Wald tests for IV regression with weak instruments

This dissertation deals with the problem of making inference when there is weak identification in models of instrumental variables regression. More specifically we are interested in one-sided hypothesis testing for the coefficient of the endogenous variable when the instruments are weak. The focus is on the conditional tests based on likelihood ratio, score and Wald statistics. Theoretical and numerical work shows that the conditional t-test based on the two-stage least square (2SLS) estimator performs well even when instruments are weakly correlated with the endogenous variable. The conditional approach correct uniformly its size and when the population F-statistic is as small as two, its power is near the power envelopes for similar and non-similar tests. This finding is surprising considering the bad performance of the two-sided conditional t-tests found in Andrews, Moreira and Stock (2007). Given this counter intuitive result, we propose novel two-sided t-tests which are approximately unbiased and can perform as well as the conditional likelihood ratio (CLR) test of Moreira (2003).

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.

A conditional likelihood ratio test for structural models

This paper develops a general method for constructing similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reducedform covariance matrix. The test based on the likelihood ratio statistic is particularly simple and has good power properties. When identification is strong, the power curve of this conditional likelihood ratio test is essentially equal to the power envelope for similar tests. Monte Carlo simulations also suggest that this test dominates the Anderson- Rubin test and the score test. Dropping the restrictive assumption of disturbances normally distributed with known covariance matrix, approximate conditional tests are found that behave well in small samples even when identification is weak.

Consumption-wealth ratio and expected stock returns: evidence from panel data

This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Modelagem matemática para o transporte de partículas sujeitas a múltiplos mecanismos de retenção

Discrepancies between classical model predictions and experimental data for deep bed filtration have been reported by various authors. In order to understand these discrepancies, an analytic continuum model for deep bed filtration is proposed. In this model, a filter coefficient is attributed to each distinct retention mechanism (straining, diffusion, gravity interception, etc.). It was shown that these coefficients generally cannot be merged into an effective filter coefficient, as considered in the classical model. Furthermore, the derived analytic solutions for the proposed model were applied for fitting experimental data, and a very good agreement between experimental data and proposed model predictions were obtained. Comparison of the obtained results with empirical correlations allowed identifying the dominant retention mechanisms. In addition, it was shown that the larger the ratio of particle to pore sizes, the more intensive the straining mechanism and the larger the discrepancies between experimental data and classical model predictions. The classical model and proposed model were compared via statistical analysis. The obtained p values allow concluding that the proposed model should be preferred especially when straining plays an important role. In addition, deep bed filtration with finite retention capacity was studied. This work also involves the study of filtration of particles through porous media with a finite capacity of filtration. It was observed, in this case, that is necessary to consider changes in the boundary conditions through time evolution. It was obtained a solution for such a model using different functions of filtration coefficients. Besides that, it was shown how to build a solution for any filtration coefficient. It was seen that, even considering the same filtration coefficient, the classic model and the one here propposed, show different predictions for the concentration of particles retained in the porous media and for the suspended particles at the exit of the media

Biologia reprodutiva da |Tainha, Mugil curema valencientes, 1836 (osteichthyes: mugilidade) nas águas costeiras do Rio Grande do Norte

The marine fish white mullet, Mugil curema Valenciennes, 1836 (Osteichthyes: Mugilidae) exhibits a wide geographical distribution, being common in the Brazilian coast and is an important component of the artisanal fisheries. The objective of this study was to investigate the reproductive biology of M. curema in the coastal waters of Rio Grande do Norte. Fish samples were captured on a monthly basis during August, 2008 to July, 2009. The fish specimens were numbered, weighed, measured, dissected and their gonads were removed, weighed, their sex and gonadal development were identified. The length-weight relationship was determined for males and females. The sex ratio, the size at first gonadal maturation and gonadosomatic index (GSI) were calculated and ovarian development was investigated using macroscopic and histological techniques. The fecundity, spawning type and the reproductive period of the species were determined. A total of 366 specimens (186 males and 180 females) were captured. The sex ratio was 1:1 and the females were heavier than males. The estimated values of the angular coefficient for both sexes suggest that the species has isometric growth. The size at which 50% of the population began the process of maturation was 25.9 cm of total length for grouped sex. The macroscopic characteristics of the ovaries showed four stages of development: immature, maturing, mature and spent. However, the microscopic characteristics of the ovaries showed five stages of development: immature, early maturing, late maturing, mature and spent. The development of oocytes indicated five phases: Chromatin-nucleolus (phase I), initial perinucleolar (phase II), final perinuclear (phase II), formation of vitelline vesicle or yolk (phase III), vitellogenic (phase IV) and complete vitellogenesis (phase V). The species has a prolonged spawning period, with two peaks coinciding with the rainy season.

