Estimação e previsão no processo INARCH(2)

In the last decades the study of integer-valued time series has gained notoriety due to its broad applicability (modeling the number of car accidents in a given highway, or the number of people infected by a virus are two examples). One of the main interests of this area of study is to make forecasts, and for this reason it is very important to propose methods to make such forecasts, which consist of nonnegative integer values, due to the discrete nature of the data. In this work, we focus on the study and proposal of forecasts one, two and h steps ahead for integer-valued second-order autoregressive conditional heteroskedasticity processes [INARCH (2)], and in determining some theoretical properties of this model, such as the ordinary moments of its marginal distribution and the asymptotic distribution of its conditional least squares estimators. In addition, we study, via Monte Carlo simulation, the behavior of the estimators for the parameters of INARCH(2) processes obtained using three di erent methods (Yule- Walker, conditional least squares, and conditional maximum likelihood), in terms of mean squared error, mean absolute error and bias. We present some forecast proposals for INARCH(2) processes, which are compared again via Monte Carlo simulation. As an application of this proposed theory, we model a dataset related to the number of live male births of mothers living at Riachuelo city, in the state of Rio Grande do Norte, Brazil.

Estimação e previsão no processo INARCH(2)

In the last decades the study of integer-valued time series has gained notoriety due to its broad applicability (modeling the number of car accidents in a given highway, or the number of people infected by a virus are two examples). One of the main interests of this area of study is to make forecasts, and for this reason it is very important to propose methods to make such forecasts, which consist of nonnegative integer values, due to the discrete nature of the data. In this work, we focus on the study and proposal of forecasts one, two and h steps ahead for integer-valued second-order autoregressive conditional heteroskedasticity processes [INARCH (2)], and in determining some theoretical properties of this model, such as the ordinary moments of its marginal distribution and the asymptotic distribution of its conditional least squares estimators. In addition, we study, via Monte Carlo simulation, the behavior of the estimators for the parameters of INARCH(2) processes obtained using three di erent methods (Yule- Walker, conditional least squares, and conditional maximum likelihood), in terms of mean squared error, mean absolute error and bias. We present some forecast proposals for INARCH(2) processes, which are compared again via Monte Carlo simulation. As an application of this proposed theory, we model a dataset related to the number of live male births of mothers living at Riachuelo city, in the state of Rio Grande do Norte, Brazil.

Essays on Microeconometrics

My dissertation has three chapters which develop and apply microeconometric tech- niques to empirically relevant problems. All the chapters examines the robustness issues (e.g., measurement error and model misspecification) in the econometric anal- ysis. The first chapter studies the identifying power of an instrumental variable in the nonparametric heterogeneous treatment effect framework when a binary treat- ment variable is mismeasured and endogenous. I characterize the sharp identified set for the local average treatment effect under the following two assumptions: (1) the exclusion restriction of an instrument and (2) deterministic monotonicity of the true treatment variable in the instrument. The identification strategy allows for general measurement error. Notably, (i) the measurement error is nonclassical, (ii) it can be endogenous, and (iii) no assumptions are imposed on the marginal distribution of the measurement error, so that I do not need to assume the accuracy of the measure- ment. Based on the partial identification result, I provide a consistent confidence interval for the local average treatment effect with uniformly valid size control. I also show that the identification strategy can incorporate repeated measurements to narrow the identified set, even if the repeated measurements themselves are endoge- nous. Using the the National Longitudinal Study of the High School Class of 1972, I demonstrate that my new methodology can produce nontrivial bounds for the return to college attendance when attendance is mismeasured and endogenous.

The second chapter, which is a part of a coauthored project with Federico Bugni, considers the problem of inference in dynamic discrete choice problems when the structural model is locally misspecified. We consider two popular classes of estimators for dynamic discrete choice models: K-step maximum likelihood estimators (K-ML) and K-step minimum distance estimators (K-MD), where K denotes the number of policy iterations employed in the estimation problem. These estimator classes include popular estimators such as Rust (1987)’s nested fixed point estimator, Hotz and Miller (1993)’s conditional choice probability estimator, Aguirregabiria and Mira (2002)’s nested algorithm estimator, and Pesendorfer and Schmidt-Dengler (2008)’s least squares estimator. We derive and compare the asymptotic distributions of K- ML and K-MD estimators when the model is arbitrarily locally misspecified and we obtain three main results. In the absence of misspecification, Aguirregabiria and Mira (2002) show that all K-ML estimators are asymptotically equivalent regardless of the choice of K. Our first result shows that this finding extends to a locally misspecified model, regardless of the degree of local misspecification. As a second result, we show that an analogous result holds for all K-MD estimators, i.e., all K- MD estimator are asymptotically equivalent regardless of the choice of K. Our third and final result is to compare K-MD and K-ML estimators in terms of asymptotic mean squared error. Under local misspecification, the optimally weighted K-MD estimator depends on the unknown asymptotic bias and is no longer feasible. In turn, feasible K-MD estimators could have an asymptotic mean squared error that is higher or lower than that of the K-ML estimators. To demonstrate the relevance of our asymptotic analysis, we illustrate our findings using in a simulation exercise based on a misspecified version of Rust (1987) bus engine problem.

