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.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is often over-looked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. This amounts to investigate whether short-run co-movememts steming from common cyclical feature restrictions are also present in such a system. In this paper we test for the presence of such co-movement on long- and short-term interest rates and on price and dividend for the U.S. economy. We focuss on the potential improvement in forecasting accuracies when imposing those two types of restrictions coming from economic theory.

Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Microfounded forecasting

Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number of respondents. We show that, under standard microeconomic and econometric techniques, survey forecasts are an affine function of the conditional expectation of the target variable. This is true whether or not the survey respondent knows the data-generating process (DGP) of the target variable or the econometrician knows the respondents individual loss function. If the econometrician has a mean-squared-error risk function, we show that asymptotically efficient forecasts of the target variable can be built using Hansens (Econometrica, 1982) generalized method of moments in a panel-data context, when N and T diverge or when T diverges with N xed. Sequential asymptotic results are obtained using Phillips and Moon s (Econometrica, 1999) framework. Possible extensions are also discussed.

Organizational modeling with a semantic wiki: formalization of content and automatic diagram generation

A key to maintain Enterprises competitiveness is the ability to describe, standardize, and adapt the way it reacts to certain types of business events, and how it interacts with suppliers, partners, competitors, and customers. In this context the field of organization modeling has emerged with the aim to create models that help to create a state of self-awareness in the organization. This project's context is the use of Semantic Web in the Organizational modeling area. The Semantic Web technology advantages can be used to improve the way of modeling organizations. This was accomplished using a Semantic wiki to model organizations. Our research and implementation had two main purposes: formalization of textual content in semantic wiki pages; and automatic generation of diagrams from organization data stored in the semantic wiki pages.

DEMO models based automatic workflow process generation

Nowadays, more than half of the computer development projects fail to meet the final users' expectations. One of the main causes is insufficient knowledge about the organization of the enterprise to be supported by the respective information system. The DEMO methodology (Design and Engineering Methodology for Organizations) has been proved as a well-defined method to specify, through models and diagrams, the essence of any organization at a high level of abstraction. However, this methodology is platform implementation independent, lacking the possibility of saving and propagating possible changes from the organization models to the implemented software, in a runtime environment. The Universal Enterprise Adaptive Object Model (UEAOM) is a conceptual schema being used as a basis for a wiki system, to allow the modeling of any organization, independent of its implementation, as well as the previously mentioned change propagation in a runtime environment. Based on DEMO and UEAOM, this project aims to develop efficient and standardized methods, to enable an automatic conversion of DEMO Ontological Models, based on UEAOM specification into BPMN (Business Process Model and Notation) models of processes, using clear semantics, without ambiguities, in order to facilitate the creation of processes, almost ready for being executed on workflow systems that support BPMN.

Aquatic weed automatic classification using machine learning techniques

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

A novel neural model to electrical load forecasting in transformers

The paper describes a novel neural model to electrical load forecasting in transformers. The network acts as identifier of structural features to forecast process. So that output parameters can be estimated and generalized from an input parameter set. The model was trained and assessed through load data extracted from a Brazilian Electric Utility taking into account time, current, tension, active power in the three phases of the system. The results obtained in the simulations show that the developed technique can be used as an alternative tool to become more appropriate for planning of electric power systems.

Automatic detection of thermal damage in grinding process by artificial neural network

Esse trabalho tem por objetivo o desenvolvimento de um sistema inteligente para detecção da queima no processo de retificação tangencial plana através da utilização de uma rede neural perceptron multi camadas, treinada para generalizar o processo e, conseqüentemente, obter o limiar de queima. em geral, a ocorrência da queima no processo de retificação pode ser detectada pelos parâmetros DPO e FKS. Porém esses parâmetros não são eficientes nas condições de usinagem usadas nesse trabalho. Os sinais de emissão acústica e potência elétrica do motor de acionamento do rebolo são variáveis de entrada e a variável de saída é a ocorrência da queima. No trabalho experimental, foram empregados um tipo de aço (ABNT 1045 temperado) e um tipo de rebolo denominado TARGA, modelo ART 3TG80.3 NVHB.

Analysis of forecasting capabilities of ground surfaces valuation using artificial neural networks

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

Power performance evaluation of an electric home fan with triac-based automatic speed control system

In order to provide a low cost system of thermal comfort, a common model of home fan, 40 cm diameter size, had its manual four-button control system replaced by an automatic speed control. The new control system has a temperature sensor feeding a microcontroller that, by using an optic coupling, DIAC or TRIAC-based circuit, varies the RMS value of the fan motor input voltage and its speed, according to the room temperature. Over a wide range of velocity, the fan net power and the motor fan input power were measured working under both control system. The temperature of the motor stator and the voltage waveforms were observed too. Measured values analysis showed that the TRIAC-based control system makes the fan motor work at a very low power factor and efficiency values. The worst case is at low velocity range where the higher fan motor stator temperatures were registered. The poor power factor and efficiency and the harmonics signals inserted in the motor input voltage wave by the TRIAC commutation procedure are correlated.

Electrical load forecasting formulation by a fast neural network

The objective of this work is to develop a methodology for electric load forecasting based on a neural network. Here, backpropagation algorithm is used with an adaptive process that based on fuzzy logic and using a decaying exponential function to avoid instability in the convergence process. This methodology results in fast training, when compared to the conventional formulation of backpropagation algorithm. The results are presented using data from a Brazilian Electric Company, and shows a very good performance for the proposal objective.