Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

‘Being in a womb’ or ‘playing musical chairs’ : the impact of place and space on infant feeding in NICUs

Background: Becoming a parent of a preterm baby requiring neonatal care constitutes an extraordinary life situation in which parenting begins and evolves in a medical and unfamiliar setting. Although there is increasing emphasis within maternity and neonatal care on the influence of place and space upon the experiences of staff and service users, there is a lack of research on how space and place influence relationships and care in the neonatal environment. The aim of this study was to explore, in-depth, the impact of place and space on parents’ experiences and practices related to feeding their preterm babies in Neonatal Intensive Care Units (NICUs) in Sweden and England. Methods: An ethnographic approach was utilised in two NICUs in Sweden and two comparable units in England, UK. Over an eleven month period, a total of 52 mothers, 19 fathers and 102 staff were observed and interviewed. A grounded theory approach was utilised throughout data collection and analysis. Results: The core category of ‘the room as a conveyance for an attuned feeding’ was underpinned by four categories: the level of ‘ownership’ of space and place; the feeling of ‘at-homeness’; the experience of ‘the door or a shield’ against people entering, for privacy, for enabling a focus within, and for regulating socialising and the; ‘window of opportunity’. Findings showed that the construction and design of space and place was strongly influential on the developing parent-infant relationship and for experiencing a sense of connectedness and a shared awareness with the baby during feeding, an attuned feeding. Conclusions: If our proposed model is valid, it is vital that these findings are considered when developing or reconfiguring NICUs so that account is taken of the influences of spatiality upon parent’s experiences. Even without redesign there are measures that may be taken to make a positive difference for parents and their preterm babies.

Hamiltonian constraint analysis of vector field theories with spontaneous Lorentz symmetry breaking

Recent investigations of various quantum-gravity theories have revealed a variety of possible mechanisms that lead to Lorentz violation. One of the more elegant of these mechanisms is known as Spontaneous Lorentz Symmetry Breaking (SLSB), where a vector or tensor field acquires a nonzero vacuum expectation value. As a consequence of this symmetry breaking, massless Nambu-Goldstone modes appear with properties similar to the photon in Electromagnetism. This thesis considers the most general class of vector field theories that exhibit spontaneous Lorentz violation-known as bumblebee models-and examines their candidacy as potential alternative explanations of E&M, offering the possibility that Einstein-Maxwell theory could emerge as a result of SLSB rather than of local U(1) gauge invariance. With this aim we employ Dirac's Hamiltonian Constraint Analysis procedure to examine the constraint structures and degrees of freedom inherent in three candidate bumblebee models, each with a different potential function, and compare these results to those of Electromagnetism. We find that none of these models share similar constraint structures to that of E&M, and that the number of degrees of freedom for each model exceeds that of Electromagnetism by at least two, pointing to the potential existence of massive modes or propagating ghost modes in the bumblebee theories.

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.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Confinement of fermions by mixed vector-scalar linear potentials in two-dimensional space-time

The problem of confinement of fermions in 1 + 1 dimensions is approached with a linear potential in the Dirac equation by considering a mixing of Lorentz vector and scalar couplings. Analytical bound-states solutions are obtained when the scalar coupling is of sufficient intensity compared to the vector coupling. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Vector and axial-vector correlators in a non-local chiral quark model

The behavior of the non-perturbative parts of the isovector-vector and isovector and isosinglet axial-vector correlators at Euclidean momenta is studied in the framework of a covariant chiral quark model with non-local quark-quark interactions. The gauge covariance is ensured with the help of the P-exponents, with the corresponding modification of the quark-current interaction vertices taken into account. The low- and high-momentum behavior of the correlators is compared with the chiral perturbation theory and with the QCD operator product expansion, respectively. The V-A combination of the correlators obtained in the model reproduces quantitatively the ALEPH and OPAL data on hadronic tau decays, transformed into the Euclidean domain via dispersion relations. The predictions for the electromagnetic pi(+/-) - pi(0) mass difference and for the pion electric polarizability are also in agreement with the experimental values. The topological susceptibility of the vacuum is evaluated as a function of the momentum, and its first moment is predicted to be chi'(0) approximate to (50 MeV)(2). In addition, the fulfillment of the Crewther theorem is demonstrated.

A model for Hopfions on the space-time S(3)xR

We construct static and time dependent exact soliton solutions for a theory of scalar fields taking values on a wide class of two dimensional target spaces, and defined on the four dimensional space-time S-3 X R. The construction is based on an ansatz built out of special coordinates on S3. The requirement for finite energy introduce boundary conditions that determine an infinite discrete spectrum of frequencies for the oscillating solutions. For the case where the target space is the sphere S-2, we obtain static soliton solutions with nontrivial Hopf topological charges. In addition, such Hopfions can oscillate in time, preserving their topological Hopf charge, with any of the frequencies belonging to that infinite discrete spectrum. (C) 2005 American Institute of Physics.

The pion electromagnetic form factor in a QCD-inspired model

We present detailed numerical results for the pion space-like electromagnetic form factor obtained within a recently proposed model of the pion electromagnetic current in a confining light-front QCD-inspired model. The model incorporates the vector meson dominance mechanism at the quark level, where the dressed photon with q(+) > 0 decays in an interacting quark-antiquark pair, which absorbs the initial pion and produces the pion in the final state.

Time evolution of the Wigner function in discrete quantum phase space for a soluble quasi-spin model

The discrete phase space approach to quantum mechanics of degrees of freedom without classical counterparts is applied to the many-fermions/quasi-spin Lipkin model. The Wi:ner function is written for some chosen states associated to discrete angle and angular momentum variables, and the rime evolution is numerically calculated using the discrete von Neumnnn-Liouville equation. Direct evidences in the lime evolution of the Wigner function are extracted that identify a tunnelling effect. A connection with a SU(2)-based semiclassical continuous approach to the Lipkin model is also presented.

Study of the (D)over-barN Interaction in a QCD Coulomb Gauge Quark Model

We study the (D) over barN interaction at low energies with a quark model inspired in the QCD Hamiltonian in Coulomb gauge. The model Hamiltonian incorporates a confining Coulomb potential extracted from a self-consistent quasiparticle method for the gluon degrees of freedom, and transverse-gluon hyperfine interaction consistent with a finite gluon propagator in the infrared. Initially a constituent-quark mass function is obtained by solving a gap equation and baryon and meson bound-states are obtained in Fock space using a variational calculation. Next, having obtained the constituent-quark masses and the hadron waves functions, an effective meson-nucleon interaction is derived from a quark-interchange mechanism. This leads to a short range meson-baryon interaction and to describe long-distance physics vector- and scalar-meson exchanges described by effective Lagrangians are incorporated. The derived effective (D) over barN potential is used in a Lippmann-Schwinger equation to obtain phase shifts. The results are compared with a recent similar calculation using the nonrelativistic quark model.

Parameter space for a dissipative Fermi-Ulam model

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