Prevendo inflação usando ridge regressions

Este estudo tem como objetivo analisar o desempenho de vários modelos econométricos ao prever Inflação . Iniciamos o trabalho utilizando como base de comparação para todos os modelos a tradicional curva de Phillips que usa a taxa de desemprego como variável explicativa para diferenças de preço. Dentre os modelos analisados temos univariados e bivariados, sendo estes últimos uma curva de Phillips alternativa já que apenas sustitui a variável desemprego por outra variável macroeconômica. Além destes modelos também comparamos o desempenho de previsão de modelos que usam como covariadas uma combinação das previsões dos modelos anteriores (univariados e bivariados). O resultado deste estudo aponta a combinação de modelos por "ridge regression" como uma técnica - dentre as analisadas para combinação de previsões - de menor erro de previsão sempre; sendo alcançado pela combinação da média em apenas um dos casos analisados. No entanto, a combinação de previsões não apresentou melhor resultado que algumas das covariadas testadas em modelos bivariados

Evaluating Value-at-Risk models via Quantile regressions

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) avaliable in the literature, such as Christoffersen (1998) and Engle and Maganelli (2004) are based on such variables. In this paper we propose a new backtest that does not realy solely on binary variable. It is show that the new backtest provides a sufficiant condition to assess the performance of a quantile model whereas the existing ones do not. The proposed methodology allows us to identify periods of an increased risk exposure based on a quantile regression model (Koenker & Xiao, 2002). Our theorical findings are corroborated through a monte Carlo simulation and an empirical exercise with daily S&P500 time series.

Random regressions models to describe the genetic variation of milk yield over multiple parities in Buffaloes

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

Earning inequalities in Brazil: quantile regressions and the decomposition approach

Includes bibliography

A methodology for improving computed individual regressions predictions.

This research proposes a methodology to improve computed individual prediction values provided by an existing regression model without having to change either its parameters or its architecture. In other words, we are interested in achieving more accurate results by adjusting the calculated regression prediction values, without modifying or rebuilding the original regression model. Our proposition is to adjust the regression prediction values using individual reliability estimates that indicate if a single regression prediction is likely to produce an error considered critical by the user of the regression. The proposed method was tested in three sets of experiments using three different types of data. The first set of experiments worked with synthetically produced data, the second with cross sectional data from the public data source UCI Machine Learning Repository and the third with time series data from ISO-NE (Independent System Operator in New England). The experiments with synthetic data were performed to verify how the method behaves in controlled situations. In this case, the outcomes of the experiments produced superior results with respect to predictions improvement for artificially produced cleaner datasets with progressive worsening with the addition of increased random elements. The experiments with real data extracted from UCI and ISO-NE were done to investigate the applicability of the methodology in the real world. The proposed method was able to improve regression prediction values by about 95% of the experiments with real data.

Too young to drink but old enough to drive under the influence : a study of underage offenders as seen in substance abuse treatment in Texas

Driving under the influence (DUI) is a major road safety problem. Historically, alcohol has been assumed to play a larger role in crashes and DUI education programs have reflected this assumption, although recent evidence suggests that younger drivers are becoming more likely to drive drugged than to drive drunk. This is a study of 7096 Texas clients under age 21 who were admitted to state-funded treatment programs between 1997 and 2007 with a past-year DUI arrest, DUI probation, or DUI referral. Data were obtained from the State’s administrative dataset. Multivariate logistic regressions models were used to understand the differences between those minors entering treatment as a DUI as compared to a non-DUI as well as the risks for completing treatment and for being abstinent in the month prior to follow-up. A major finding was that over time, the primary problem for underage DUI drivers changed from alcohol to marijuana. Being abstinent in the month prior to discharge, having a primary problem with alcohol rather than another drug, and having more family involved were the strongest predictors of treatment completion. Living in a household where the client was exposed to alcohol abuse or drug use, having been in residential treatment, and having more drug and alcohol and family problems were the strongest predictors of not being abstinent at follow-up. As a result, there is a need to direct more attention towards meeting the needs of the young DUI population through programs that address drug as well as alcohol consumption problems.