Aspectos biológicos do peixe-olhudo-dentinho, Synagrops bellus (Actinopterygii: Acropomatidae), da plataforma externa e talude superior do estado de São Paulo, Brasil.

Biological aspects of the blackmouth bass Synagrops bellus from the outer shelf and upper slope along the coast of São Paulo, southeastern Brazil, are presented. The species represented about 71.6% and 9.7% in number of the total catch performed by balloom trawl in the isobaths of 300m and 500m respectively. Body sizes of 266 individuals ranged between 130 and 265mm total length, with sex ratio of 55.9% males, and 44.1% females, where most individuals were in maturation stage. Twenty two food items were found, pointing out Myctophidae fishes, Penaeidea and Caridea shrimps, Brachyuran megalopae, Enoploteuthidae and Cranchiidae cephalopods, pteropods and tunicates. The intestinal coefficient increases as the body size increase, and the number of gill rakers ranged between 16 and 17. Length-weight relationship was WT = 6.0 x 10-6 x TL3.12, r2 = 0.9495. Synagrops bellus is an important link between zooplankton and micronekton, and demersal and pelagic predators in the outer shelf and upper slope in southwestern Brazilian coast.

Digestibility and performance of pacu (Piaractus mesopotamicus) juveniles - fed diets containing different protein, lipid and carbohydrate levels

Due to lack of information on the use of non-protein energy sources in diets for pacu (Piaractus mesopotamicus), a 2 x 2 x 3 factorial experiment was conducted to evaluate the performance and digestibility of 12 diets containing approximately two crude protein (CP; 220 and 250 g kg(-1)), two lipid (40 and 80 g kg(-1)) and three carbohydrate levels (410, 460 and 500 g kg(-1)). The pacu juveniles-fed diets containing 220 g kg(-1) CP did not respond (P > 0.05) to increased dietary lipid and carbohydrate levels, but the fish-fed diets containing 250 g kg(-1) CP showed a better feed conversion ratio. There were interactions in weight gain (WG), specific growth rate (SGR), crude protein intake (CPI) and feed conversion rate (FCR) dependent on dietary carbohydrate and lipid levels, showing positive effects of increasing carbohydrate levels only for fish-fed diets containing 80 g kg(-1) lipid level. However, when the diets contained 40 g kg(-1) lipid, the best energy productive value (EPV) results were obtained at 460 g kg(-1) carbohydrate. A higher usage of lipids (80 g kg(-1)) reduced CPI and was detrimental to protein [apparent digestibility coefficient (ADC)(CP)] and energy (ADC(GE)), but did not affect growth. The ADC(GE) improved proportionally as dietary carbohydrate levels increased (P < 0.05), increasing the concentration of digestible energy. In addition, the WG, CPI, ADC(GE) results showed best use of the energy from carbohydrates when dietary protein level was 250 g kg(-1) CP. The utilization of 250 g kg(-1) CP in feeds for juvenile pacu for optimal growth is suggested. Therefore, the optimum dietary lipid and carbohydrate levels depend on their combinations. It can be stated that pacu uses carbohydrates as effectively as lipids in the maximization of protein usage, as long as it is not lower than 250 g kg(-1) CP or approximately 230 g kg(-1) digestible protein.

Artificial fertilization of oocytes and sperm activation in pacu: effects of the spermatozoa:oocyte ratio, water volume, and in natura semen preservation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Effects of the spermatozoa: oocyte ratio, water volume and water temperature on artificial fertilization and sperm activation of cascudo-preto

The objective of this study was to evaluate the effects of water volume and water temperature on the sperm motility duration and the number of spermatozoa, and the water volume on the fertilization rates of oocytes of Rhinelepis aspera. Experiments were carried out to evaluate the effect of semen dilutions (1.74×10-5, 1.74×10-4, 1.74×10-3, 1.74×10-2, 1.74×10-1 and 1.00 mL of sperm.mL-1 of water) and water temperature (5, 10, 15, 20, 25, 30, 35, 40, 45, and 50 ºC) on spermatozoa motility duration. In addition, the effects of insemination dose (7×10³, 7×10(4), 7×10(5), 7×10(6) and 7×10(7) spermatozoa.oocyte-1) and water volume (1.0, 30.0, 60.0, 90.0 and 120.0 mL water.2.0 mL-1 oocytes) on the artificial fertilization rates of oocytes were evaluated. The longest sperm motility duration were observed for the semen dilution of 1.74×10-5 mL semen.mL-1 water and in water at 5 ºC. The highest fertilization rates were obtained for insemination doses between 7.00×10³ and 1.23×10(7) spermatozoa. oocyte-1 and water volume of 28.11 mL water.2.0 mL-1 oocytes.

Respostas fisiológicas de diferentes clones de eucalipto sob diferentes regimes de irrigação

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

Fuzzy modeling to predict chicken egg hatchability in commercial hatchery

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