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.

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.

Pion structure in the instanton liquid model

The covariant quark model of the pion based on the effective nonlocal quark-hadron Lagrangian involving nonlocality induced by instanton fluctuations of the QCD vacuum is reviewed. Explicit gauge invariant formalism allows us to construct the conserved vector and axial currents and to demonstrate their consistency with the Ward-Takahashi identities and low-energy theorems. The spontaneous breaking of chiral symmetry results in the dynamic quark mass and the vertex of the quark-pion interaction, both momentum-dependent. The parameters of the instanton vacuum, the average size of the instantons, and the effective quark mass are expressed in terms of the vacuum expectation values of the lowest dimension quark-gluon operators and low-energy pion observables. The transition pion form factor for the processes gamma*gamma --> pi (0) and gamma*gamma* --> pi (0) is analyzed in detail. The kinematic dependence of the transition form factor at high momentum transfers allows one to determine the relationship between the light-cone amplitude of the quark distribution in the pion and the quark-pion vertex function. Its dynamic dependence implies that the transition form factor gamma*gamma --> pi (0) at high momentum transfers is acutely sensitive to the size of the nonlocality of nonperturbative fluctuations in the QCD vacuum. In the leading twist, the distribution amplitude and the distribution function of the valence quarks in the pion are calculated at a low normalization point of the order of the inverse average instanton size rho (-1)(c). The QCD results are evolved to higher momentum transfers and are in reasonable agreement with available experimental data on the pion structure.

Notes on the two-brane model with variable tension

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Predictive formulation of the Nambu-Jona-Lasinio model

A novel strategy to handle divergences typical of perturbative calculations is implemented for the Nambu-Jona-Lasinio model and its phenomenological consequences investigated. The central idea of the method is to avoid the critical step involved in the regularization process, namely, the explicit evaluation of divergent integrals. This goal is achieved by assuming a regularization distribution in an implicit way and making use, in intermediary steps, only of very general properties of such regularization. The finite parts are separated from the divergent ones and integrated free from effects of the regularization. The divergent parts are organized in terms of standard objects, which are independent of the ( arbitrary) momenta running in internal lines of loop graphs. Through the analysis of symmetry relations, a set of properties for the divergent objects are identified, which we denominate consistency relations, reducing the number of divergent objects to only a few. The calculational strategy eliminates unphysical dependencies of the arbitrary choices for the routing of internal momenta, leading to ambiguity-free, and symmetry-preserving physical amplitudes. We show that the imposition of scale properties for the basic divergent objects leads to a critical condition for the constituent quark mass such that the remaining arbitrariness is removed. The model becomes predictive in the sense that its phenomenological consequences do not depend on possible choices made in intermediary steps. Numerical results are obtained for physical quantities at the one-loop level for the pion and sigma masses and pion-quark and sigma-quark coupling constants.

Linear delta expansion applied to the O'Raifeartaigh model

We reassess the method of the linear delta expansion for the calculation of effective potentials in superspace, by adopting the improved version of the super-Feynman rules in the framework of the O'Raifeartaigh model for spontaneous supersymmetry breaking. The effective potential is calculated using both the fastest apparent convergence and the principle of minimal sensitivity criteria and the consistency and efficacy of the method are checked in deriving the Coleman-Weinberg potential.

Consistency between light-front quantization and covariantization for zero modes

In the light-cone gauge choice for Abelian and non-Abelian gauge fields, the vector boson propagator carries in it an additional spurious or unphysical pole intrinsic to the choice requiring a careful mathematical treatment. Research in this field over the years has shown us that mathematical consistency only is not enough to guarantee physically meaningful results. Whatever the prescription invoked to handle such an object, it has to preserve causality in the process. On the other hand, the covariantization technique is a well-suited one to tackle gauge-dependent poles in the Feynman integrals, dispensing the use of ad hoc prescriptions. In this work we show that the covariantization technique in the light-cone gauge is a direct consequence of the canonical quantization of the theory. © World Scientific Publishing Company.

On the consistency conditions to braneworlds in scalar-tensor gravity for arbitrary dimensions

We derive an one-parameter family of consistency conditions to braneworlds in the Brans-Dicke gravity. The General Relativity case is recovered by taking a correct limit of the Brans-Dicke parameter. We show that it is possible to build a multiple AdS brane scenario in a six-dimensional bulk only if the brane tensions are negative. Besides, in the five-dimensional case, it is showed that no fine tuning is necessary between the bulk cosmological constant and the brane tensions, in contrast to the Randall-Sundrum model. Copyright © owned by the author(s) under the terms of the Creative Commons Attribution-NonCommercial- ShareAlike Licence.

Braneworlds scenarios in a gravity model with higher order spatial three-curvature terms

In this work we study a Hořava-like 5-dimensional model in the context of braneworld theory. The equations of motion of such model are obtained and, within the realm of warped geometry, we show that the model is consistent if and only if λ takes its relativistic value 1. Furthermore, we show that the elimination of problematic terms involving the warp factor second order derivatives are eliminated by imposing detailed balance condition in the bulk. Afterwards, Israel's junction conditions are computed, allowing the attainment of an effective Lagrangian in the visible brane. In particular, we show that the resultant effective Lagrangian in the brane corresponds to a (3 + 1)-dimensional Hořava-like model with an emergent positive cosmological constant but without detailed balance condition. Now, restoration of detailed balance condition, at this time imposed over the brane, plays an interesting role by fitting accordingly the sign of the arbitrary constant β, insuring a positive brane tension and a real energy for the graviton within its dispersion relation. Also, the brane consistency equations are obtained and, as a result, the model admits positive brane tensions in the compactification scheme if, and only if, β is negative and the detailed balance condition is imposed. © 2013 Springer-Verlag Berlin Heidelberg and Società Italiana di Fisica.