A-REIT seasoned equity offerings : determinants and market reaction

The paper examines the decision by Australian Real Estate Trusts (A-REITs) to issue seasoned equity offerings from 2000 - 2008 and stock market reaction to the offerings using panel data and event study methodologies, respectively. The global financial crisis has resulted in freezing of the Australian bond markets, with several A-REITs left with seasoned equity issuance and asset sales as the only viable modes of raising additional capital. The findings review that leverage and operating risk are negative significant determinants of seasoned equity offerings; profitability and growth opportunities are positive significant determinants. Of the structure and type of properties held by the A-REIT, only stapled management structure and international operations are significant determinants. Type of properties held by A-REITs show inconsistent results. Similar to previous studies of seasoned equity offerings, we find a significant negative abnormal return associated with their announcement and no evidence of excessive leakage of information. Cross-sectional regressions show that the issued amount raised and leverage are significant factors affecting abnormal returns.

Lateral bone density variations in the scoliotic spine

Adolescent Idiopathic Scoliosis (AIS) is the most common deformity of the spine, affecting 2-4% of the population. Previous studies have shown that the vertebrae in scoliotic spines undergo abnormal shape changes, however there has been little exploration of how scoliosis affects bone density distribution within the vertebrae. In this study, existing CT scans of 53 female idiopathic scoliosis patients with right-sided main thoracic curves were used to measure the lateral (right to left) bone density profile at mid-height through each vertebral body. Five key bone density profile measures were identified from each normalised bone density distribution, and multiple regression analysis was performed to explore the relationship between bone density distribution and patient demographics (age, height, weight, body mass index (BMI), skeletal maturity, time since Menarche, vertebral level, and scoliosis curve severity). Results showed a marked convex/concave asymmetry in bone density for vertebral levels at or near the apex of the scoliotic curve. At the apical vertebra, mean bone density at the left side (concave) cortical shell was 23.5% higher than for the right (convex) cortical shell, and cancellous bone density along the central 60% of the lateral path from convex to concave increased by 13.8%. The centre of mass of the bone density profile at the thoracic curve apex was located 53.8% of the distance along the lateral path, indicating a shift of nearly 4% toward the concavity of the deformity. These lateral bone density gradients tapered off when moving away from the apical vertebra. Multi-linear regressions showed that the right cortical shell peak bone density is significantly correlated with skeletal maturity, with each Risser increment corresponding to an increase in mineral equivalent bone density of 4-5%. There were also statistically significant relationships between patient height, weight and BMI, and the gradient of cancellous bone density along the central 60% of the lateral path. Bone density gradient is positively correlated with weight, and negatively correlated with height and BMI, such that at the apical vertebra, a unit decrease in BMI corresponds to an almost 100% increase in bone density gradient.

The interactions of consumption characteristics on social norms

Purpose: An extended Theory of Planned Behavior (TPB) model tests how customer loyalty intentions may relate to subjective and descriptive norms. The study further determines whether consumption characteristics – product enjoyment and importance – moderate norms-loyalty relationships.----- Methodology: Using a two-study approach focusing on youth, an Australian study (n = 244) first augmented TPB with descriptive norm. A Singapore study (n = 415) followed up with how consumption characteristics might moderate norms-loyalty relationships. With both studies, linear regressions tested the relationships among the variables.----- Findings: Extending TPB with descriptive norm improved TPB’s predictive ability across studies. Further, product enjoyment and importance moderated the norms-loyalty relationships differently. Subjective norm related to loyalty intentions significantly with high enjoyment, whereas descriptive norm was significant with low enjoyment. Only subjective norm was significant with low importance.----- Research limitations: Single-item variables, self-reported questionnaires on intended rather than actual behavior, and not controlling for cultural differences between the two samples limit generalizablity.----- Practical implications: The significance of both norms suggests that mobile firms should reach youth through their peers. With youth, social pressure may be influential particularly with hedonic products. However, the different moderations of product enjoyment and importance imply that a blanket marketing strategy targeting youth may not work.----- Originality/Value: This study extends academic knowledge on the relationships between norms and customer loyalty, particularly with consumption characteristics as moderators. The findings highlight the importance of considering different norms with consumer behavior. The study should help mobile firms understand how social influences impact customer loyalty.

