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.

A roughly smooth optimal consumption path: smoothing the rough annuity puzzle

A inconsistência entre a teoria e o comportamento empírico dos agentes no que tange ao mercado privado de pensões tem se mostrado um dos mais resistentes puzzles presentes na literatura econômica. Em modelos de otimização intertemporal de consumo e poupança sob incerteza em relação ao tempo de vida dos agentes, anuidades são ativos dominantes, anulando ou restringindo fortemente a demanda por ativos cujos retornos não estão relacionados à probabilidade de sobrevivência. Na prática, entretanto, consumidores são extremamente céticos em relação às anuidades. Em oposição ao seguro contra longevidade oferecido pelas anuidades, direitos sobre esses ativos - essencialmente ilíquidos - cessam no caso de morte do titular. Nesse sentido, choques não seguráveis de liquidez e a presença de bequest motives foram consideravelmente explorados como possíveis determinantes da baixa demanda verificada. Apesar dos esforços, o puzzle persiste. Este trabalho amplia a dominância teórica das anuidades sobre ativos não contingentes em mercados incompletos; total na ausência de bequest motives, e parcial, quando os agentes se preocupam com possíveis herdeiros. Em linha com a literatura, simulações numéricas atestam que uma parcela considerável do portfolio ótimo dos agentes seria constituída de anuidades mesmo diante de choques de liquidez, bequest motives, e preços não atuarialmente justos. Em relação a um aspecto relativamente negligenciado pela academia, mostramos que o tempo ótimo de conversão de poupança em anuidades está diretamente relacionado à curva salarial dos agentes. Finalmente, indicamos que, caso as preferências dos agentes sejam tais que o nível de consumo ótimo decaia com a idade, a demanda por anuidades torna-se bastante sensível ao sobrepreço (em relação àquele atuarialmente justo) praticado pela indústria, chegando a níveis bem mais compatíveis com a realidade empírica.

The relationships of alternative energies with the technology sector and non-renewable energies

Este trabalho tem como objectivo compreender de que forma os investidores veem as energias renováveis: se as veem como parte do sector tecnológico, à espera de novos desenvolvimentos, ou como uma alternativa aos métodos existentes de produção de energia. Para responder a esta questão, foi desenvolvido um modelo de vectores autoregressivos com quatro variáveis de forma a se poder aplicar um Granger causality test e Impulse Response function. Os resultados sugerem que para o período de 2002-2007 à escala global ambas as hipóteses se confirmam, porém de 2009-2014 os resultados sugerem que os investidores não reconhecem as energias renováveis como um ramo do sector tecnológico, neste período. Para além disso, durante o período de 2009-2014, e quando comparados investidores Americanos com Europeus, os resultados sugerem que apenas o último identifica as energias renováveis como uma fonte viável para a produção energética.

Occupational exposure of physical therapists to electric and magnetic fields and the efficacy of Faraday cages

Objective. Measure physical therapists' exposure to the electric and magnetic fields produced by 17 shortwave diathermy devices in physical therapy clinics in the city of Presidente Prudente, São Paulo State, Brazil. Compare the observed values with the exposure levels recommended by the International Commission on Non-ionizing Radiation Protection (ICNIRP). Observe the efficacy of Faraday cages as a means of protecting physical therapists from exposure to oscillating electric and magnetic fields.Methods. Electric and magnetic field measurements were taken at four points during actual physical therapy sessions: in proximity to the operator's pelvis and head, the devices' electrical cables, and the electrodes. The measuring equipment was a Wandel & Goltermann EMR-200.Results. The values obtained in proximity to the electrodes and cables were 10 to 30 times higher than ICNIRP's recommended occupational reference levels. In the shortwave diathermy treatment rooms with Faraday cages, the fields were even higher than in treatment rooms not so equipped-principally the magnetic field, where the values were more than 100 times higher than the ICNIRP exposure limit.Conclusions. The electric and magnetic field intensities obtained in this study are generally above the exposure levels recommend in ICNIRP standards. It was also observed that the Faraday cage offers physical therapists no protection, and instead, increases their level of exposure.

