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.

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.

The impact of OFDI on economic growth countries. An econometric approach using panel data and time-series evidence

The thesis at hand adds to the existing literature by investigating the relationship between economic growth and outward foreign direct investments (OFDI) on a set of 16 emerging countries. Two different econometric techniques are employed: a panel data regression analysis and a time-series causality analysis. Results from the regression analysis indicate a positive and significant correlation between OFDI and economic growth. Additionally, the coefficient for the OFDI variable is robust in the sense specified by the Extreme Bound Analysis (EBA). On the other hand, the findings of the causality analysis are particularly heterogeneous. The vector autoregression (VAR) and the vector error correction model (VECM) approaches identify unidirectional Granger causality running either from OFDI to GDP or from GDP to OFDI in six countries. In four economies causality among the two variables is bidirectional, whereas in five countries no causality relationship between OFDI and GDP seems to be present.

Elasticity of substitution between capital and labor: a panel data approach

This paper estimates the elasticity of substitution of an aggregate production function. The estimating equation is derived from the steady state of a neoclassical growth model. The data comes from the PWT in which different countries face different relative prices of the investment good and exhibit different investment-output ratios. Then, using this variation we estimate the elasticity of substitution. The novelty of our approach is that we use dynamic panel data techniques, which allow us to distinguish between the short and the long run elasticity and handle a host of econometric and substantive issues. In particular we accommodate the possibility that different countries have different total factor productivities and other country specific effects and that such effects are correlated with the regressors. We also accommodate the possibility that the regressors are correlated with the error terms and that shocks to regressors are manifested in future periods. Taking all this into account our estimation resuIts suggest that the Iong run eIasticity of substitution is 0.7, which is Iower than the eIasticity that had been used in previous macro-deveIopment exercises. We show that this lower eIasticity reinforces the power of the neoclassical mo deI to expIain income differences across countries as coming from differential distortions.

A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. We illustrate the methodology by studying the Brazilian case. We find that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, we show that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt.

A simple approach to integrate the ecotoxicological and chemical data for the establishment of environmental risk levels

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

Extraction of Building Roof Contours From LiDAR Data Using a Markov-Random-Field-Based Approach

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

A machine learning approach for genome-wide prediction of morbid and druggable human genes based on systems-level data

Background: The genome-wide identification of both morbid genes, i.e., those genes whose mutations cause hereditary human diseases, and druggable genes, i.e., genes coding for proteins whose modulation by small molecules elicits phenotypic effects, requires experimental approaches that are time-consuming and laborious. Thus, a computational approach which could accurately predict such genes on a genome-wide scale would be invaluable for accelerating the pace of discovery of causal relationships between genes and diseases as well as the determination of druggability of gene products.Results: In this paper we propose a machine learning-based computational approach to predict morbid and druggable genes on a genome-wide scale. For this purpose, we constructed a decision tree-based meta-classifier and trained it on datasets containing, for each morbid and druggable gene, network topological features, tissue expression profile and subcellular localization data as learning attributes. This meta-classifier correctly recovered 65% of known morbid genes with a precision of 66% and correctly recovered 78% of known druggable genes with a precision of 75%. It was than used to assign morbidity and druggability scores to genes not known to be morbid and druggable and we showed a good match between these scores and literature data. Finally, we generated decision trees by training the J48 algorithm on the morbidity and druggability datasets to discover cellular rules for morbidity and druggability and, among the rules, we found that the number of regulating transcription factors and plasma membrane localization are the most important factors to morbidity and druggability, respectively.Conclusions: We were able to demonstrate that network topological features along with tissue expression profile and subcellular localization can reliably predict human morbid and druggable genes on a genome-wide scale. Moreover, by constructing decision trees based on these data, we could discover cellular rules governing morbidity and druggability.

Hybrid visual-driven decision support system in video monitor manufacturing

An intelligent system that emulates human decision behaviour based on visual data acquisition is proposed. The approach is useful in applications where images are used to supply information to specialists who will choose suitable actions. An artificial neural classifier aids a fuzzy decision support system to deal with uncertainty and imprecision present in available information. Advantages of both techniques are exploited complementarily. As an example, this method was applied in automatic focus checking and adjustment in video monitor manufacturing. Copyright © 2005 IFAC.