Prediction of psychological adjustment to multiple sclerosis

This study examined the utility of self-efficacy as a predictor of social activity and mood control in multiple sclerosis (MS). Seventy-one subjects with MS were recruited from people attending an MS centre or from a mailing list and were examined on two occasions that were two months apart. Clinic patients were more disabled than patients who completed assessments by post, but they were of higher socioeconomic status and were less dysphoric. We attempted to predict self-reported performance of mood control and social activity at two months, from self-efficacy or performance on these tasks at pretest. Demographic variables, disorder status, disability, self-esteem and depression were also allowed to compete for entry into multiple regressions. Substantial stability in mood, performance and disability was observed over the two months. In both mood control and social activity, past performance was the strongest predictor of later performance, but self-efficacy also contributed significantly to the prediction. The disability level entered a prediction of socila activity, but no other variables predicted either type of performance. A secondary analysis predicting self-esteem at two months also included self-efficacy for social activity, illustrating the contribution of perceived capability to later assessments of self-worth. The study provided support for self-efficacy as a predictor of later behavioural outcomes and self-esteem in multiple sclerosis.

Health-related quality of life in obese children and adolescents

Objective: This review addresses the effect of overweight and obese weight status on pediatric health-related quality of life (HRQOL). Method: Web of Science, Medline, CINAHL, Cochrane Library, EMBASE, AMED and PubMed were searched for peer-reviewed studies in English reporting HRQOL and weight status in youth (<21 years), published before March 2008. Results: Twenty-eight articles were identified. Regression of HRQOL against body mass index (BMI) using pooled data from 13 studies utilizing the Pediatric Quality of Life Inventory identified an inverse relationship between BMI and pediatric HRQOL (r=−0.7, P=0.008), with impairments in physical and social functioning consistently reported. HRQOL seemed to improve with weight loss, but randomized controlled trials were few and lacked long-term follow-up. Conclusions: Little is known about the factors associated with reduced HRQOL among overweight or obese youth, although gender, age and obesity-related co-morbidities may play a role. Few studies have examined the differences in HRQOL between community and treatment-seeking samples. Pooled regressions suggest pediatric self-reported HRQOL can be predicted from parent proxy reports, although parents of obese youths tend to perceive worse HRQOL than children do about themselves. Thus, future research should include both pediatric and parent proxy perspectives.

Differences between students and non-students’ willingness to donate to a charitable organisation

This paper reports on a comparative study of students and non-students that investigates which psycho-social factors influence intended donation behaviour within a single organisation that offers multiple forms of donation activity. Additionally, the study examines which media channels are more important to encourage donation. A self-administered survey instrumentwas used and a sample of 776 respondents recruited. Logistic regressions and a Chow test were used to determine statistically significant differences between the groups. For donatingmoney, importance of charity and attitude towards charity influence students, whereas only importance of need significantly influences non-students. For donating time, no significant influences were found for non-students, however, importance of charity and attitude towards charity were significant for students. Importance of need was significant for both students and non-students for donating goods, with importance of charity also significant for students. Telephone and television channels were important for both groups. However, Internet, email and short messaging services were more important for students, providing opportunities to enhance this group’s perceptions of the importance of the charity, and the importance of the need, which ultimately impacts on their attitudes towards the charity. These differences highlight the importance of charities focussing on those motivations and attitudes that are important to a particular target segment and communicating through appropriate media channels for these segments.

Determinants and market impact of seasoned equity offerings : the case of A-REITs

The paper examines the decision by Australian Real Estate Trusts (A-REITs) to issue seasoned equity offerings from 2000 - 2008 and stock market reaction to the offerings. The findings reveal that highly leveraged A-REITs with variable earnings are less likely to issue seasoned equity offerings. Inconsistent results for structure and type of properties held by the A-REIT do not allow for inference to be drawn. Similar to previous studies of seasoned equity offerings, we find a significant negative abnormal return associated with their announcement and no evidence of excessive leakage of information. Furthermore, market reaction differences to announcements of SEOs for the pre-global financial crisis (GFC) (2000-2006) and GFC eras (2007-2008) are noted with GFC era shareholders incurring larger abnormal return losses at 1.13% in comparison to the pre-GFC era shareholder loss of 0.34% on the SEO announcement day. Cross-sectional regressions show that the issued amount, leverage and profitability are significant factors affecting abnormal returns. Growth opportunities, tangibility, operating risk, size of A-REIT and other variables capturing A-REIT structure and property types held do not have an impact on abnormal returns