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.

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 as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

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 as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

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 suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the forecasting accuracy of models selected by this procedure. Two empirical applications confirm the usefulness of the model selection procedure proposed here for forecasting.

Natural Host Relationships and Genetic Diversity of Rodent-Associated Hantaviruses in Southeastern Brazil

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

Estimates of correction factors for lactation length and genetic parameters for milk yield in buffaloes

Estimaram-se fatores de correção para produção de leite aos 90, 240, 270 e 305 dias de lactação e parâmetros genéticos e de ambiente da produção de leite ajustada para esses períodos de lactação, utilizando-se 3888 lactações de 1630 búfalas, controladas entre 1987 e 2001, em 10 rebanhos do Estado de São Paulo. Os parâmetros genéticos foram estimados por meio do método da máxima verossimilhança restrita, livre de derivadas, aplicado a um modelo animal com medidas repetidas. As estimativas de herdabilidade para produção de leite corrigida para 90, 240, 270 e 305 dias de lactação foram 0,17; 0,15; 0,14 e 0,14, respectivamente. Nessa mesma ordem de apresentação, as estimativas de repetibilidade foram 0,40; 0,44; 0,41 e 0,41. As estimativas de correlação genética entre essas produções de leite corrigidas variaram de 0,96 a 1,00. Os fatores de correção multiplicativos para as diferentes classes de duração da lactação foram eficientes para ajustar a produção de leite aos 90, 240, 270 e 305 dias de lactação.

Gas exchange rates, plant height, yield components, and productivity of upland rice as affected by plant regulators

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

Water-soluble nutrients in aerial plant parts of peanut and white oat as affected by lime and gypsum application

A calagem e a gessagem influenciam a disponibilidade e a absorção de nutrientes, podendo alterar a quantidade de ácidos orgânicos na parte aérea das culturas. Essas alterações, quantificadas por meio da análise de nutrientes solúveis em água, podem potencializar o efeito da correção do solo, garantindo a sustentabilidade do sistema de semeadura direta. Nesse sentido, objetivou-se avaliar o efeito da aplicação superficial de calcário e gesso no teor de nutientes solúveis em água nos resíduos vegetais das culturas de amendoim e aveia-branca. O experimento foi realizado em Latossolo Vermelho distroférrico em Botucatu (SP), nos anos agrícolas de 2004/2005 e 2005/2006. O delineamento experimental foi em blocos casualizados em esquema de parcelas subdivididas, com quatro repetições, em que as parcelas foram constituídas por doses de calcário, e as subparcelas, pela presença ou ausência da aplicação de gesso. Foi cultivado amendoim no verão e aveia-branca no inverno, em toda a área experimental. Na cultura do amendoim a aplicação de gesso elevou os teores de Ca solúvel em água apenas na primeira safra, em razão do curto período entre a aplicação do produto e a determinação dos teores de nutientes solúveis no extrato vegetal da cultura. A calagem realizada nas culturas de amendoim e aveia-branca elevou os teores solúveis de Ca, Mg, K e não alterou o teor de Cu e reduziu os teores de Zn, Mn e Fe nos dois anos de cultivo. Já a gessagem reduziu os valores da condutividade elétrica do amendoim (2004/2005 e 2005/2006) e da aveia-branca (2004/2005).

Allocation of protective devices in distribution circuits using nonlinear programming models and genetic algorithms

The optimized allocation of protective devices in strategic points of the circuit improves the quality of the energy supply and the system reliability index. This paper presents a nonlinear integer programming (NLIP) model with binary variables, to deal with the problem of protective device allocation in the main feeder and all branches of an overhead distribution circuit, to improve the reliability index and to provide customers with service of high quality and reliability. The constraints considered in the problem take into account technical and economical limitations, such as coordination problems of serial protective devices, available equipment, the importance of the feeder and the circuit topology. The use of genetic algorithms (GAs) is proposed to solve this problem, using a binary representation that does (1) or does not (0) show allocation of protective devices (reclosers, sectionalizers and fuses) in predefined points of the circuit. Results are presented for a real circuit (134 busses), with the possibility of protective device allocation in 29 points. Also the ability of the algorithm in finding good solutions while improving significantly the indicators of reliability is shown. (C) 2003 Elsevier B.V. All rights reserved.

Reproductive characteristics of stallions during the breeding and non-breeding season in a tropical region

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

Extensive antigenic and genetic variation among foot-and-mouth disease type A viruses isolated from the 1994 and 1995 foci in São Paulo, Brazil

Nine foot-and-mouth disease virus (FMDV) type A isolates recovered from the field FMD foci in São Paulo State, Brazil, during 1994 and 1995 (a period preceding the last reported focus of FMD in 1996 in this state) were compared among themselves and with the reference vaccine strain A(24)Cruzeiro. The techniques used were sandwich ELISA, virus neutralization (VN), polyacrylamide gel electrophoresis (PAGE) of the structural polypeptides and direct sequencing of the VP1-coding region (1D gene). Results of VN were recorded as serological relationships R and those from ELISA were expressed as percentage of the homologous reaction r. ELISA and VN gave comparable results (correlation coefficient, 0.936) allowing assignment of these field viruses to four groups which were distinct from the A(24)Cruzeiro strain. PAGE and ID nucleotide sequencing were also able to distinguish between these viruses. The high level:of genetic and antigenic variation found when comparing the A(24)Cruzeiro vaccine strain and type A strains recovered, from the last identified foci of FMD came from a formerly endemic area where vaccination with polyvalent vaccines (O(1)Campos, A(24)Cruzciro and C(3)Indaial) had been extensively applied. The similarity between the results of the serological and genetic analyses suggest that the antigenic differences found are mainly located in the 1D protein. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Detection of hybrids and genetic introgression in wild stocks of two catfish species (Siluriformes: Pimelodidae): The impact of hatcheries in Brazil

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

Phylogeography and genetic population structure of Caribbean sharpnose shark Rhizoprionodon porosus

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

Interspecific variation in the defensive responses of obligate plant-ants: experimental tests and consequences for herbivory

The aggressive behavior of ants that protect plants from herbivores in exchange for rewards such as shelter or food is thought to be an important form of biotic defense against herbivory, particularly in tropical systems. To date, however, no one has compared the defensive responses of different ant taxa associated with the same plant species, and attempted to relate these differences to longer-term efficacy of ant defense. We used experimental cues associated with herbivory-physical damage and extracts of chemical volatiles from leaf tissue-to compare the aggressive responses of two ant species obligately associated with the Amazonian myrmecophyte Tococa bullifera (Melastomataceae). We also conducted a colony removal experiment to quantify the level of resistance from herbivores provided to plants by each ant species. Our experiments demonstrate that some cues eliciting a strong response from one ant species elicited no response by the other. For cues that do elicit responses, the magnitude of these responses can vary interspecifically. These patterns were consistent with the level of resistance provided from herbivores to plants. The colony removal experiment showed that both ant species defend plants from herbivores: however, herbivory was higher on plants colonized by the less aggressive ant species. Our results add to the growing body of literature indicating defensive ant responses are stimulated by cues associated with herbivory. However, they also suggest the local and regional variation in the composition of potential partner taxa could influence the ecology and evolution of defensive mutualisms in ways that have previously remained unexplored.

Antioxidant Properties of Plant Extracts: an EPR and DFT Comparative Study of the Reaction with DPPH, TEMPOL and Spin Trap DMPO

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