Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study

Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The Örst reduces parameter space by imposing long-term restrictions on the behavior of economic variables as discussed by the literature on cointegration, and the second reduces parameter space by imposing short-term restrictions as discussed by the literature on serial-correlation common features (SCCF). Our simulations cover three important issues on model building, estimation, and forecasting. First, we examine the performance of standard and modiÖed information criteria in choosing lag length for cointegrated VARs with SCCF restrictions. Second, we provide a comparison of forecasting accuracy of Ötted VARs when only cointegration restrictions are imposed and when cointegration and SCCF restrictions are jointly imposed. Third, we propose a new estimation algorithm where short- and long-term restrictions interact to estimate the cointegrating and the cofeature spaces respectively. We have three basic results. First, ignoring SCCF restrictions has a high cost in terms of model selection, because standard information criteria chooses too frequently inconsistent models, with too small a lag length. Criteria selecting lag and rank simultaneously have a superior performance in this case. Second, this translates into a superior forecasting performance of the restricted VECM over the VECM, with important improvements in forecasting accuracy ñreaching more than 100% in extreme cases. Third, the new algorithm proposed here fares very well in terms of parameter estimation, even when we consider the estimation of long-term parameters, opening up the discussion of joint estimation of short- and long-term parameters in VAR models.

A adoção do "business format franchising": uma abordagem do mercado brasileiro

A presente dissertação surge como um esforço inicial de determinar as implicações da adoção do sistema de franchising, em particular do "Business Format Franchising", bem como as consequências deste fato, do ponto de vista dos franqueadores, no mercado brasileiro. Observamos que a bibliografia existente sobre o tema é escassa e dispersa, sendo que a literatura em sua maioria é em língua, não disponível em bibliotecas e livrarias. O tema é de discussão recente no Brasil, propiciando estudos e pesquisas nesta área, onde esta dissertação pretende apresentar uma contribuição para estudos posteriores, embasando-se precipuamente em experiências e práticas vivenciadas enquanto profissional da área de franchising.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

Impacto das negociações algorítmicas de alta frequência no mercado futuro de dólar

Este trabalho apresenta um estudo do impacto das negociações algorítmicas no processo de descoberta de preços no mercado de câmbio. Foram utilizados dados de negociação de alta frequência para contratos futuros de reais por dólar (DOL), negociados na Bolsa de Valores de São Paulo no período de janeiro a junho de 2013. No intuito de verificar se as estratégias algorítmicas de negociação são mais dependentes do que as negociações não algorítmicas, foi examinada a frequência em que algoritmos negociam entre si e comparou-se a um modelo benchmark que produz probabilidades teóricas para diferentes tipos de negociadores. Os resultados obtidos para as negociações minuto a minuto apresentam evidências de que as ações e estratégias de negociadores algorítmicos parecem ser menos diversas e mais dependentes do que aquelas realizadas por negociadores não algorítmicos. E para modelar a interação entre a autocorrelação serial dos retornos e negociações algorítmicas, foi estimado um vetor autorregressivo de alta frequência (VAR) em sua forma reduzida. As estimações mostram que as atividades dos algoritmos de negociação causam um aumento na autocorrelação dos retornos, indicando que eles podem contribuir para o aumento da volatilidade.

Immigration as a strategic vector for the socio-economic and institutional development of Brazil

Brazil has demonstrated resilience in relation to the recent economic crises and has an auspicious development potential projected for the coming decades, which, linked to the globalization process, provides important opportunities for our people. Gradually we have established ourselves as one of the leading nations in the world and we have become a reference in questions linked to economic equilibrium, development, energy, agriculture and the environment. This international recognition favors the exchange of experiences with other cultures, governments and organizations, bringing with it the possibility of stimulating a dynamic process of development and innovation.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Long-term facial artery catheter implantation for serial arterial blood sampling and invasive arterial blood pressure measurement in horses

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

The Effect of Serial Culture and Storage on the Protective Potential of a Competitive Exclusion Preparation

Cultura de fezes (Método de Exclusão Competitiva - EC) utilizada para prevenir a colonização cecal de aves por Salmonella enterica serovar Enteritidis (SE) foi submetida a cultivos seriados para evitar a presença de patógenos e, após o tratamento mais adequado, foi armazenada em temperatura de refrigeração antes do seu uso por até 63 dias. Os resultados mostraram que o cultivo repetido por 14 vezes não prejudica a ação protetora da cultura (CE), a qual continua inibindo a colonização cecal por SE. O produto submetido a 12 cultivos e armazenado durante 28 dias em temperatura de refrigeração também continua eficaz.