Consistency of the mass variation formula for black holes accreting cosmological fluids

We address the spherical accretion of generic fluids onto black holes. We show that, if the black hole metric satisfies certain conditions, in the presence of a test fluid it is possible to derive a fully relativistic prescription for the black hole mass variation. Although the resulting equation may seem obvious due to a form of it appearing as a step in the derivation of the Schwarzschild metric, this geometrical argument is necessary to fix the added degree of freedom one gets for allowing the mass to vary with time. This result has applications on cosmological accretion models and provides a derivation from first principles to serve as a basis to the accretion equations already in use in the literature.

Influence of small-scale inhomogeneities on the cosmological consistency tests

The current cosmological dark sector (dark matter plus dark energy) is challenging our comprehension about the physical processes taking place in the Universe. Recently, some authors tried to falsify the basic underlying assumptions of such dark matterdark energy paradigm. In this Letter, we show that oversimplifications of the measurement process may produce false positives to any consistency test based on the globally homogeneous and isotropic ? cold dark matter (?CDM) model and its expansion history based on distance measurements. In particular, when local inhomogeneity effects due to clumped matter or voids are taken into account, an apparent violation of the basic assumptions (Copernican Principle) seems to be present. Conversely, the amplitude of the deviations also probes the degree of reliability underlying the phenomenological DyerRoeder procedure by confronting its predictions with the accuracy of the weak lensing approach. Finally, a new method is devised to reconstruct the effects of the inhomogeneities in a ?CDM model, and some suggestions of how to distinguish between clumpiness (or void) effects from different cosmologies are discussed.

Changes in tumor stiffness for early prediction of tumor response to sorafenib: a proof-of-concept study with elastosonography in an animal model of Hepatocellular Carcinoma (HCC)

Background and aims: Sorafenib is the reference therapy for advanced Hepatocellular Carcinoma (HCC). No method exists to predict in the very early period subsequent individual response. Starting from the clinical experience in humans that subcutaneous metastases may rapidly change consistency under sorafenib and that elastosonography a new ultrasound based technique allows assessment of tissue stiffness, we investigated the role of elastonography in the very early prediction of tumor response to sorafenib in a HCC animal model. Methods: HCC (Huh7 cells) subcutaneous xenografting in mice was utilized. Mice were randomized to vehicle or treatment with sorafenib when tumor size was 5-10 mm. Elastosonography (Mylab 70XVG, Esaote, Genova, Italy) of the whole tumor mass on a sagittal plane with a 10 MHz linear transducer was performed at different time points from treatment start (day 0, +2, +4, +7 and +14) until mice were sacrified (day +14), with the operator blind to treatment. In order to overcome variability in absolute elasticity measurement when assessing changes over time, values were expressed in arbitrary units as relative stiffness of the tumor tissue in comparison to the stiffness of a standard reference stand-off pad lying on the skin over the tumor. Results: Sor-treated mice showed a smaller tumor size increase at day +14 in comparison to vehicle-treated (tumor volume increase +192.76% vs +747.56%, p=0.06). Among Sor-treated tumors, 6 mice showed a better response to treatment than the other 4 (increase in volume +177% vs +553%, p=0.011). At day +2, median tumor elasticity increased in Sor-treated group (+6.69%, range –30.17-+58.51%), while decreased in the vehicle group (-3.19%, range –53.32-+37.94%) leading to a significant difference in absolute values (p=0.034). From this time point onward, elasticity decreased in both groups, with similar speed over time, not being statistically different anymore. In Sor-treated mice all 6 best responders at day 14 showed an increase in elasticity at day +2 (ranging from +3.30% to +58.51%) in comparison to baseline, whereas 3 of the 4 poorer responders showed a decrease. Interestingly, these 3 tumours showed elasticity values higher than responder tumours at day 0. Conclusions: Elastosonography appears a promising non-invasive new technique for the early prediction of HCC tumor response to sorafenib. Indeed, we proved that responder tumours are characterized by an early increase in elasticity. The possibility to distinguish a priori between responders and non responders based on the higher elasticity of the latter needs to be validated in ad-hoc experiments as well as a confirmation of our results in humans is warranted.

Deeply virtual Compton scattering in a relativistic quark model

This thesis is mainly concerned with a model calculation for generalized parton distributions (GPDs). We calculate vectorial- and axial GPDs for the N N and N Delta transition in the framework of a light front quark model. This requires the elaboration of a connection between transition amplitudes and GPDs. We provide the first quark model calculations for N Delta GPDs. The examination of transition amplitudes leads to various model independent consistency relations. These relations are not exactly obeyed by our model calculation since the use of the impulse approximation in the light front quark model leads to a violation of Poincare covariance. We explore the impact of this covariance breaking on the GPDs and form factors which we determine in our model calculation and find large effects. The reference frame dependence of our results which originates from the breaking of Poincare covariance can be eliminated by introducing spurious covariants. We extend this formalism in order to obtain frame independent results from our transition amplitudes.