Inference in differences-in-differences with few treated groups and heteroskedasticity

Differences-in-Differences (DID) is one of the most widely used identification strategies in applied economics. However, how to draw inferences in DID models when there are few treated groups remains an open question. We show that the usual inference methods used in DID models might not perform well when there are few treated groups and errors are heteroskedastic. In particular, we show that when there is variation in the number of observations per group, inference methods designed to work when there are few treated groups tend to (under-) over-reject the null hypothesis when the treated groups are (large) small relative to the control groups. This happens because larger groups tend to have lower variance, generating heteroskedasticity in the group x time aggregate DID model. We provide evidence from Monte Carlo simulations and from placebo DID regressions with the American Community Survey (ACS) and the Current Population Survey (CPS) datasets to show that this problem is relevant even in datasets with large numbers of observations per group. We then derive an alternative inference method that provides accurate hypothesis testing in situations where there are few treated groups (or even just one) and many control groups in the presence of heteroskedasticity. Our method assumes that we know how the heteroskedasticity is generated, which is the case when it is generated by variation in the number of observations per group. With many pre-treatment periods, we show that this assumption can be relaxed. Instead, we provide an alternative application of our method that relies on assumptions about stationarity and convergence of the moments of the time series. Finally, we consider two recent alternatives to DID when there are many pre-treatment groups. We extend our inference method to linear factor models when there are few treated groups. We also propose a permutation test for the synthetic control estimator that provided a better heteroskedasticity correction in our simulations than the test suggested by Abadie et al. (2010).

Medidas de desempenho de fundos considerando risco de estimação

Neste artigo são apresentadas duas medidas de desempenho de fundos mútuos de investimento baseadas nos índices de Sharpe Generalizado e de Sortino, que são ajustadas para o risco de estimação através de intervalos de confiança gerados por meio de procedimentos de bootstrap. O uso das medidas propostas é útil para fundos de investimento que empregam gestão ativa, ou seja, que tenham como objetivo superar um determinado índice de referência. Os índices propostos neste artigo serão comparados com os índices de Sharpe Generalizado e de Sortino originais e com o duplo índice de Sharpe de Vinod e Morey (1999), com uma amostra de 100 fundos do mercado brasileiro no período de 2004, onde serão analisados os resultados de ranqueamento de diferentes fundos conforme seu desempenho. Os resultados dos ranqueamentos e da correlação de Spearman mostram que há grandes mudanças de ranqueamento quando se utiliza as medidas propostas em comparação com as medidas já existentes, principalmente quando se emprega o boostrap studentizado.

Analysts’ recommendations in Brazil: do they add value?

This paper examines the value of analysts’ recommendations in Brazilian Stock Market. We studied a sample of 294 weeks of recommendations make public by the best seller newspaper in Brazil with six different investment strategies and time horizons. The main conclusion is that it is possible to beat the Brazilian market indexes Ibovespa and IBrX following the analysts’ stock recommendations. The best strategies are buying only the recommended stocks, buying the recommended stocks whose target and market prices difference is bigger than 25% and lesser or equal than 50%. The performance of the six strategies is analyzed through the use of bootstrap and Monte Carlo techniques.