The last chapter investigates the causal effect of the Omnibus Budget Reconcil- iation Act of 1993, which caused the biggest change to the EITC in its history, on unemployment and labor force participation among single mothers. Unemployment and labor force participation are difficult to define for a few reasons, for example, be- cause of marginally attached workers. Instead of searching for the unique definition for each of these two concepts, this chapter bounds unemployment and labor force participation by observable variables and, as a result, considers various competing definitions of these two concepts simultaneously. This bounding strategy leads to partial identification of the treatment effect. The inference results depend on the construction of the bounds, but they imply positive effect on labor force participa- tion and negligible effect on unemployment. The results imply that the difference- in-difference result based on the BLS definition of unemployment can be misleading

due to misclassification of unemployment.

MRI Registration for Human Hip Kinematics

Measurement of joint kinematics can provide knowledge to help improve joint prosthesis design, as well as identify joint motion patterns that may lead to joint degeneration or injury. More investigation into how the hip translates in live human subjects during high amplitude motions is needed. This work presents a design of a non-invasive method using the registration between images from conventional Magnetic Resonance Imaging (MRI) and open MRI to calculate three dimensional hip joint kinematics. The method was tested on a single healthy subject in three different poses. MRI protocols for the conventional gantry, high-resolution MRI and the open gantry, lowresolution MRI were developed. The scan time for the low-resolution protocol was just under 6 minutes. High-resolution meshes and low resolution contours were derived from segmentation of the high-resolution and low-resolution images, respectively. Low-resolution contours described the poses as scanned, whereas the meshes described the bones’ geometries. The meshes and contours were registered to each other, and joint kinematics were calculated. The segmentation and registration were performed for both cortical and sub-cortical bone surfaces. A repeatability study was performed by comparing the kinematic results derived from three users’ segmentations of the sub-cortical bone surfaces from a low-resolution scan. The root mean squared error of all registrations was below 1.92mm. The maximum range between segmenters in translation magnitude was 0.95mm, and the maximum deviation from the average of all orientations was 1.27◦. This work demonstrated that this method for non-invasive measurement of hip kinematics is promising for measuring high-range-of-motion hip motions in vivo.

Economic crisis and national health system

The text analyzes the impact of the economic crisis in some critical aspects of the National Health System: outcomes, health expenditure, remuneration policy and privatization through Private Public Partnership models. Some health outcomes related to social inequalities are worrying. Reducing public health spending has increased the fragility of the health system, reduced wage income of workers in the sector and increased heterogeneity between regions. Finally, the evidence indicates that privatization does not mean more efficiency and better governance. Deep reforms are needed to strengthen the National Health System.

Multiple Imputation of missing values in exploratory factor analysis of multidimensional scales: estimating latent trait scores

ABSTRACT Researchers frequently have to analyze scales in which some participants have failed to respond to some items. In this paper we focus on the exploratory factor analysis of multidimensional scales (i.e., scales that consist of a number of subscales) where each subscale is made up of a number of Likert-type items, and the aim of the analysis is to estimate participants' scores on the corresponding latent traits. We propose a new approach to deal with missing responses in such a situation that is based on (1) multiple imputation of non-responses and (2) simultaneous rotation of the imputed datasets. We applied the approach in a real dataset where missing responses were artificially introduced following a real pattern of non-responses, and a simulation study based on artificial datasets. The results show that our approach (specifically, Hot-Deck multiple imputation followed of Consensus Promin rotation) was able to successfully compute factor score estimates even for participants that have missing data.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

SVR-GARCH com misturas de kernels gaussianos

Dissertação (mestrado)—Universidade de Brasília, Departamento de Administração, Programa de Pós-graduação em Administração, 2016.

