Birnbaum-Saunders nonlinear regression models

We introduce, for the first time, a new class of Birnbaum-Saunders nonlinear regression models potentially useful in lifetime data analysis. The class generalizes the regression model described by Rieck and Nedelman [Rieck, J.R., Nedelman, J.R., 1991. A log-linear model for the Birnbaum-Saunders distribution. Technometrics 33, 51-60]. We discuss maximum-likelihood estimation for the parameters of the model, and derive closed-form expressions for the second-order biases of these estimates. Our formulae are easily computed as ordinary linear regressions and are then used to define bias corrected maximum-likelihood estimates. Some simulation results show that the bias correction scheme yields nearly unbiased estimates without increasing the mean squared errors. Two empirical applications are analysed and discussed. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.

Bias correction in a multivariate normal regression model with general parameterization

This paper derives the second-order biases Of maximum likelihood estimates from a multivariate normal model where the mean vector and the covariance matrix have parameters in common. We show that the second order bias can always be obtained by means of ordinary weighted least-squares regressions. We conduct simulation studies which indicate that the bias correction scheme yields nearly unbiased estimators. (C) 2009 Elsevier B.V. All rights reserved.

The mitochondrial view of Blastocladiella emersonii

The mitochondrial genome of the chytrid Blastocladiella emersonii was sequenced and annotated, revealing the complete set of oxidative phosphorylation genes and tRNAs/rRNAs necessary for the translation process. Phylogenetic reconstructions reinforce the proposal of the new phylum Blastocladiomycota. Evidences of gene duplication due to inserted elements suggest shared susceptibility to gene invasion/exchange between chytrids and zygomycetes. The gene content of B. emersonii is very similar to Allomyces macrogynus but the content of intronic and changeable elements is much lower suggesting a stronger resistance to this kind of exchange. in addition, a total of 401 potential nuclear transcripts encoding mitochondrial proteins were obtained after B. emersonii EST database scanning using Saccharomyces cerevisiae, Homo sapiens and Arabidopsis thaliana data as probes and TargetP tool to find N-terminal mitochondrial signal in translated sequences. (c) 2008 Elsevier B.V. All rights reserved.

Modified Fixed Effects Estimation of Technical Inefficiency

We consider method of moment fixed effects (FE) estimation of technical inefficiency. When N, the number of cross sectional observations, is large it ispossible to obtain consistent central moments of the population distribution of the inefficiencies. It is well-known that the traditional FE estimator may be seriously upward biased when N is large and T, the number of time observations, is small. Based on the second central moment and a single parameter distributional assumption on the inefficiencies, we obtain unbiased technical inefficiencies in large N settings. The proposed methodology bridges traditional FE and maximum likelihood estimation – bias is reduced without the random effects assumption.

Utilizing Remote Sensing Imagery to Monitor Vegetation Change within World Heritage Sites

ABSTRACT World Heritage sites provide a glimpse into the stories and civilizations of the past. There are currently 1007 unique World Heritage properties with 779 being classified as cultural sites, 197 as natural sites, and 31 falling into the categories of both cultural and natural sites (UNESCO & World Heritage Centre, 1992-2015). However, of these 1007 World Heritage sites, at least 46 are categorized as in danger and this number continues to grow. These unique and irreplaceable sites are exceptional because of their universality. Consequently, since World Heritage sites belong to all the people of the world and provide inspiration and admiration to all who visit them, it is our responsibility to help preserve these sites. The key form of preservation involves the individual monitoring of each site over time. While traditional methods are still extremely valuable, more recent advances in the field of geographic and spatial technologies including geographic information systems (GIS), laser scanning, and remote sensing, are becoming more beneficial for the monitoring and overall safeguarding of World Heritage sites. Through the employment and analysis of more accurately detailed spatial data, World Heritage sites can be better managed. There is a strong urgency to protect these sites. The purpose of this thesis is to describe the importance of taking care of World Heritage sites and to depict a way in which spatial technologies can be used to monitor and in effect preserve World Heritage sites through the utilization of remote sensing imagery. The research conducted in this thesis centers on the Everglades National Park, a World Heritage site that is continually affected by changes in vegetation. Data used include Landsat satellite imagery that dates from 2001-2003, the Everglades' boundaries shapefile, and Google Earth imagery. In order to conduct the in-depth analysis of vegetation change within the selected World Heritage site, three main techniques were performed to study changes found within the imagery. These techniques consist of conducting supervised classification for each image, incorporating a vegetation index known as Normalized Vegetation Index (NDVI), and utilizing the change detection tool available in the Environment for Visualizing Images (ENVI) software. With the research and analysis conducted throughout this thesis, it has been shown that within the three year time span (2001-2003), there has been an overall increase in both areas of barren soil (5.760%) and areas of vegetation (1.263%) with a decrease in the percentage of areas classified as sparsely vegetated (-6.987%). These results were gathered through the use of the maximum likelihood classification process available in the ENVI software. The results produced by the change detection tool which further analyzed vegetation change correlate with the results produced by the classification method. As well, by utilizing the NDVI method, one is able to locate changes by selecting a specific area and comparing the vegetation index generated for each date. It has been found that through the utilization of remote sensing technology, it is possible to monitor and observe changes featured within a World Heritage site. Remote sensing is an extraordinary tool that can and should be used by all site managers and organizations whose goal it is to preserve and protect World Heritage sites. Remote sensing can be used to not only observe changes over time, but it can also be used to pinpoint threats within a World Heritage site. World Heritage sites are irreplaceable sources of beauty, culture, and inspiration. It is our responsibility, as citizens of this world, to guard these treasures.