Três ensaios em economia aplicada

A tese é constituída por três artigos: “Regulação Ótima de Pescarias com Imperfeito Enforcement dos Direitos de Propriedade”, “Estimação de um Modelo Generalizado de Pesca” e “Fatores Condicionantes da Reincidência Criminal no Chile”. No Capitulo 1, num contexto de enforcement imperfeito e custoso dos direitos de propriedade, é desenvolvido um modelo bioeconômico para determinar a captura ótima na exploração de recursos hidrobiológicos. Os resultados mostram que: (i) o stock do recurso em estado estacionário é menor quando o enforcement é imperfeito e custoso que quando é perfeito e sem custo, (ii) se o stock do recurso em estado estacionário com enforcement perfeito e sem custo é menor ao de máximo rendimento sustentável, então a quota de captura ótima com enforcement imperfeito e custoso é menor à respetiva quota quando o enforcement é perfeito e sem custo, e (iii) o stock do recurso em estado estacionário com enforcement imperfeito e custoso é maior ao stock do recurso quando a pescaria é de livre acesso. Contudo a gestão ótima dos recursos pesqueiros requer o conhecimento dos seus parâmetros bioeconômicos, porém implementar estudos para obter informação do stock do recurso é muito custoso e está sujeito a erros de mensuração. Assim, no Capitulo 2 são estimados os parâmetros bioeconômicos para a captura de anchoveta peruana. A metodologia baseia-se em Zhang e Smith (2011). Os parâmetros bioeconômicos são obtidos a traves de uma estimação econométrica em dois estágios utilizando dados microeconômicos associadas às embarcações que contam com permissão para capturar anchoveta. O método do bootstrap é utilizado para corrigir os erros padrão das estimativas obtidas pela metodologia em dois estágios. Os parâmetros estimados são utilizados para o stock ótimo e a captura ótima de anchoveta em estado estacionário. Assim mesmo, comparar-se o stock ótimo com o stock observado conclui-se que a pescaria da anchoveta peruana tem estado continuamente sujeita â sobre-exploração. Por último o Capitulo 3 é um esforço por estudar os fatores de reincidência criminal no Chile, uma área de pesquisa que tem sido escassamente explorada em América Latina, embora da sua importância na agenda pública e dada a crença da sociedade chilena que a criminalidade é explicada fundamentalmente por criminais reincidentes. A aproximação escolhida no presente estudo analisa a reincidência a partir da imputação. Para estudar os determinantes a reincidência, utiliza-se um modelo econométrico binário, o modelo Probit, que permite analisar como a idade, sexo, e o tipo de delitos cometidos, afetam a probabilidade de reincidência. Observa-se que na maior dos casos os estimadores apresentam o sinal esperado.

A critical value function approach, with an application to persistent time-series

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic islarger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter dificulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.

Fatores críticos de sucesso como antecedentes da aceitação de um sistema de informação em uma universidade federal

In recent decades the public sector comes under pressure in order to improve its performance. The use of Information Technology (IT) has been a tool increasingly used in reaching that goal. Thus, it has become an important issue in public organizations, particularly in institutions of higher education, determine which factors influence the acceptance and use of technology, impacting on the success of its implementation and the desired organizational results. The Technology Acceptance Model - TAM was used as the basis for this study and is based on the constructs perceived usefulness and perceived ease of use. However, when it comes to integrated management systems due to the complexity of its implementation,organizational factors were added to thus seek further explanation of the acceptance of such systems. Thus, added to the model five TAM constructs related to critical success factors in implementing ERP systems, they are: support of top management, communication, training, cooperation, and technological complexity (BUENO and SALMERON, 2008). Based on the foregoing, launches the following research problem: What factors influence the acceptance and use of SIE / module academic at the Federal University of Para, from the users' perception of teachers and technicians? The purpose of this study was to identify the influence of organizational factors, and behavioral antecedents of behavioral intention to use the SIE / module academic UFPA in the perspective of teachers and technical users. This is applied research, exploratory and descriptive, quantitative with the implementation of a survey, and data collection occurred through a structured questionnaire applied to a sample of 229 teachers and 30 technical and administrative staff. Data analysis was carried out through descriptive statistics and structural equation modeling with the technique of partial least squares (PLS). Effected primarily to assess the measurement model, which were verified reliability, convergent and discriminant validity for all indicators and constructs. Then the structural model was analyzed using the bootstrap resampling technique like. In assessing statistical significance, all hypotheses were supported. The coefficient of determination (R ²) was high or average in five of the six endogenous variables, so the model explains 47.3% of the variation in behavioral intention. It is noteworthy that among the antecedents of behavioral intention (BI) analyzed in this study, perceived usefulness is the variable that has a greater effect on behavioral intention, followed by ease of use (PEU) and attitude (AT). Among the organizational aspects (critical success factors) studied technological complexity (TC) and training (ERT) were those with greatest effect on behavioral intention to use, although these effects were lower than those produced by behavioral factors (originating from TAM). It is pointed out further that the support of senior management (TMS) showed, among all variables, the least effect on the intention to use (BI) and was followed by communications (COM) and cooperation (CO), which exert a low effect on behavioral intention (BI). Therefore, as other studies on the TAM constructs were adequate for the present research. Thus, the study contributed towards proving evidence that the Technology Acceptance Model can be applied to predict the acceptance of integrated management systems, even in public. Keywords: Technology

