An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. in this paper, we first show that this least squares bias induces a significant increase in the bias and mean-squared error of kernel-based estimators.

Threshold Autoregressive Model for a Time Series Data

In this paper we try to fit a threshold autoregressive (TAR) model to time series data of monthly coconut oil prices at Cochin market. The procedure proposed by Tsay [7] for fitting the TAR model is briefly presented. The fitted model is compared with a simple autoregressive (AR) model. The results are in favour of TAR process. Thus the monthly coconut oil prices exhibit a type of non-linearity which can be accounted for by a threshold model.

Real-time forecasting of inflation and output growth with autoregressive models in the presence of data revisions

We examine how the accuracy of real-time forecasts from models that include autoregressive terms can be improved by estimating the models on ‘lightly revised’ data instead of using data from the latest-available vintage. The benefits of estimating autoregressive models on lightly revised data are related to the nature of the data revision process and the underlying process for the true values. Empirically, we find improvements in root mean square forecasting error of 2–4% when forecasting output growth and inflation with univariate models, and of 8% with multivariate models. We show that multiple-vintage models, which explicitly model data revisions, require large estimation samples to deliver competitive forecasts. Copyright © 2012 John Wiley & Sons, Ltd.

Influence diagnostics for linear models with first-order autoregressive elliptical errors

We introduce in this paper the class of linear models with first-order autoregressive elliptical errors. The score functions and the Fisher information matrices are derived for the parameters of interest and an iterative process is proposed for the parameter estimation. Some robustness aspects of the maximum likelihood estimates are discussed. The normal curvatures of local influence are also derived for some usual perturbation schemes whereas diagnostic graphics to assess the sensitivity of the maximum likelihood estimates are proposed. The methodology is applied to analyse the daily log excess return on the Microsoft whose empirical distributions appear to have AR(1) and heavy-tailed errors. (C) 2008 Elsevier B.V. All rights reserved.

Testing common nonlinear features in vector nonlinear autoregressive models

This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).

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 transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

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.

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A new sampling strategy for the Shewhart control chart monitoring a process with wandering mean

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Branching Processes in Autoregressive Random Environment

2000 Mathematics Subject Classification: 60J80, 60K05.

[meanings Of The Sickening Process For Patients With Systemic Lupus Erythematosus: A Review Of The Literature.]

Systemic lupus erythematosus is an autoimmune disease that causes many psychological repercussions that have been studied through qualitative research. These are considered relevant, since they reveal the amplitude experienced by patients. Given this importance, this study aims to map the qualitative production in this theme, derived from studies of experiences of adult patients of both genders and that had used as a tool a semi-structured interview and/or field observations, and had made use of a sampling by a saturation criterion to determine the number of participants in each study. The survey was conducted in Pubmed, Lilacs, Psycinfo e Cochrane databases, searching productions in English and Portuguese idioms published between January 2005 and June 2012. The 19 revised papers that have dealt with patients in the acute phase of the disease showed themes that were categorized into eight topics that contemplated the experienced process at various stages, from the onset of the disease, extending through the knowledge of the diagnosis and the understanding of the manifestations of the disease, drug treatment and general care, evolution and prognosis. The collected papers also point to the difficulty of understanding, of the patients, on what consists the remission phase, revealing also that this is a clinical stage underexplored by psychological studies.

[in Process Citation].

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O aluno com deficiência visual nas aulas de educação física : análise do processo inclusivo = The student with visual impairments : analysis of inclusive process

Universidade Estadual de Campinas . Faculdade de Educação Física

Hegemonia e contra-hegemonia na construção de políticas de esporte e lazer : a experiência do Consórcio Brasília = Hegemony and counter-hegemony in the process of sport and leisure policy-making : the experience of the Consortium Brasilia

Universidade Estadual de Campinas . Faculdade de Educação Física

Effects of the condylar process fracture on facial symmetry in rats submitted to protein undernutrition

PURPOSE: To investigate the facial symmetry of rats submitted to experimental mandibular condyle fracture and with protein undernutrition (8% of protein) by means of cephalometric measurements. METHODS: Forty-five adult Wistar rats were distributed in three groups: fracture group, submitted to condylar fracture with no changes in diet; undernourished fracture group, submitted to hypoproteic diet and condylar fracture; undernourished group, kept until the end of experiment, without condylar fracture. Displaced fractures of the right condyle were induced under general anesthesia. The specimens were submitted to axial radiographic incidence, and cephalometric mensurations were made using a computer system. The values obtained were subjected to statistical analyses among the groups and between the sides in each group. RESULTS: There was significative decrease of the values of serum proteins and albumin in the undernourished fracture group. There was deviation of the median line of the mandible relative to the median line of the maxilla, significative to undernutrition fracture group, as well as asymmetry of the maxilla and mandible, in special in the final period of experiment. CONCLUSION: The mandibular condyle fracture in rats with proteic undernutrition induced an asymmetry of the mandible, also leading to consequences in the maxilla.