Forecasting Electricity Prices and their volatilities using Unobserved Components.

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term. Thus, there is a need of providing methodology that is able to deal with the most important features of electricity price series, which are well known for presenting not only structure in conditional mean but also time-varying conditional variances. In this work we propose a new model, which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices. These common factors are jointly estimated as well as their relationship with the original vector of series, and the dynamics affecting both their conditional mean and variance. The estimation of the model is carried out under the state-space formulation. The new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the Spanish zone of the Iberian Market. Several simplified/alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power.

Simulation tools for statistical model comparison: an application to unobserved componenet models versus dynamic regression models

Aplicación de simulación de Monte Carlo y técnicas de Análisis de la Varianza (ANOVA) a la comparación de modelos estocásticos dinámicos para accidentes de tráfico.

Identifying treatment effects and counterfactual distributions using data combination with unobserved heterogeneity

This paper considers identification of treatment effects when the outcome variables and covari-ates are not observed in the same data sets. Ecological inference models, where aggregate out-come information is combined with individual demographic information, are a common example of these situations. In this context, the counterfactual distributions and the treatment effects are not point identified. However, recent results provide bounds to partially identify causal effects. Unlike previous works, this paper adopts the selection on unobservables assumption, which means that randomization of treatment assignments is not achieved until time fixed unobserved heterogeneity is controlled for. Panel data models linear in the unobserved components are con-sidered to achieve identification. To assess the performance of these bounds, this paper provides a simulation exercise.

A Markov switching unobserved component analysis of the CDX index term premium

Using a Markov switching unobserved component model we decompose the term premium of the North American CDX index into a permanent and a stationary component. We establish that the inversion of the CDX term premium is induced by sudden changes in the unobserved stationary component, which represents the evolution of the fundamentals underpinning the probability of default in the economy. We find evidence that the monetary policy response from the Fed during the crisis period was effective in reducing the volatility of the term premium. We also show that equity returns make a substantial contribution to the term premium over the entire sample period.

Survival Extrapolation In The Presence Of Cause Specific Hazards.

Health economic evaluations require estimates of expected survival from patients receiving different interventions, often over a lifetime. However, data on the patients of interest are typically only available for a much shorter follow-up time, from randomised trials or cohorts. Previous work showed how to use general population mortality to improve extrapolations of the short-term data, assuming a constant additive or multiplicative effect on the hazards for all-cause mortality for study patients relative to the general population. A more plausible assumption may be a constant effect on the hazard for the specific cause of death targeted by the treatments. To address this problem, we use independent parametric survival models for cause-specific mortality among the general population. Because causes of death are unobserved for the patients of interest, a polyhazard model is used to express their all-cause mortality as a sum of latent cause-specific hazards. Assuming proportional cause-specific hazards between the general and study populations then allows us to extrapolate mortality of the patients of interest to the long term. A Bayesian framework is used to jointly model all sources of data. By simulation, we show that ignoring cause-specific hazards leads to biased estimates of mean survival when the proportion of deaths due to the cause of interest changes through time. The methods are applied to an evaluation of implantable cardioverter defibrillators for the prevention of sudden cardiac death among patients with cardiac arrhythmia. After accounting for cause-specific mortality, substantial differences are seen in estimates of life years gained from implantable cardioverter defibrillators.

N-mesityl-C-acylketenimines: 1,5-sigmatropic shifts and electrocyclization to quinolines

Flash vacuum thermolysis (FVT) of triazoles 6a-c generates alpha-oxoketenimines 10, the ester 10a being isolable. FVT of pyrroledione 8 generates the isomeric imidoylketene 9a. Ketenes 9 and ketenimines 10 undergo thermal interconversion by 1,3-shifts of methoxy and dimethylamino groups under mild FVT conditions (ca. 350-400 degrees C). Both 9 and 10 are directly observable by IR spectroscopy at either 77 K or on Ar matrix isolation at 12 K. On FVT at temperatures above ca. 400 degrees C, the ketenimines 10 undergo a 1,5-H shift to o-quinoid imines 12/13, followed by electrocyclization to dihydroquinolines 14 (unobserved) and 15 (observed by NMR). The latter are easily oxidized to alkylquinoline-3-carboxylates or quinoline-3-carboxamides 16 by atmospheric oxygen. Ab initio calculations on model compounds 18-23 predict an energy barrier of ca. 38 kcal mol(-1) (161 kJ mol(-1)) for the 1,5-H shift in N-(o-methylphenyl)ketenimines via the transition state TS19 followed by an electrocyclization barrier to dihydroquinoline 23a via TS22a of ca. 16 kcal mol(-1).

Likelihood-based estimation of the regression model with scrambled responses

A significant problem in the collection of responses to potentially sensitive questions, such as relating to illegal, immoral or embarrassing activities, is non-sampling error due to refusal to respond or false responses. Eichhorn & Hayre (1983) suggested the use of scrambled responses to reduce this form of bias. This paper considers a linear regression model in which the dependent variable is unobserved but for which the sum or product with a scrambling random variable of known distribution, is known. The performance of two likelihood-based estimators is investigated, namely of a Bayesian estimator achieved through a Markov chain Monte Carlo (MCMC) sampling scheme, and a classical maximum-likelihood estimator. These two estimators and an estimator suggested by Singh, Joarder & King (1996) are compared. Monte Carlo results show that the Bayesian estimator outperforms the classical estimators in almost all cases, and the relative performance of the Bayesian estimator improves as the responses become more scrambled.