Assessment of the spatial variability in Tall wheatgrass forage using LANDSAT 8 satellite imagery to delineate potential management zones

Little information is available on the degree of within-field variability of potential production of Tall wheatgrass (Thinopyrum ponticum) forage under unirrigated conditions. The aim of this study was to characterize the spatial variability of the accumulated biomass (AB) without nutritional limitations through vegetation indexes, and then use this information to determine potential management zones. A 27-×-27-m grid cell size was chosen and 84 biomass sampling areas (BSA), each 2 m(2) in size, were georeferenced. Nitrogen and phosphorus fertilizers were applied after an initial cut at 3 cm height. At 500 °C day, the AB from each sampling area, was collected and evaluated. The spatial variability of AB was estimated more accurately using the Normalized Difference Vegetation Index (NDVI), calculated from LANDSAT 8 images obtained on 24 November 2014 (NDVInov) and 10 December 2014 (NDVIdec) because the potential AB was highly associated with NDVInov and NDVIdec (r (2) = 0.85 and 0.83, respectively). These models between the potential AB data and NDVI were evaluated by root mean squared error (RMSE) and relative root mean squared error (RRMSE). This last coefficient was 12 and 15 % for NDVInov and NDVIdec, respectively. Potential AB and NDVI spatial correlation were quantified with semivariograms. The spatial dependence of AB was low. Six classes of NDVI were analyzed for comparison, and two management zones (MZ) were established with them. In order to evaluate if the NDVI method allows us to delimit MZ with different attainable yields, the AB estimated for these MZ were compared through an ANOVA test. The potential AB had significant differences among MZ. Based on these findings, it can be concluded that NDVI obtained from LANDSAT 8 images can be reliably used for creating MZ in soils under permanent pastures dominated by Tall wheatgrass.

An algebraic pedotransfer function to calculate standardized in situ determined field capacity.

Despite the large applicability of the field capacity (FC) concept in hydrology and engineering, it presents various ambiguities and inconsistencies due to a lack of methodological procedure standardization. Experimental field and laboratory protocols taken from the literature were used in this study to determine the value of FC for different depths in 29 soil profiles, totaling 209 soil samples. The volumetric water content (θ) values were also determined at three suction values (6 kPa, 10 kPa, 33 kPa), along with bulk density (BD), texture (T) and organic matter content (OM). The protocols were devised based on the water processes involved in the FC concept aiming at minimizing hydraulic inconsistencies and procedural difficulty while maintaining the practical meaning of the concept. A high correlation between FC and θ(6 kPa) allowed the development of a pedotransfer function (Equation 3) quadratic for θ(6 kPa), resulting in an accurate and nearly bias-free calculation of FC for the four database geographic areas, with a global root mean squared residue (RMSR) of 0.026 m3·m-3. At the individual soil profile scale, the maximum RMSR was only 0.040 m3·m-3. The BD, T and OM data were generally of a low predicting quality regarding FC when not accompanied by the moisture variables. As all the FC values were obtained by the same experimental protocol and as the predicting quality of Equation 3 was clearly better than that of the classical method, which considers FC equal to θ(6), θ(10) or θ(33), we recommend using Equation 3 rather than the classical method, as well as the protocol presented here, to determine in-situ FC.

Changes in energy efficiency in Australia: A decomposition of aggregate energy intensity using logarithmic mean Divisia approach

This paper provides an empirical estimation of energy efficiency and other proximate factors that explain energy intensity in Australia for the period 1978-2009. The analysis is performed by decomposing the changes in energy intensity by means of energy efficiency, fuel mix and structural changes using sectoral and sub-sectoral levels of data. The results show that the driving forces behind the decrease in energy intensity in Australia are efficiency effect and sectoral composition effect, where the former is found to be more prominent than the latter. Moreover, the favourable impact of the composition effect has slowed consistently in recent years. A perfect positive association characterizes the relationship between energy intensity and carbon intensity in Australia. The decomposition results indicate that Australia needs to improve energy efficiency further to reduce energy intensity and carbon emissions. © 2012 Elsevier Ltd.

Closed-loop control of mean arterial blood pressure during surgery with alfentanil: clinical evaluation of a novel model-based predictive controller

