmetric distributions, which we refer to as the strong c-symmetric distributions. We provide, as the main result of this paper, conditions satisfied by the recurrence relations of certain polynomials associated with these distributions.

DISTRIBUTION OF DIFFERENT FIBER TYPES OF M-EXTENSOR CARPI RADIALIS LONGUS OF THE RAT

As revealed by the NADH-diaphorase and myosine ATPase, the M. extensor carpi radialis longus of the rat possesses at least 3 main kinds of fibres, with different distribution on the superficial and deep portions of the muscle. The superficial portion revealed that 67.68 % are FG (fast-twitch-glycolytic) fibres, 14.72 % are FOG (fast-twitch-oxidative) fibres and 17.60 % are SO (slow-twitch-glycolytic) fibres. Already the deep portion revealed that 71.29 % are SO (slow-twitch-glycolytic) fibres, 17.46 % are FOG (fast-twitch-oxidative-glycolytic) fibres and 11.25 % are FG (fast-twitch-glycolytic) fibres. The miosine ATPase reaction was used to demonstrate contracting characteristics. These findings suggest that the movements of fast contraction of the M. extensor carpi radialis longus are predominant.

FIBER TYPES DISTRIBUTION IN THE DIGASTRIC MUSCLE OF TUFTED CAPUCHIN MONKEY (CEBUS-APELLA)

Fiber types distribution in the diagastric muscle of tufted capuchin monkey was studied by means of NADH-TR, myosin-ATPase, after alkaline and acid preincubations and SDH histochemical reactions. Three different types of fibers were found presenting an equal distribution. The percentage and types of fibers were as follow: 18.2 % SO (Slow Oxydative), 38.4 % FOG (Fast Oxydative Glycolytic) and 43.4 % FG (Fast Glycolytic). FG fibers revealed the largest area. The relatively high concentration of fast twitch (81.2 %) seems to indicate this muscle is involved with the acceleration and fast speed of jaw movements. Aerobic metabolism represented by SO + FOG fibers (56.6 %) suggests that this muscle possesses an additional role than that related to the lowering of the jaw.

Optimized Allocation of Control and Protective Devices in Electric Distribution Systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Probability distribution models for daily rainfall data for an interior station of Brazil

Two stochastic models have been fitted to daily rainfall data for an interior station of Brazil. Of these two models, the results show a better fit to describe the data, by truncated negative probability model in comparison with Markov chain probability model. Kolmogorov-Smirnov test is applied for significance for these models. © 1983 Springer-Verlag.