Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems

This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator to be asymptotic ally equivalent to an optimal G LS IV estimator. Then we specialize to stationary dynamic systems with stationary VAR errors, and use the sufficient conditions to derive new moment conditions for these models. These moment conditions produce useful IVs from the lagged endogenous variables, despite the correlation between errors and endogenous variables. This use of the information contained in the lagged endogenous variables expands the class of IV estimators under consideration and there by potentially improves both asymptotic and small-sample efficiency of the optimal IV estimator in the class. Some Monte Carlo experiments compare the new methods with those of Hatanaka [1976]. For the DG P used in the Monte Carlo experiments, asymptotic efficiency is strictly improved by the new IVs, and experimental small-sample efficiency is improved as well.

Estimation of DSGE Models: A Monte Carlo Analysis

Neste trabalho investigamos as propriedades em pequena amostra e a robustez das estimativas dos parâmetros de modelos DSGE. Tomamos o modelo de Smets and Wouters (2007) como base e avaliamos a performance de dois procedimentos de estimação: Método dos Momentos Simulados (MMS) e Máxima Verossimilhança (MV). Examinamos a distribuição empírica das estimativas dos parâmetros e sua implicação para as análises de impulso-resposta e decomposição de variância nos casos de especificação correta e má especificação. Nossos resultados apontam para um desempenho ruim de MMS e alguns padrões de viés nas análises de impulso-resposta e decomposição de variância com estimativas de MV nos casos de má especificação considerados.

Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market

Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.

Aggregate vs disaggregate data analysis: a paradox in the estimation of money demand function of Japan under the low interest rate policy

We investigate the issue of whether there was a stable money demand function for Japan in 1990's using both aggregate and disaggregate time series data. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of liquidity trapo Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We also conduct simulation analysis to show that when heterogeneity among micro units is present. The prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations. Moreover. policy evaluation based on aggregate data can be grossly misleading.

Pose estimation of a humanoid robot using images from a mobile external camera

NOGUEIRA, Marcelo B. ; MEDEIROS, Adelardo A. D. ; ALSINA, Pablo J. Pose Estimation of a Humanoid Robot Using Images from an Mobile Extern Camera. In: IFAC WORKSHOP ON MULTIVEHICLE SYSTEMS, 2006, Salvador, BA. Anais... Salvador: MVS 2006, 2006.

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estimation of fecal production, digesta flow and digestibility in dairy heifers with different indicator

Objetivou-se com este trabalho avaliar a produção fecal por meio do indicador interno, fibra em detergente neutro indigestível (FDNi), e externos, cromo complexado com ácido etilenodiaminotetracético (Cr-EDTA ) e o cloreto de itérbio (YbCl3), além de estimar o fluxo duodenal da matéria seca e os coeficientes de digestibilidades aparentes total, ruminal e pós-ruminal, de diferentes nutrientes. Foram utilizadas oito novilhas mestiças Holandês/Zebu, distribuídas em duplo quadrado latino 4 x 4. Os indicadores Cr-EDTA, YbCl3 e o FDNi não estimaram produção fecal de forma eficiente (p < 0,05), obtendo resultado de 1,64; 1,71 e 2,71 kg dia-1, respectivamente, quando comparado à coleta total de fezes, que obteve resultado de 1,39 kg dia-1. Os valores estimados de fluxo de matéria seca, tanto para a metodologia de único, quanto para de duplo indicador, podem ser considerados biologicamente aceitáveis. Contudo, o valor obtido pela associação Cr-EDTA/YbCl3, utilizada na forma de duplo indicador, foi o mais confiável, pela melhor recuperação dos indicadores externos (Cr-EDTA e YbCl3), que obtiveram médias de 89 e 85%, respectivamente, em comparação ao interno (FDNi), que obteve média 67%. Os coeficientes de digestibilidade ruminal e pós ruminal, estimados pela associação Cr-EDTA/YbCl3, foram considerados melhores, em consequência do valor de fluxo de matéria seca estimado por esta associação.