Massive and massless spin-1 particles with gauge symmetry without Stueckelberg fields

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Real spectra for the non-Hermitian Dirac equation in 1+1 dimensions with the most general coupling

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Attitude propagation using non-singular canonical variables

Three sets of non-singular canonical variables for the rotational motion are analyzed. These sets are useful when the angle between z-axis of a coordinate system fixed in artificial satellite ( here defined by the directions of principal moments of inertia of the satellite) and the rotational angular momentum vector is zero or when the angle between Z-inertial axis and rotational angular momentum vector is zero. The goal of this paper is to compare all these sets and to determine the benefits of their uses. With this objective, the dynamical equations of each set were derived, when mean hamiltonian associate with the gravity gradient torque is included. For the torque-free rotational motion, analytical solutions are computed for symmetrical satellite for each set of variables. When the gravity gradient torque is included, an analytical solution is shown for one of the sets and a numerical solution is obtained for one of the other sets. By this analysis we can conclude that: the dynamical equation for the first set is simple but it has neither clear geometrical nor physical meaning; the other sets have geometrical and physical meaning but their dynamical equations are more complex.

Control charts for monitoring the mean vector and the covariance matrix of bivariate processes

In this article, we propose new control charts for monitoring the mean vector and the covariance matrix of bivariate processes. The traditional tools used for this purpose are the T (2) and the |S| charts. However, these charts have two drawbacks: (1) the T (2) and the |S| statistics are not easy to compute, and (2) after a signal, they do not distinguish the variable affected by the assignable cause. As an alternative to (1), we propose the MVMAX chart, which only requires the computation of sample means and sample variances. As an alternative to (2), we propose the joint use of two charts based on the non-central chi-square statistic (NCS statistic), named as the NCS charts. Once the NCS charts signal, the user can immediately identify the out-of-control variable. In general, the synthetic MVMAX chart is faster than the NCS charts and the joint T (2) and |S| charts in signaling processes disturbances.

Non-Zeeman splitting for a spin-resolved STM with a Kondo adatom in a spin-polarized two-dimensional electron gas

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Cell blocks allow reliable evaluation of expression of basal (CK5/6) and luminal (CK8/18) cytokeratins and smooth muscle actin (SMA) in breast carcinoma

Objective:Gene expression studies have revealed several molecular subtypes of breast carcinoma with distinct clinical and biological behaviours. DNA microarray studies correlated with immunohistochemical profiling of breast carcinomas using cytokeratin (CK) markers, Her2/neu, oestrogen receptor (ER), and basal myoepithelial cell markers have identified five breast tumour subtypes: (i) luminal A (ER+; Her2/neu-), (ii) luminal B (ER+; Her2/neu+), (iii) Her2 overexpression (ER-; Her2/neu+), (iv) basal-like (ER-; Her2/neu-, CK5/6 and 14+), and (v) negative for all markers. Luminal carcinomas express cytokeratins in a luminal pattern (CK8/18), and the basal-like type expresses CK5/6 and CK14 or basal epithelial cell markers. CK5/6, CK8/18, and smooth muscle actin (SMA) expression were assessed in cell blocks and compared with expression in surgical specimens.Methods:Sixty-two cases of breast carcinoma diagnosed by fine needle aspiration cytology with cell blocks and available surgical specimens were included. Cell blocks containing at least 10 high-power fields each with at least 10 tumour cells and surgical specimens were immunostained for CK5/6, CK8/18 and SMA.Results:Percentage sensitivity, specificity, positive predictive value, negative predictive value and accuracy were, respectively, 77, 100, 100, 92 and 94 for CK5/6; 98, 66, 96, 80 and 95 for CK8/18; and 92, 96, 85, 98 and 95 for SMA.Conclusion:The identification of CK5/6, CK8/18 and SMA by immunohistochemistry in cell blocks can be a reliable method that yields results close to those obtained in surgical specimens, and can contribute to the classification of breast carcinomas with luminal and basal expression patterns, providing helpful information in the choice of treatment and in the evaluation of prognostic and predictive factors.

