Prediction in Multilevel Logistic Regression

The purpose of this article is to present a new method to predict the response variable of an observation in a new cluster for a multilevel logistic regression. The central idea is based on the empirical best estimator for the random effect. Two estimation methods for multilevel model are compared: penalized quasi-likelihood and Gauss-Hermite quadrature. The performance measures for the prediction of the probability for a new cluster observation of the multilevel logistic model in comparison with the usual logistic model are examined through simulations and an application.

Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

A stochastic discount factor approach to asset pricing using panel data

Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences, making it suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles.

A stochastic discount factor approach to asset pricing using panel data asymptotics

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences. The techniques discussed in this paper were applied to two relevant issues in macroeconomics and finance: the first asks what type of parametric preference-representation could be validated by asset-return data, and the second asks whether or not our SDF estimator can price returns in an out-of-sample forecasting exercise. In formal testing, we cannot reject standard preference specifications used in the macro/finance literature. Estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically equal to unity. We also show that our SDF proxy can price reasonably well the returns of stocks with a higher capitalization level, whereas it shows some difficulty in pricing stocks with a lower level of capitalization.

Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais

Este Trabalho se Dedica ao exercício empírico de gerar mais restrições ao modelo de apreçamento de ativos com séries temporais desenvolvido por Hansen e Singleton JPE 1983. As restrições vão, desde um simples aumento qualitativo nos ativos estudados até uma extensão teórica proposta a partir de um estimador consistente do fator estocástico de desconto. As estimativas encontradas para a aversão relativa ao risco do agente representativo estão dentro do esperado, na maioria dos casos, já que atingem valores já encontrados na literatura além do fato destes valores serem economicamente plausíveis. A extensão teórica proposta não atingiu resultados esperados, parecendo melhorar a estimação do sistema marginalmente.

Fator de visão do céu e intensidade de ilhas de calor na escala do pedestre

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

Exigência de lisina para mantença determinada com galos de diferentes genótipos

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

Clássicos versus Keynes: a abordagem formal de David Champernowne

Este texto tem por objetivo ressaltar um aspecto que não tem sido tratado com a devida profundidade na literatura que estuda a formalização da Teoria Geral do Emprego, dos Juros e da Moeda de John Maynard Keynes (1936). Mais precisamente, o texto destaca a estratégia de formalização adotada por David G. Champernowne em seu artigo intitulado Unemployment, Basic and Monetary: the classical analysis and the keynesian, publicado em 1935-36 na Review of Economic Studies. Chamamos a atenção para o fato dele distinguir a teoria clássica da teoria de Keynes não apenas pelos pressupostos adotados por cada teoria, mas principalmente pela construção de subsistemas a partir de um sistema geral, com características recursivas (relações de causalidade) distintas. As explicações em prosa, a descrição algébrica das funções comportamentais e condições de equilíbrio e a ilustração por meio de diagramas, além da escolha de conjuntos específicos de variáveis para representar cada uma das teorias e suas diferentes versões são aspectos deste artigo de Champernowne que merecem uma análise mais minuciosa.

Fractal behavior throughout stretch zone of 15-5PH steel under elastic-plastic loading conditions

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

A model to predict R134a refrigerant leakage through the radial clearance of rolling piston compressors

In this paper a non-isothermal two-phase model for oil-R134a refrigerant mixture flow is presented to predict the R134a leakage through the radial clearance of rolling piston compressors. The flow is divided in a liquid single-phase region and in a two-phase region, in which the homogeneous model is used to simulate the flow. The refrigerant leakage is determined using the mixture mass flow rate and the refrigerant mass fraction variation along the flow. The results are obtained for inlet pressures varying from 200 to 700 kPa, inlet temperatures ranging from 40 to 60 degrees C, and minimal clearances between 10 and 60 mu m. The results are firstly compared to existing isothermal model data, showing that there is a significant difference between the leakage flow rates predicted by isothermal and non-isothermal models. Finally, a useful general equation for compressor designers is proposed to calculate the refrigerant leakage for a large range of operation conditions. (C) 2012 Elsevier Ltd and IIR. All rights reserved.

Willingness of Brazilian dentists to treat an HIV-infected patient

A study of the willingness of 363 general dental practices in Brazil to accept a patient infected with human immunodeficiency virus for treatment of dental pain and the provision of routine dental care showed only 44% of dental practices to be willing to provide dental care. Willingness was influenced neither by financial factors nor the local prevalence of human immunodeficiency virus disease. © 1994.

Assessing the above-ground biomass of a complex tropical rainforest using a canopy crane

Current estimates of the total biomass in tropical rainforests vary considerably; this is due in large part to the different approaches that are used to calculate biomass. In this study we have used a canopy crane to measure the tree architectures in a 1 ha plot of complex mesophyll vine forest at Cape Tribulation, Australia. Methods were developed to measure and calculate the crown and stem biomass of six major species of tree and palm (Alstonia scholaris (Apocynaceae), Cleistanthus myrianthus (Euphorbiaceae), Endiandra microneura (Lauraceae), Myristica insipida (Myristicaceae), Acmena graveolens (Myrtaceae), Normanbya normanbyi (Arecaceae)) using the unique access provided by the crane. This has allowed the first non-destructive biomass estimate to be carried out for a forest of this type. Allometric equations which relate tree biomass to the measured variable 'diameter at breast height' were developed for the six species, and a general equation was also developed for trees on the plot. The general equation was similar in form to equations developed for tropical rainforests in Brazil and New Guinea. The species equations were applied at the level of families, the generalized equation was applied to the remaining species which allowed the biomass of a total of 680 trees to be calculated. This has provided a current estimate of 270 t ha-1 above-ground biomass at the Australian Canopy Crane site; a value comparable to lowland rainforests in Panama and French Guiana. Using the same tree database seven alternative allometric equations (literature equations for tropical rainforests) were used to calculate the site biomass, the range was large (252-446 t ha-1) with only three equations providing estimates within 34 t ha-1 (12.5%) of the site value. Our use of multiple species-specific allometric equations has provided a site estimate only slightly larger (1%) than that obtained using allometric equations developed specifically for tropical wet rainforests. We have demonstrated that it is possible to non-destructively measure the biomass in a complex forest using an on-site canopy crane. In conjunction the development of crown maps and a detailed tree architecture database allows changes in forest structure to be followed quantitatively. © 2007 Ecological Society of Australia.

Cônicas e aplicações

Pós-graduação em Matemática Universitária - IGCE

Superfícies quádricas. Transformação das coordenadas

Pós-graduação em Matemática Universitária - IGCE

Avaliação de modelos estatísticos considerando a incerteza da paternidade

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)