Estimation of genetic parameters for body weights, scrotal circumference, and testicular volume measured at different ages in Nellore cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Bayesian inference in genetic parameter estimation of visual scores in Nellore beef-cattle

The aim of this study was to estimate the components of variance and genetic parameters for the visual scores which constitute the Morphological Evaluation System (MES), such as body structure (S), precocity (P) and musculature (M) in Nellore beef-cattle at the weaning and yearling stages, by using threshold Bayesian models. The information used for this was gleaned from visual scores of 5,407 animals evaluated at the weaning and 2,649 at the yearling stages. The genetic parameters for visual score traits were estimated through two-trait analysis, using the threshold animal model, with Bayesian statistics methodology and MTGSAM (Multiple Trait Gibbs Sampler for Animal Models) threshold software. Heritability estimates for S, P and M were 0.68, 0.65 and 0.62 (at weaning) and 0.44, 0.38 and 0.32 (at the yearling stage), respectively. Heritability estimates for S, P and M were found to be high, and so it is expected that these traits should respond favorably to direct selection. The visual scores evaluated at the weaning and yearling stages might be used in the composition of new selection indexes, as they presented sufficient genetic variability to promote genetic progress in such morphological traits.

Use of direct and iterative solvers for estimation of SNP effects in genome-wide selection

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Influence of data structure on the estimation of the additive genetic direct and maternal covariance for early growth traits in Nellore cattle

The objective of the present study was to investigate the effect of data structure on estimated genetic parameters and predicted breeding values of direct and maternal genetic effects for weaning weight (WW) and weight gain from birth to weaning (BWG), including or not the genetic covariance between direct and maternal effects. Records of 97,490 Nellore animals born between 1993 and 2006, from the Jacarezinho cattle raising farm, were used. Two different data sets were analyzed: DI_all, which included all available progenies of dams without their own performance; DII_all, which included DI_all + 20% of recorded progenies with maternal phenotypes. Two subsets were obtained from each data set (DI_all and DII_all): DI_1 and DII_1, which included only dams with three or fewer progenies; DI_5 and DII_5, which included only dams with five or more progenies. (Co)variance components and heritabilities were estimated by Bayesian inference through Gibbs sampling using univariate animal models. In general, for the population and traits studied, the proportion of dams with known phenotypic information and the number of progenies per dam influenced direct and maternal heritabilities, as well as the contribution of maternal permanent environmental variance to phenotypic variance. Only small differences were observed in the genetic and environmental parameters when the genetic covariance between direct and maternal effects was set to zero in the data sets studied. Thus, the inclusion or not of the genetic covariance between direct and maternal effects had little effect on the ranking of animals according to their breeding values for WW and BWG. Accurate estimation of genetic correlations between direct and maternal genetic effects depends on the data structure. Thus, this covariance should be set to zero in Nellore data sets in which the proportion of dams with phenotypic information is low, the number of progenies per dam is small, and pedigree relationships are poorly known. (c) 2012 Elsevier B.V. All rights reserved.

Estimation of genetic parameters for milk yield in Murrah buffaloes by Bayesian inference

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estimation of Maximal Work Rate Based on the 6-Minute Walk Test and Fat-Free Mass in Chronic Obstructive Pulmonary Disease

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

Tungsten permanent chemical modifier for fast estimation of Se contents in soil by graphite furnace atomic absorption spectrometry

A tungsten carbide coating on the integrated platform of a transversely heated graphite atomizer was used as a modifier for the direct determination of Se in soil extracts by graphite furnace atomic absorption spectrometry. Diethylenetriaminepentaacetic acid (0.0050 mol L-1) plus ammonium hydrogencarbonate (1.0 mol L-1) extracted predominantly available inorganic selenate from soil. The formation of a large amount of carbonaceous residue inside the atomizer was avoided with a first pyrolysis step at 600 degreesC assisted by air during 30 s. For 20 muL of soil extracts delivered to the atomizer and calibration by matrix matching, an analytical curve (10.0-100 mug of L-1) with good linear correlation (r = 0.999) between integrated absorbance and analyte concentration was established. The characteristic mass was similar to63 pg of Se, and the lifetime of the tube was similar to750 firings. The limit of detection was 1.6 mug L-1, and the relative standard deviations (n = 12) were typically <4% for a soil extract containing 50 mug of L-1. The accuracy of the determination of Se was checked for soil samples by means of addition/recovery tests. Recovery data of Se added to four enriched soil samples varied from 80 to 90% and indicated an accurate method.

Neural network based estimation of torque in induction motors for real-time applications

Induction motors are largely used in several industry sectors. The selection of an induction motor has still been inaccurate because in most of the cases the load behavior in its shaft is completely unknown. The proposal of this article is to use artificial neural networks for torque estimation with the purpose of best selecting the induction motors rather than conventional methods, which use classical identification techniques and mechanical load modeling. Since proposed approach estimates the torque behavior from the transient to the steady state, one of its main contributions is the potential to also be implemented in control schemes for real-time applications. Simulation results are also presented to validate the proposed approach.