Modelagem do desempenho ambiental dos projetos de exploração e produção aplicando equações estruturais

A legislação ambiental e os principais agentes que se relacionam com a empresa se constituem em fatores exógenos que não podem ser negligenciados ao formular-se e avaliar-se a política ambiental corporativa. As influências exógenas e seus efeitos sobre a gestão ambiental e o gerenciamento de projetos de exploração e produção (E&P) e, por essa via, sobre o desempenho ambiental, foram objetos de estudo desta tese. Embora o desempenho ambiental seja um assunto relevante, a pesquisa sobre esse tema ainda é escassa. Tal carência desponta ainda mais acentuada quando se aborda o desempenho ambiental de projetos na indústria de petróleo e gás. O principal objetivo deste estudo foi avaliar a relação entre a legislação ambiental vigente, as ações de órgãos reguladores, fornecedores, empresas terceirizadas e comunidades locais e o desempenho ambiental dos projetos de E&P na indústria de petróleo e gás e, também, analisar os efeitos do sistema de gestão ambiental e o gerenciamento dos projetos sobre tal desempenho. Na fase abdutiva, foi conduzido um estudo de caso com abordagem qualitativa em uma grande empresa brasileira do setor de petróleo e gás, na fase dedutiva, foi realizada uma pesquisa survey explanatória de corte transversal com abordagem quantitativa, incluindo 113 projetos de E&P de cinco unidades executoras da empresa. Foi formulado um modelo conceitual, com cinco construtos e sete hipóteses de pesquisa, representativo dos efeitos de fatores externos sobre o desempenho ambiental dos projetos de E&P. Os dados foram tratados aplicando a Análise Fatorial Exploratória e a Modelagem de Equações Estruturais com aplicação dos softwares IBM® SPSS® Statistics 20.0 e IBM® SPSS® Amos 18.0. O modelo de equações estruturais foi reespecificado e estimado utilizando o método de Máxima Verossimilhança e o procedimento bootstrap com 2000 reamostragens, até alcançar adequados valores dos índices de ajustamento. O modelo mostrou boa aderência às evidências empíricas, representando uma teoria explicativa dos fatores que influenciam o desempenho ambiental dos projetos de E&P na empresa estudada. As estatísticas descritivas apontaram adequado desempenho dos projetos de E&P com relação aos efluentes descartados, volume de água reutilizada, redução de resíduos e práticas de reciclagem. Identificou-se que projetos de maior porte alcançam melhor desempenho ambiental em relação aos de menor tamanho. Não foram achadas diferenças significativas entre os desempenhos de projetos executados por unidades operacionais distintas. Os resultados da modelagem indicaram que nem a legislação ambiental, nem os agentes externos exercem influência significativa sobre a sistemática da gestão dos projetos de E&P. Os agentes externos atuam sobre a gestão ambiental da empresa exercitando capacidades colaborativas, obstrutivas e propositivas. A legislação ambiental é percebida como entrave ao desenvolvimento dos projetos ao longo de seu ciclo de vida, principalmente, pelas deficiências dos órgãos ambientais. Identificou-se que o sistema de gestão ambiental influencia diretamente o Programa de Desenvolvimento e Execução de Projetos de E&P, que, por sua vez, provoca efeitos diretos e indiretos sobre o desempenho ambiental. Finalmente, comprovou-se que o Sistema de Gestão Ambiental da empresa é determinante para o desempenho ambiental dos projetos de E&P, tanto pelos seus efeitos diretos, como pelos indiretos, estes últimos mediados pela sistemática de gestão dos projetos de E&P

Diversidade de Phytophthora parasitica isolados de Citrus usando seqüências de nucleotídeos da região ITS-5.8S rDNA

Realizou-se estudo para caracterização e verificação da diversidade genética de Phytophthora parasitica, agente causador da gomose dos citros. Quatorze isolados de Phytophthora parasitica, provenientes do Estado de São Paulo, foram seqüenciados a partir das regiões internas transcritas (ITS1 e ITS2) do gene 5.8S. Obtiveram-se seqüências de 812 pb a 860 pb que foram comparadas com seqüências de outras espécies de Phytophthora spp depositadas no NCBI. Foram feitos estudos filogenéticos, utilizando-se o método neighbor-joining com 1000 bootstrap e construído o dendrograma mais representativo. Obtiveram-se os resultados de 98,88% a 100% de similaridade genética entre os 14 isolados paulistas, e 99,5% a 98,8% entre estes e a seqüência de P. nicotianae (gi| 8927482) obtida do GenBank NCBI.

