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.

Space dependency of chemical attributes in an area with sugarcane plantation in Pereira Barreto, SP

The behavior of the chemical attributes is directly influenced by superficial flow and water movement inside the soil. This work aimed to study the space dependency of chemical attributes in an area with sugarcane plantation in Pereira Barreto, SP. An area of 530.67 hectares was mapped using an equipment of Global Positioning System and obtaining a Digital Elevation Model. A set of 134 soil samples were collected every seven hectares in the depths of 0-0.25 m and 0.80-1.00 m. The pH, organic matter (OM), Ca, Mg, K, BS, CEC and base saturation (BS) were analyzed. All the chemical attributes presented similar behavior in the superficial and subsuperficial layer of the soil, which provided better visualization and definition of the homogeneous tillage zones.

Object-Space Road Extraction in Rural Areas Using Stereoscopic Aerial Images

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

Three-Dimensional Semiautomatic Road Extraction From a High-Resolution Aerial Image by Dynamic-Programming Optimization in the Object Space

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

CERN LHC signals for a neutrino mass model with bilinear R-parity violating minimal anomaly mediated supersymmetry

We investigate a neutrino mass model in which the neutrino data is accounted for by bilinear R-parity violating supersymmetry with anomaly mediated supersymmetry breaking. We focus on the CERN Large Hadron Collider (LHC) phenomenology, studying the reach of generic supersymmetry search channels with leptons, missing energy and jets. A special feature of this model is the existence of long-lived neutralinos and charginos which decay inside the detector leading to detached vertices. We demonstrate that the largest reach is obtained in the displaced vertices channel and that practically all of the reasonable parameter space will be covered with an integrated luminosity of 10 fb(-1). We also compare the displaced vertex reaches of the LHC and Tevatron.

Evasive Maneuvers in Space Debris Environment and Technological Parameters

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A model for the plankton system of the Broa reservoir, Sao Carlos, Brazil

In this paper a model, called ELLOBO running in STELLA II, was set to describe the plankton system of the Broa reservoir (SP). The three state variables of the model are: phytoplankton, zooplankton, and the fish Astyanax fasciatus. The forcing variables are: temperature, nitrate, phosphorus and solar radiation. The model did not consider the cycling of nutrients inside the reservoir. The results show that: temperature is the principal forcing variable in the phytoplankton dynamic and in the subsequent evolution of the whole system. The zooplankton predation was described by Odum's equation, and there is a strong random component in zooplankton grazing, which was essential for the model, because zooplankton estimates have high variance. One must collect data in a short space of time (maybe daily) to better explain the zooplankton and phytoplankton variation. Validation was performed using simple statistics (arithmetic mean, standard deviation) and the results show concordance between observed and simulated values. Overhead was used to calibrate some parameters and to validate the model. The highest overhead value (5%) imply in the better accordance between estimated and;observed state variables values. We believe this approach in Broa reservoir will provide an useful tool for future research and it could be used comparatively in other continental aquatic ecosystems. (C) 2000 Elsevier B.V. B.V. All rights reserved.

A simplified Fermi Accelerator Model under quadratic frictional force

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

A mass-transportation approach to a one dimensional fluid mechanics model with nonlocal velocity

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

Classification of states in S0(8) proton-neutron pairing model

lsoscalar (T = 0) plus isovector (T = 1) pairing Hamiltonian in LS-coupling. which is important for heavy N = Z nuclei, is solvable in terms of a SO(8) Lie algebra for three special values of the mixing parameter that measures the competition between the T = 0 aid T = 1 pairing. The SO(8) algebra is generated, amongst others, by the S = 1, T = 0 and S = 0, T = 1 pair creation and annihilation operators and corresponding to the three values of the mixing parameter, there are three chains of subalgebras: SO(8) superset of SOST (6) superset of SOS(3) circle times SOT(3), SO(8) superset of [SOS(5) superset of SOS(3)] circle times SOT(3) and SO(8) superset of [SOT(5) superset of SOT(3)] circle times SOS(3). Shell model Lie algebras, with only particle number conserving generators, that are complementary to these three chains of subalgebras are identified and they are used in the classification of states for a given number of nucleons. The classification problem is solved explicitly tor states with SO(8) seniority nu = 0, 1, 2, 3 and 4. Using them, hand structures in isospin space are identified for states with nu = 0, 1, 2 and 3. (c) 2005 Elsevier B.V. All rights reserved.

On high Q(2) behavior of the pion form factor for transitions gamma*gamma -> pi(0) and gamma*gamma* -> pi(0) within the nonlocal quark-pion model

The behavior of the transition pion form factor for processes gamma (*)gamma --> pi(0) and gamma (*)gamma (*) --> pi(0) at large values of space-like photon momenta is estimated within the nonlocal covariant quark-pion model. It is shown that, in general, the coefficient of the leading asymptotic term depends dynamically on the ratio of the constituent quark mass and the average virtuality of quarks in the vacuum and kinematically on the ratio of photon virtualities. The kinematic dependence of the transition form factor allows us to obtain the relation between the pion light-cone distribution amplitude and the quark-pion vertex function. The dynamic dependence indicates that the transition form factor gamma (*)gamma -->, pi(0) at high momentum transfers is very sensitive to the nonlocality size of nonperturbative fluctuations in the QCD vacuum. (C) 2000 Elsevier B.V. B.V. All rights reserved.

A mathematical model for wave propagation in elastic tubes with inhomogeneities: Application to blood waves propagation

We study the propagation of waves in an elastic tube filled with an inviscid fluid. We consider the case of inhomogeneity whose mechanical and geometrical properties vary in space. We deduce a system of equations of the Boussinesq type as describing the wave propagation in the tube. Numerical simulations of these equations show that inhomogeneities prevent separation of right-going from left-going waves. Then reflected and transmitted coefficients are obtained in the case of localized constriction and localized rigidity. Next we focus on wavetrains incident on various types of anomalous regions. We show that the existence of anomalous regions modifies the wavetrain patterns. (c) 2007 Elsevier B.V. All rights reserved.

Infinite symmetries in the Skyrme model

We show that the Skyrme theory possesses a submodel with an infinite number of local conserved currents. The constraints leading to the submodel explore a decomposition of SU(2) with a complex field parametrizing the symmetric space SU(2)/U(1) and a real field in the direction of U(1). We demonstrate that the Skyrmions of topological charges ii belong to such integrable sector of the theory. Our results open ways to the development of exact methods, compensating for the non-existence of a BPS type sector in the Skyrme theory. (C) 2001 Published by Elsevier B.V. B.V.