BACKGROUND: In contrast to hypnosis, there is no surrogate parameter for analgesia in anesthetized patients. Opioids are titrated to suppress blood pressure response to noxious stimulation. The authors evaluated a novel model predictive controller for closed-loop administration of alfentanil using mean arterial blood pressure and predicted plasma alfentanil concentration (Cp Alf) as input parameters. METHODS: The authors studied 13 healthy patients scheduled to undergo minor lumbar and cervical spine surgery. After induction with propofol, alfentanil, and mivacurium and tracheal intubation, isoflurane was titrated to maintain the Bispectral Index at 55 (+/- 5), and the alfentanil administration was switched from manual to closed-loop control. The controller adjusted the alfentanil infusion rate to maintain the mean arterial blood pressure near the set-point (70 mmHg) while minimizing the Cp Alf toward the set-point plasma alfentanil concentration (Cp Alfref) (100 ng/ml). RESULTS: Two patients were excluded because of loss of arterial pressure signal and protocol violation. The alfentanil infusion was closed-loop controlled for a mean (SD) of 98.9 (1.5)% of presurgery time and 95.5 (4.3)% of surgery time. The mean (SD) end-tidal isoflurane concentrations were 0.78 (0.1) and 0.86 (0.1) vol%, the Cp Alf values were 122 (35) and 181 (58) ng/ml, and the Bispectral Index values were 51 (9) and 52 (4) before surgery and during surgery, respectively. The mean (SD) absolute deviations of mean arterial blood pressure were 7.6 (2.6) and 10.0 (4.2) mmHg (P = 0.262), and the median performance error, median absolute performance error, and wobble were 4.2 (6.2) and 8.8 (9.4)% (P = 0.002), 7.9 (3.8) and 11.8 (6.3)% (P = 0.129), and 14.5 (8.4) and 5.7 (1.2)% (P = 0.002) before surgery and during surgery, respectively. A post hoc simulation showed that the Cp Alfref decreased the predicted Cp Alf compared with mean arterial blood pressure alone. CONCLUSION: The authors' controller has a similar set-point precision as previous hypnotic controllers and provides adequate alfentanil dosing during surgery. It may help to standardize opioid dosing in research and may be a further step toward a multiple input-multiple output controller.

Inappropriate imaging utilization in Texas: Geographic variation and predictive factors

Objective::Describe and understand regional differences and associated multilevel factors (patient, provider and regional) to inappropriate utilization of advance imaging tests in the privately insured population of Texas. Methods: We analyzed Blue Cross Blue Shield of Texas claims dataset to study the advance imaging utilization during 2008-2010 in the PPO/PPO+ plans. We used three of CMS "Hospital Outpatient Quality Reporting" imaging efficiency measures. These included ordering MRI for low back pain without prior conservative management (OP-8) and utilization of combined with and without contrast abdominal CT (OP-10) and thorax CT (OP-11). Means and variation by hospital referral regions (HRR) in Texas were measured and a multilevel logistic regression for being a provider with high values for any the three OP measures was used in the analysis. We also analyzed OP-8 at the individual level. A multilevel logistic regression was used to identify predictive factors for having an inappropriate MRI for low back pain. Results: Mean OP-8 for Texas providers was 37.89%, OP-10 was 29.94% and OP-11 was 9.24%. Variation was higher for CT measure. And certain HRRs were consistently above the mean. Hospital providers had higher odds of high OP-8 values (OP-8: OR, 1.34; CI, 1.12-1.60) but had smaller odds of having high OP-10 and OP-11 values (OP-10: OR, 0.15; CI, 0.12-0.18; OP-11: OR, 0.43; CI, 0.34-0.53). Providers with the highest volume of imaging studies performed, were less likely to have high OP-8 measures (OP-8: OR, 0.58; CI, 0.48-0.70) but more likely to perform combined thoracic CT scans (OP-11: OR, 1.62; CI, 1.34-1.95). Males had higher odds of inappropriate MRI (OR, 1.21; CI, 1.16-1.26). Pattern of care in the six months prior to the MRI event was significantly associated with having an inappropriate MRI. Conclusion::We identified a significant variation in advance imaging utilization across Texas. Type of facility was associated with measure performance, but the associations differ according to the type of study. Last, certain individual characteristics such as gender, age and pattern of care were found to be predictors of inappropriate MRIs.^

Progress on optimization of the solar cell fabrication process by impurity-to-efficiency predictive simulator

To optimize the last high temperature step of a standard solar cell fabrication process (the contact cofiring step), the aluminium gettering is incorporated in the Impurity-to-Efficiency simulation tool, so that it models the phosphorus and aluminium co-gettering effect on iron impurities. The impact of iron on the cell efficiency will depend on the balance between precipitate dissolution and gettering. Gettering efficiency is similar in a wide range of peak temperatures (600-850 ºC), so that this peak temperature can be optimized favoring other parameters (e.g. ohmic contact). An industrial co-firing step can enhance the co-gettering effect by adding a temperature plateau after the peak of temperature. For highly contaminated materials, a short plateau (menor que 2 min) at low temperature (600 ºC) is shown to reduce the dissolved iron.