RINEX_HO: second- and third-order ionospheric corrections for RINEX observation files

When GNSS receivers capable of collecting dual-frequency data are available, it is possible to eliminate the first-order ionospheric effect in the data processing through the ionosphere-free linear combination. However, the second- and third-order ionospheric effects still remain. The first-, second- and third-order ionospheric effects are directly proportional to the total electron content (TEC), although the second- and third-order effects are influenced, respectively, by the geomagnetic field and the maximum electron density. In recent years, the international scientific community has given more attention to these kinds of effects and some works have shown that for high precision GNSS positioning these effects have to be taken into consideration. We present a software tool called RINEX_HO that was developed to correct GPS observables for second- and third-order ionosphere effects. RINEX_HO requires as input a RINEX observation file, then computes the second- and third-order ionospheric effects, and applies the corrections to the original GPS observables, creating a corrected RINEX file. The mathematical models implemented to compute these effects are presented, as well as the transformations involving the earth's magnetic field. The use of TEC from global ionospheric maps and TEC calculated from raw pseudorange measurements or pseudoranges smoothed by phase is also investigated.

Projections Onto Convex Sets through Particle Swarm Optimization and its application for remote sensing image restoration

Image restoration attempts to enhance images corrupted by noise and blurring effects. Iterative approaches can better control the restoration algorithm in order to find a compromise of restoring high details in smoothed regions without increasing the noise. Techniques based on Projections Onto Convex Sets (POCS) have been extensively used in the context of image restoration by projecting the solution onto hyperspaces until some convergence criteria be reached. It is expected that an enhanced image can be obtained at the final of an unknown number of projections. The number of convex sets and its combinations allow designing several image restoration algorithms based on POCS. Here, we address two convex sets: Row-Action Projections (RAP) and Limited Amplitude (LA). Although RAP and LA have already been used in image restoration domain, the former has a relaxation parameter (A) that strongly depends on the characteristics of the image that will be restored, i.e., wrong values of A can lead to poorly restoration results. In this paper, we proposed a hybrid Particle Swarm Optimization (PS0)-POCS image restoration algorithm, in which the A value is obtained by PSO to be further used to restore images by POCS approach. Results showed that the proposed PSO-based restoration algorithm outperformed the widely used Wiener and Richardson-Lucy image restoration algorithms. (C) 2010 Elsevier B.V. All rights reserved.

Sistemas de dunas do parque das Dunas e Barreiras do Inferno/Natal (RN: levantamento geológico /geofísico, elaboração do modelo deterministico e avaliação da vulnerabilidade/suscetibilidade

