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 for a lack of parsimony, as well as the traditional ones. We suggest a new procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties. In order to compute the fit of each model, we propose an iterative procedure to compute the maximum likelihood estimates of parameters of a VAR model with short-run and long-run restrictions. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank, relative to the commonly used procedure of selecting the lag-length only and then testing for cointegration.

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.

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.

Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Breeding value accuracy estimates for growth traits using random regression and multi-trait models in Nelore cattle

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

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.

GPS Satellite Kinematic Relative Positioning: Analyzing and Improving the Functional Mathematical Model Using Wavelets

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

A new model for tubular fluorescent lamps operated at high frequencies for dimmable applications

This paper presents a new static model for tubular fluorescent lamps (T12 bulb) operated at high frequencies. The main goal of this paper is to investigate the effects of ambient temperature and nominal switching frequency of operation in the static characteristics of tubular fluorescent lamps. The methodology for obtaining the model is based on several two-dimensional mathematical regressions, used to provide the behavior of the fluorescent lamp according to different independent variables, namely: power processed through the lamp and ambient temperature. In addition, the proposed model can be easily converted to a lamp equivalent resistance model, which can be useful for ballast designers. Finally, the curves obtained using the new model are compared to the correspondent experimental data, in order to verify the accuracy of the proposed methodology.

Proposal of an alternative transmission line model for symmetrical and asymmetrical configurations

This article shows a transmission line model for simulation of fast and slow transients, applied to symmetrical or asymmetrical configurations. A transmission line model is developed based on lumped elements representation and state-space techniques. The proposed methodology represents a practical procedure to model three-phase transmission lines directly in time domain, without the explicit or implicit use of inverse transforms. In three-phase representation, analysis modal techniques are applied to decouple the phases in their respective propagation modes, using a correction procedure to set a real and constant matrix for untransposed lines with or without vertical symmetry plane. The proposed methodology takes into account the frequency-dependent parameters of the line and in order to include this effect in the state matrices, a fitting procedure is applied. To verify the accuracy of the proposed state-space model in frequency domain, a simple methodology is described based on line distributed parameters and transfer function associated with input/output signals of the lumped parameters representation. In addition, this article proposes the use of a fast and robust integration procedure to solve the state equations, enabling transient and steady-state simulations. The results obtained by the proposed methodology are compared with several established transmission line models in EMTP, taking into account an asymmetrical three-phase transmission line. The principal contribution of the proposed methodology is to handle a steady fundamental signal mixed with fast and slow transients, including impulsive and oscillatory behavior, by a practical procedure applied directly in time domain for symmetrical or asymmetrical representations. (C) 2011 Elsevier Ltd. All rights reserved.

Proposal of a Transmission Line Model Based on Lumped Elements: An Analytic Solution

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effect of different repair techniques on the accuracy of repositioning the fractured denture base

Objective:This study investigated the efficacy of different techniques for the union of fragments of a denture before repair and on the accuracy of the reposition.Materials and methods:For this study, 20 maxillary dentures made with Lucitone 550 heat-cured resin were used. Points were determined with a scanner on the cusp of the teeth, as a measurement of the segments. After digitisation, each model was exported to the AUTOCAD R 14 program and two-dimensional measurements of the distances between the marked points were made. After the initial analysis, the dentures were fractured into two segments using an impact test machine. For the repair, maxillary dentures were divided into two groups; in the first, the repair was carried out using Kerr's sticky wax and in the second group, Super Bonder was used to join the fragments, with subsequent inclusion of DENTSPLY((R)) Repair Material resin. After the repair, the points of the maxillary dentures were measured again. The numerical values obtained were tabulated to compare the measurements before fracture and after the repair. For statistical analysis, analysis of variance was employed, using a single factor and double factor, followed by the Tukey test with a reliability of 95%.Results:The results demonstrated a statistically significant difference between the materials used to join the dentures for repair, where the dentures were joined with sticky wax presented a larger variation in the distances between the points.Conclusion:The variation in distances between the points is influenced by the agent of repair.

Model for the Evaluation of Root Wear by Histometric Analysis

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effectiveness-ntu computation with a mathematical model for cross-flow heat exchangers

Due to the wide range of design possibilities, simple manufactured, low maintenance and low cost, cross-flow heat exchangers are extensively used in the petroleum, petrochemical, air conditioning, food storage, and others industries. In this paper a mathematical model for cross-flow heat exchangers with complex flow arrangements for determining epsilon -NTU relations is presented. The model is based on the tube element approach, according to which the heat exchanger outlet temperatures are obtained by discretizing the coil along the tube fluid path. In each cross section of the element, tube-side fluid temperature is assumed to be constant because the heat capacity rate ratio C*=Cmin/Cmax tends toward zero in the element. Thus temperature is controlled by effectiveness of a local element corresponding to an evaporator or a condenser-type element. The model is validated through comparison with theoretical algebraic relations for single-pass cross-flow arrangements with one or more rows. Very small relative errors are obtained showing the accuracy of the present model. epsilon -NTU curves for several complex circuit arrangements are presented. The model developed represents a useful research tool for theoretical and experimental studies on heat exchangers performance.

High precision GPS network with precise ephemerides and earth body tide model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)