Pressure-Frequency Sensing Subxiphoid Access System for Use in Percutaneous Cardiac Electrophysiology: Prototype Design and Pilot Study Results

We have designed, built, and tested an early prototype of a novel subxiphoid access system intended to facilitate epicardial electrophysiology, but with possible applications elsewhere in the body. The present version of the system consists of a commercially available insertion needle, a miniature pressure sensor and interconnect tubing, read-out electronics to monitor the pressures measured during the access procedure, and a host computer with user-interface software. The nominal resolution of the system is <0.1 mmHg, and it has deviations from linearity of <1%. During a pilot series of human clinical studies with this system, as well as in an auxiliary study done with an independent method, we observed that the pericardial space contained pressure-frequency components related to both the heart rate and respiratory rate, while the thorax contained components related only to the respiratory rate, a previously unobserved finding that could facilitate access to the pericardial space. We present and discuss the design principles, details of construction, and performance characteristics of this system.

An examination of male and female odds ratios by BMI, cigarette smoking, and alcohol consumption for cancers of the oral cavity, pharynx, and larynx in pooled data from 15 case-control studies

Greater tobacco smoking and alcohol consumption and lower body mass index (BMI) increase odds ratios (OR) for oral cavity, oropharyngeal, hypopharyngeal, and laryngeal cancers; however, there are no comprehensive sex-specific comparisons of ORs for these factors. We analyzed 2,441 oral cavity (925 women and 1,516 men), 2,297 oropharynx (564 women and 1,733 men), 508 hypopharynx (96 women and 412 men), and 1,740 larynx (237 women and 1,503 men) cases from the INHANCE consortium of 15 head and neck cancer case-control studies. Controls numbered from 7,604 to 13,829 subjects, depending on analysis. Analyses fitted linear-exponential excess ORs models. ORs were increased in underweight (< 18.5 BMI) relative to normal weight (18.5-24.9) and reduced in overweight and obese categories (a parts per thousand yen25 BMI) for all sites and were homogeneous by sex. ORs by smoking and drinking in women compared with men were significantly greater for oropharyngeal cancer (p < 0.01 for both factors), suggestive for hypopharyngeal cancer (p = 0.05 and p = 0.06, respectively), but homogeneous for oral cavity (p = 0.56 and p = 0.64) and laryngeal (p = 0.18 and p = 0.72) cancers. The extent that OR modifications of smoking and drinking by sex for oropharyngeal and, possibly, hypopharyngeal cancers represent true associations, or derive from unmeasured confounders or unobserved sex-related disease subtypes (e.g., human papillomavirus-positive oropharyngeal cancer) remains to be clarified.

Carbene and nitrene rearrangements: A theoretical study of cyclic allenes and carbenes, carbodiimides, and azirines

B3LYP/6-31G(d) calculations of structures, energies, and infrared spectra of several rearrangement products of (hetero)aromatic nitrenes and carbenes are reported. 3-Isoquinolylnitrene 36 ring closes to the azirine 37 prior to ring expansion to the potentially stable but unobserved seven-membered-ring carbodiimide 38 and diazacycloheptatrienylidene C-s-39S. A new, stable cycloheptatrienylidene, C-s-19S, is located on the naphthylcarbene energy surface. 4-Quinolylnitrene undergoes reaction via the azirine 50 in solution, but ring expansion to the stable seven-membered-ring ketenimine 47 under Ar matrix photolysis conditions. There is excellent agreement between calculated infrared spectra of 1,5-diazacyclohepta-1,2,4,6-tetraene 54 (obtained by photolysis of 4-pyridyl azide), 1-azacyclohepta-1,2,4,6-tetraene 5, 1-azacyclohepta-1,3,5,6-tetraene 55, and 1-azacyclohepta-1,3,4,6-tetraene 56 and the available experimental data.

Avaliação dos comportamentos de pastejo e suas relações com caracteres individuais dos bovinos de corte

Pós-graduação em Zootecnia - FCAV

Government bond yield spreads in EMU countries: The story of an ephemeral convergence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Determinants of reelection in Portuguese municipal elections

This Work Project investigates the determinants of reelection using data on the 278 Portuguese mainland municipalities for the period 1976-2009. We implement a logit fixed effect model to control for the municipalities’ unobserved characteristics that remain constant over time. Political variables, such as the vote share of the incumbent’s party in previous election, the number of mayor’s consecutive mandates and abstention rate, are found to be relevant in explaining incumbent’s reelection. Moreover, as to the mayor’s individual characteristics, age and education contribute to explain reelection prospects. We also provide weak evidence that a higher degree of fiscal autonomy increases political turnover and that the good economic prospects of the municipality positively affect reelection. Finally, the residents’ level of education and the size of the municipal population have an explanatory power on mayor’s reelection. We perform several robustness checks to confirm these results.