Sugar digestion in mosquitoes: Identification and characterization of three midgut alpha-glucosidases of the neo-tropical malaria vector Anopheles aquasalis (Diptera : Culicidae)

Dietary carbohydrates provide an important source of energy for flight, and contribute to longevity and fecundity of mosquitoes. The most common sugar mosquitoes ingest is sucrose, and digestion of this substance is carried out mainly by alpha-glucosidases. In the current work, we tested the efficiency of sucrose on Anopheles aquasalis female diet. The best longevity (days) was reached when sugar was available in the diet, whereas most only blood fed females were dead 6 days after emergence. Three alpha-glucosidase isoforms were detected in the adult female midgut, named alpha Glu1, alpha Glu2 and alpha Glu3. These are acidic alpha-glucosidases with optima pH around pH 5.5. alpha Glu1 and alpha Glu2 are present in both secreted and membrane-bound forms, whereas alpha Glu3 only in anchored to membranes. The alpha-glucosidase activity is concentrated mainly in the posterior midgut (70%), both in non-fed or 10% sucrose fed females. The single form of these a-glucosidases seemed to be similar to 70 kDa polypeptides, although alpha Glu2 is presented in >= 600 kDa self-aggregates. K, values of alpha Glu1, alpha Glu2 and alpha Glu3 differed significantly from each other, supporting the statement that three alpha-glucosidases are produced in the female midgut. Together, all data suggest that sugar is an essential component of A. aquasalis female diet. In addition, alpha-glucosidases are synthesized in the same place where sucrose is digested and absorbed, the midgut. (c) 2007 Elsevier B.V. All rights reserved.

Modulation of smooth muscle cell function: Morphological evidence for a contractile to synthetic transition in the rat ventral prostate after castration

In this study, we evaluated the involvement of rat ventral prostate smooth muscle cells (SMC) in secretory activity and whether this function is modulated after castration. Cell morphology was examined at both light and electron microscopy levels and the organelles involved in secretory function were labeled by the zinc-iodide-osmium (ZIO) method at the ultrastructural level and their volume density was determined by stereology. Castration resulted in marked changes of the SMC, which adopted a spinous aspect and abandoned the layered arrangement observed in the prostates of non-castrated rats. The volume density of ZIO reactive organelles increased progressively after castration, reaching significantly higher levels 21 days after castration, Since previous studies have demonstrated that SMC express SMC markers (even 21 days after castration) and are able to respond to adrenergic stimulation, we concluded that differentiated SMC are able to shift from a predominantly contractile to a more synthetic phenotype without changing their differentiation status. (c) 2005 International Federation for Cell Biology. Published by Elsevier Ltd. All rights reserved.

The equivalence principle revisited

A precise fomulation of the strong Equivalence Principle is essential to the understanding of the relationship between gravitation and quantum mechanics. The relevant aspects are reviewed in a context including General Relativity but allowing for the presence of torsion. For the sake of brevity, a concise statement is proposed for the Principle: An ideal observer immersed in a gravitational field can choose a reference frame in which gravitation goes unnoticed. This statement is given a clear mathematical meaning through an accurate discussion of its terms. It holds for ideal observers (time-like smooth non-intersecting curves), but not for real, spatially extended observers. Analogous results hold for gauge fields. The difference between gravitation and the other fundamental interactions comes from their distinct roles in the equation of force.

Teleparallel equivalent of non-Abelian Kaluza-Klein theory

Based on the equivalence between a gauge theory for the translation group and general relativity, a teleparallel version of the non-Abelian Kaluza-Klein theory is constructed. In this theory, only the fiber-space turns out to be higher dimensional, spacetime being kept always four dimensional. The resulting model is a gauge theory that unifies, in the Kaluza-Klein sense, gravitational and gauge fields. In contrast with the ordinary Kaluza-Klein models, this theory defines a natural length scale for the compact submanifold of the fiber space, which is shown to be of the order of the Planck length.

Gauge invariance, color-octet vector resonances and double technieta production at the Tevatron

We show that the usual vector meson dominance method does not apply directly to the mixing of a color-octet vector boson (color-octet technirho) with the gluon because of gauge invariance. We propose a gauge invariant method where one works in a physical basis with mass eigenstate fields, As a result, we show that the physical technirho does not couple to two gluons, contrary to the general belief, Consequences for the production of a pair of color-octet, isosinglet technipions (technietas) at Fermilab is analyzed by means of a simulation of the signal and background, including kinematical cuts. We find that the signal is too small to be observed. (C) 2001 Published by Elsevier B.V. B.V.