Evolução molecular Darwiniana nas proteínas relacionadas à patogênese (PRs) em plantas

Um total de 201 seqüências de DNA, de 50 espécies pertencentes a 32 gêneros e 12 famílias, foi investigado através do método da máxima verossimilhança para identificar, nas proteínas respectivas, possíveis códons nos quais estivesse ocorrendo seleção positiva. Foram considerados 15 tipos de proteínas relacionadas à patogênese (PR1-PR15), quanto a 14 modelos diferentes de seleção. Tanto quanto se possa avaliar, não há qualquer estudo disponível na literatura que tenha examinado de maneira homogênea tal número de seqüências de forma tão abrangente.

The ex-Ante non-optimality of the Dempster-Schafer updating rule for ambiguous beliefs

The most widely used updating rule for non-additive probalities is the Dempster-Schafer rule. Schmeidles and Gilboa have developed a model of decision making under uncertainty based on non-additive probabilities, and in their paper “Updating Ambiguos Beliefs” they justify the Dempster-Schafer rule based on a maximum likelihood procedure. This note shows in the context of Schmeidler-Gilboa preferences under uncertainty, that the Dempster-Schafer rule is in general not ex-ante optimal. This contrasts with Brown’s result that Bayes’ rule is ex-ante optimal for standard Savage preferences with additive probabilities.

Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno

Este trabalho examinou as características de carteiras compostas por ações e otimizadas segundo o critério de média-variância e formadas através de estimativas robustas de risco e retorno. A motivação para isto é a distribuição típica de ativos financeiros (que apresenta outliers e mais curtose que a distribuição normal). Para comparação entre as carteiras, foram consideradas suas propriedades: estabilidade, variabilidade e os índices de Sharpe obtidos pelas mesmas. O resultado geral mostra que estas carteiras obtidas através de estimativas robustas de risco e retorno apresentam melhoras em sua estabilidade e variabilidade, no entanto, esta melhora é insuficiente para diferenciar os índices de Sharpe alcançados pelas mesmas das carteiras obtidas através de método de máxima verossimilhança para estimativas de risco e retorno.

Obtenção e caracterização de células de membrana sinovial ovina transformadas pelo antígeno T do vírus símio 40: influência na variabilidade dos genes gag e env e do LTR dos vírus da artrite-encefalite caprina (CAEV) e maedi-visna (MVV) dos ovinos.

Cultivos celulares podem ser utilizados para isolamento viral, caracterização de novas amostras virais e produção de imunobiológicos. Podem ser empregados cultivos celulares primários, secundários ou de linha. Estes últimos podem ser obtidos pela transformação física, química ou biológica de cultivos primários ou secundários. Para verificar a interação entre células transformadas com o Ag T do vírus símio 40 (SV40) e os Lentivírus de Pequenos Ruminantes (SRLV), amostras brasileiras de SRLV foram utilizadas para inoculação em cultivos celulares de membrana sinovial ovina transformados pelo Ag T e comparadas à amostras inoculadas em cultivos não transformados. Inicialmente, as células transformadas pelo Ag T foram caracterizadas e observou-se um aumento na cinética de crescimento e alterações no cariótipo, provavelmente induzidas pela presença do Ag T. Este foi detectado por PCR no núcleo e no citoplasma das células transformadas e sua expressão, confirmada através de RT-PCR. A fim de avaliar a permissividade e a possível seleção de populações virais em células transformadas, dois isolados, um de maedi-visna dos ovinos e um de artrite-encefalite caprina, foram inoculados em células MSO e TMSOpSV1. Através da análise de sequências dos genes gag e env e LTR obtidos por PCR, procurou-se avaliar a variabilidade viral em função do tipo de célula utilizada. Analisando-se as seqüências obtidas pelo método de Maximum Likelihood, embora tenha sido observada variabilidade viral, esta não estava associada ao tipo celular utilizado para inoculação viral.

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.

Texturas de imagens utilizando conceitos de morfologia matemática

A textura é um atributo ainda pouco utilizado no reconhecimento automático de cenas naturais em sensoriamento remoto, já que ela advém da sensação visual causada pelas variações tonais existentes em uma determinada região da imagem, tornando difícil a sua quantificação. A morfologia matemática, através de operações como erosão, dilatação e abertura, permite decompor uma imagem em elementos fundamentais, as primitivas texturais. As primitivas texturais apresentam diversas dimensões, sendo possível associar um conjunto de primitivas com dimensões semelhantes, em uma determinada classe textural. O processo de classificação textural quantifica as primitivas texturais, extrai as distribuições das dimensões das mesmas e separa as diferentes distribuições por meio de um classificador de máxima-verossimilhança gaussiana. O resultado final é uma imagem temática na qual cada tema representa uma das texturas existentes na imagem original.