The current work was developed on the dune systems of the Parque das Dunas and Barreira do Inferno. These places are located in the cities of Natal and Parnamirim (RN, Brazil), respectively. This project has the purpose of developing the deterministic model on a specific blowout at Parque das Dunas, based in the geophysical interpretations of the lines gotten with the Ground Penetration Radar and the planialtimetric acquisitions of the topographical surface of the land. Also analyses of the vulnerability/susceptibility of these dune systems had been done in relation to the human pressures. To develop its deterministic model, it is necessary to acquire inner and outer geometries of the cited blowout. In order to depict inner geometries underneath the surface are used the GPR observing the altimetric control for topographical correction of the GPR lines. As for the outer geometries, the geodesic GPS gives us the planialtimetric points (x, y and z points) with milimetric precision, resulting in high-resolution surfaces. Using interpolation methods of the planialtimetric points was possible create Digital Elevations Models (DEM´s) of these surfaces. As a result, 1,161.4 meters of GPR lines were acquired on the blowout at the Parque das Dunas and 3,735.27 meters on the blowout at the Barreira do Inferno. These lines had been acquired with a 200 MHz antenna, except the 7 and 8 lines, for which we had been used a 100 MHz antenna. The gotten data had been processed and interpreted, being possible to identify boundary surfaces of first, second and third order. The first order boundary surface is related with the contact of the rocks of the Barreiras Group with the aeolian deposits. These deposits had been divided in two groups (Group 1 and Group 2) which are related with the geometry of stratum and the dip of its stratifications. Group 1 presented stratum of sigmoidal and irregular geometries and involved bodies where the reflectors had presented dips that had varied of 20 to the 28 degrees for the Parque das Dunas blowout and of 22 to the 29 degrees for the Barreira do Inferno blowout. Usually, it was limited in the base for the first order surface and in the top for the second order surface. Group 2 presented stratum of trough, wedge or lens geometries, limited in the base for the second order vi surface, where the corresponding deposits had more shown smoothed reflectors or with dips of low angle. The Deterministic and Digital Elevation Models had been developed from the integration and interpretation of the 2D data with the GOCAD® program. In Digital Elevations Models it was possible to see, for the localities, corridor or trough-shaped blowouts. In Deterministic Model it was possible to see first and second order boundary surfaces. For the vulnerability/susceptibility of the dune systems it was applied the methodology proposal by Boderè al (1991); however the same one did not show adequate because it evaluates actual coastal dunes. Actual coastal dunes are dunes that are presented in balance with the current environmental conditions. Therefore, a new methodology was proposal which characterizes the supplying and activity sedimentary, as well as the human pressures. For the methodology developed in this work, both the localities had presented a good management. The Parque das Dunas was characterized as a relic dune system and the Barreira do Inferno was characterized as a palimpsestic dune system. Also two Thematic Maps had been elaborated for the environmental characterization of the studied dune systems, with software ArcGis 8.3, and its respective data bases

Semen cryopreservation protocols of Mangalarga Marchador stallions

The effect of the utilization of three semen protocols (Inra 82®, Merck Gema and Botu-crio®) and two filling techniques (0.25 and 0.50 mL straws) in Mangalarga Marchador stallions were studied in this experiment. Sperm parameters were assessed during processing and post-freezing. No interactions between the protocols and type of filling were observed, so they were assessed separately. Sperm parameters were not altered when the extender was added to the centrifugation; however, there was reduction of motility and strength when freezing extenders were added. The Botu-crio® protocol preserved the parameters of total and progressive sperm motility, smoothed path velocity (µm/s), straight line velocity (µm/s), track velocity (µm/s) and the average and fast spermatozoa percentage better than the others. No difference between the extenders for the percentage of sperm integrity was observed. There was no difference in the responses studied on the filling techniques. The stallions presented better freezing with the use of the Botu-crio® protocol. The best post-freezing viability results were found for semen frozen using the Botu-crio® protocol and there were no differences concerning the sperm quality comparing 0.25 and 0.50 mL straws.

EFFECT of METAL PRIMERS on BOND STRENGTH of RESIN CEMENTS TO BASE METALS

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

Genetic characterization of Brazilian annual Arachis species from sections Arachis and Heteranthae using RAPD markers

The genus Arachis is divided into nine taxonomic sections. Section Arachis is composed of annual and perennial species, while section Heteranthae has only annual species. The objective of this study was to investigate the genetic relationships among 15 Brazilian annual accessions from Arachis and Heteranthae using RAPD markers. Twenty-seven primers were tested, of which nine produced unique fingerprintings for all the accessions studied. A total of 88 polymorphic fragments were scored and the number of fragments per primer varied from 6 to 17 with a mean of 9.8. Two specific markers were identified for species with 2n = 18 chromosomes. The phenogram derived from the RAPD data corroborated the morphological classification. The bootstrap analysis divided the genotypes into two significant clusters. The first cluster contained all the section Arachis species, and the accessions within it were grouped based upon the presence or absence of the 'A' pair and the number of chromosomes. The second cluster grouped all accessions belonging to section Heteranthae.

Phylogenetic relationships within the speciose family Characidae (Teleostei: Ostariophysi: Characiformes) based on multilocus analysis and extensive ingroup sampling

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