Controle vetorial de velocidade de uma máquina de indução sem mancais trifásica com bobinado dividido utilizando estimação neural de fluxo

This work describes the study and the implementation of the vector speed control for a three-phase Bearingless induction machine with divided winding of 4 poles and 1,1 kW using the neural rotor flux estimation. The vector speed control operates together with the radial positioning controllers and with the winding currents controllers of the stator phases. For the radial positioning, the forces controlled by the internal machine magnetic fields are used. For the radial forces optimization , a special rotor winding with independent circuits which allows a low rotational torque influence was used. The neural flux estimation applied to the vector speed controls has the objective of compensating the parameter dependences of the conventional estimators in relation to the parameter machine s variations due to the temperature increases or due to the rotor magnetic saturation. The implemented control system allows a direct comparison between the respective responses of the speed and radial positioning controllers to the machine oriented by the neural rotor flux estimator in relation to the conventional flux estimator. All the system control is executed by a program developed in the ANSI C language. The DSP resources used by the system are: the Analog/Digital channels converters, the PWM outputs and the parallel and RS-232 serial interfaces, which are responsible, respectively, by the DSP programming and the data capture through the supervisory system

Controle vetorial de velocidade de um motor de indução trifásico com estimação neural de fluxo

This work describes the study and the implementation of the speed control for a three-phase induction motor of 1,1 kW and 4 poles using the neural rotor flux estimation. The vector speed control operates together with the winding currents controller of the stator phasis. The neural flux estimation applied to the vector speed controls has the objective of compensating the parameter dependences of the conventional estimators in relation to the parameter machine s variations due to the temperature increases or due to the rotor magnetic saturation. The implemented control system allows a direct comparison between the respective responses of the speed controls to the machine oriented by the neural rotor flux estimator in relation to the conventional flux estimator. All the system control is executed by a program developed in the ANSI C language. The main DSP recources used by the system are, respectively, the Analog/Digital channels converters, the PWM outputs and the parallel and RS-232 serial interfaces, which are responsible, respectively, by the DSP programming and the data capture through the supervisory system

Resonances and subharmonic bifurcations of large amplitude periodic orbits of planar polynomial vector fields

In this work are studied periodic perturbations, depending on two parameters, of planar polynomial vector fields having an annulus of large amplitude periodic orbits, which accumulate on a symmetric infinite heteroclinic cycle. Such periodic orbits and the heteroclinic trajectory can be seen only by the global consideration of the polynomial vector fields on the whole plane, and not by their restriction to any compact set. The global study involving infinity is performed via the Poincare Compactification. It is shown that, for certain types of periodic perturbations, one can seek, in a neighborhood of the origin in the parameter plane, curves C-(m) of subharmonic bifurcations, for which the periodically perturbed system has subharmonics of order m, for any integer m.

Periodic perturbations of quadratic planar polynomial vector fields

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Attraction of the cutaneous leishmaniasis vector Nyssomyia neivai (Diptera: Psychodidae) to host odour components in a wind tunnel

Background: Laboratory studies of host-seeking olfactory behaviour in sandflies have largely been restricted to the American visceral leishmaniasis vector Lutzomyia longipalpis. In comparison, almost nothing is known about the chemical ecology of related species, which transmit American cutaneous leishmaniasis (ACL), due in part to difficulties in raising these insects in the laboratory. Understanding how ACL vectors locate their hosts will be essential to developing new vector control strategies to combat this debilitating disease.Methods: This study examined host-odour seeking behaviour of the ACL vector Nyssomyia neivai (Pinto) (=Lutzomyia neivai) using a wind tunnel olfactometer. The primary aim was to determine whether field-collected female N. neivai would respond to host odours in the laboratory, thereby eliminating the need to maintain colonies of these insects for behavioural experiments. Responses to two key host odour components, 1-octen-3-ol and lactic acid, and a commercially-available mosquito lure (BG-Lure (TM)) were assessed and compared relative to an air control. We also tested whether trials could be conducted outside of the normal evening activity period of N. neivai without impacting on fly behaviour, and whether the same flies could be used to assess baseline responses to air without affecting responses to octenol, thereby reducing the number of flies required for experiments.Results: Octenol was found to both activate host-seeking behaviour and attract female N. neivai in the wind tunnel, while lactic acid elicited weaker responses of activation and attractiveness under identical conditions. The BG-Lure did not activate or attract N. neivai under test conditions. Further experiments showed that sandfly behaviour in the wind tunnel was not affected by time of day, such that experiments need not be restricted to nocturnal hours. Moreover, using the same flies to measure both baseline responses to air and attraction to test compounds did not affect odour-seeking behaviour.Conclusions: The results of this study demonstrate that N. neivai taken from the field are suitable for use in laboratory olfactometer experiments. It is hoped this work will facilitate further research into chemical ecology of this species, and other ACL vectors.