Three essays on local demand for public services

Local provision of public services has the positive effect of increasing the efficiency because each locality has its idiosyncrasies that determine a particular demand for public services. This dissertation addresses different aspects of the local demand for public goods and services and their relationship with political incentives. The text is divided in three essays. The first essay aims to test the existence of yardstick competition in education spending using panel data from Brazilian municipalities. The essay estimates two-regime spatial Durbin models with time and spatial fixed effects using maximum likelihood, where the regimes represent different electoral and educational accountability institutional settings. First, it is investigated whether the lame duck incumbents tend to engage in less strategic interaction as a result of the impossibility of reelection, which lowers the incentives for them to signal their type (good or bad) to the voters by mimicking their neighbors’ expenditures. Additionally, it is evaluated whether the lack of electorate support faced by the minority governments causes the incumbents to mimic the neighbors’ spending to a greater extent to increase their odds of reelection. Next, the essay estimates the effects of the institutional change introduced by the disclosure on April 2007 of the Basic Education Development Index (known as IDEB) and its goals on the strategic interaction at the municipality level. This institutional change potentially increased the incentives for incumbents to follow the national best practices in an attempt to signal their type to voters, thus reducing the importance of local information spillover. The same model is also tested using school inputs that are believed to improve students’ performance in place of education spending. The results show evidence for yardstick competition in education spending. Spatial auto-correlation is lower among the lame ducks and higher among the incumbents with minority support (a smaller vote margin). In addition, the institutional change introduced by the IDEB reduced the spatial interaction in education spending and input-setting, thus diminishing the importance of local information spillover. The second essay investigates the role played by the geographic distance between the poor and non-poor in the local demand for income redistribution. In particular, the study provides an empirical test of the geographically limited altruism model proposed in Pauly (1973), incorporating the possibility of participation costs associated with the provision of transfers (Van de Wale, 1998). First, the discussion is motivated by allowing for an “iceberg cost” of participation in the programs for the poor individuals in Pauly’s original model. Next, using data from the 2000 Brazilian Census and a panel of municipalities based on the National Household Sample Survey (PNAD) from 2001 to 2007, all the distance-related explanatory variables indicate that an increased proximity between poor and non-poor is associated with better targeting of the programs (demand for redistribution). For instance, a 1-hour increase in the time spent commuting by the poor reduces the targeting by 3.158 percentage points. This result is similar to that of Ashworth, Heyndels and Smolders (2002) but is definitely not due to the program leakages. To empirically disentangle participation costs and spatially restricted altruism effects, an additional test is conducted using unique panel data based on the 2004 and 2006 PNAD, which assess the number of benefits and the average benefit value received by beneficiaries. The estimates suggest that both cost and altruism play important roles in targeting determination in Brazil, and thus, in the determination of the demand for redistribution. Lastly, the results indicate that ‘size matters’; i.e., the budget for redistribution has a positive impact on targeting. The third essay aims to empirically test the validity of the median voter model for the Brazilian case. Information on municipalities are obtained from the Population Census and the Brazilian Supreme Electoral Court for the year 2000. First, the median voter demand for local public services is estimated. The bundles of services offered by reelection candidates are identified as the expenditures realized during incumbents’ first term in office. The assumption of perfect information of candidates concerning the median demand is relaxed and a weaker hypothesis, of rational expectation, is imposed. Thus, incumbents make mistakes about the median demand that are referred to as misperception errors. Thus, at a given point in time, incumbents can provide a bundle (given by the amount of expenditures per capita) that differs from median voter’s demand for public services by a multiplicative error term, which is included in the residuals of the demand equation. Next, it is estimated the impact of the module of this misperception error on the electoral performance of incumbents using a selection models. The result suggests that the median voter model is valid for the case of Brazilian municipalities.

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.

A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

Time-dependent or state-dependent pricing? : evidence from a large currency devaluation episode

Duas classes de modelos buscam explicar o padrão de ajustamento de preço das firmas: modelos tempo-dependente e estado-dependente. O objetivo deste trabalho é levantar algumas evidencias empíricas de modo a distinguir os modelos, ou seja, identificar de que maneira as firmas realmente precificam. Para isso, escolheu-se a grande desvalorização cambial de 1999 como principal ferramenta e ambiente de análise. A hipótese fundamental é que o choque cambial impacta significativamente o custo de algumas indústrias, em alguns casos induzindo-as a alterarem seus preço após o choque. A partir de uma imensa base de micro dados formada por preços que compõem o CPI, algumas estimações importantes como a probabilidade e a magnitude média das trocas foram levantadas. A magnitude é dada por uma média simples, enquanto a probabilidade é estimada pelo método da máxima verossimilhança. Os resultados indicam um comportamento de precificação similar ao proposto por modelos estado-dependente.