An approach to implement data fusion techniques in wireless sensor networks using genetic machine learning algorithms

Wireless Sensor Networks (WSNs) can be used to monitor hazardous and inaccessible areas. In these situations, the power supply (e.g. battery) of each node cannot be easily replaced. One solution to deal with the limited capacity of current power supplies is to deploy a large number of sensor nodes, since the lifetime and dependability of the network will increase through cooperation among nodes. Applications on WSN may also have other concerns, such as meeting temporal deadlines on message transmissions and maximizing the quality of information. Data fusion is a well-known technique that can be useful for the enhancement of data quality and for the maximization of WSN lifetime. In this paper, we propose an approach that allows the implementation of parallel data fusion techniques in IEEE 802.15.4 networks. One of the main advantages of the proposed approach is that it enables a trade-off between different user-defined metrics through the use of a genetic machine learning algorithm. Simulations and field experiments performed in different communication scenarios highlight significant improvements when compared with, for instance, the Gur Game approach or the implementation of conventional periodic communication techniques over IEEE 802.15.4 networks. © 2013 Elsevier B.V. All rights reserved.

An assessment approach for application of spermatic data in phylogenetic analyses: Within the genus Moenkhausia Eigenmann, 1903 (Characiformes: Characidae)

Spermiogenesis and sperm ultrastructure from 21 species of Moenkhausia and others related genera are described. To evaluate the phylogenetic signals, 18 unordered characters were utilized in implied weighting analysis through the program TNT 1.1. Four variations of spermiogenesis were found. In the earliest spermatids, the nucleus can be positioned lateral, eccentric, strongly eccentric or nearly medial in relation to the distal centriole. The nuclear rotation can be present or absent. These spermiogenesis processes are related or intermediate to Type I and Type III. Taking into account the degrees of nuclear rotation during the spermiogenesis and other characteristics, distinct forms of spermatozoa are observed among the species analyzed. The phylogenetic analysis yielded a single most parsimonious tree with fit value 2.70000 and the topology obtained founds Moenkhausia as non-monophyletic. However, some hypothesis of relationships previously proposed viz the clade 20, which contains the type species Moenkhausia xinguensis, is recovered herein. This clade is supported by five synapomorphies, and it allows the supposition that these species constitute a monophyletic group. The whole topology is presented and discussed. © 2012 The Authors. Acta Zoologica © 2012 The Royal Swedish Academy of Sciences.

Interaction between GIS and hydrologic model: a preliminary approach using ArcHydro Framework Data Model

In different regions of Brazil, population growth and economic development can degrade water quality, compromising watershed health and human supply. Because of its ability to combine spatial and temporal data in the same environment and to create water resources management (WRM) models, the Geographical Information System (GIS) is a powerful tool for managing water resources, preventing floods and estimating water supply. This paper discusses the integration between GIS and hydrological models and presents a case study relating to the upper section of the Paraíba do Sul Basin (Sao Paulo State portion), situated in the Southeast of Brazil. The case study presented in this paper has a database suitable for the basin's dimensions, including digitized topographic maps at a 50,000 scale. From an ArcGIS®/ArcHydro Framework Data Model, a geometric network was created to produce different raster products. This first grid derived from the digital elevation model grid (DEM) is the flow direction map followed by flow accumulation, stream and catchment maps. The next steps in this research are to include the different multipurpose reservoirs situated along the Paraíba do Sul River and to incorporate rainfall time series data in ArcHydro to build a hydrologic data model within a GIS environment in order to produce a comprehensive spatial-temporal model.

Modelling the surface circulation and thermal structure of a tropical reservoir using three-dimensional hydrodynamic lake model and remote-sensing data

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Oral impacts on the daily performance of Brazilians assessed using a sociodental approach: analyses of national data

The aim of this study was to analyze the relationship between oral diseases and their impact on the daily performance of adult and elderly Brazilians, verify the association of oral diseases with socioeconomic and demographic features, and compare the standard estimate of need with the sociodental assessment of these same needs. The authors evaluated data from 17,398 Brazilians aged between 35-44 years and 65-74 years, taken from the cross-sectional Brazilian Oral Health Survey (Saúde Bucal Brasil - SBBrasil). Regression models were applied to assess associations among impacts on daily performance and income, schooling, gender, region, use of dental services, health perception and dental disease status. McNemar’s test was applied to compare standard versus impact-related estimates of need. The prevalence ratio of these impacts was associated with the sociodemographic versus health perceptions (p < 0.001) of adults and the elderly. Adults also had impacts associated with loss of periodontal attachment (p < 0.001). The prevalence of normative needs was 95.39% for adults and 99.76% for the elderly, whereas the impact-related estimate of need was 50.92% and 43.71%, respectively. The impacted-related approach had a statistically significant association with the normative estimate of need (p < 0.001). This study showed a relationship between oral impact on daily performance of adults and educational level. Sociodemographic features were also related to the impacts on both adults and the elderly, and to health perception. The impacts among the adults were related to the loss of periodontal attachment. In addition, the authors found a sizable difference between the standard versus the sociodental approach, in that the sociodental assessment needs were lower than the needs identified by the standard estimate of need.

OntoSDM: an approach to improve quality on spatial data mining algorithms

The increase in new electronic devices had generated a considerable increase in obtaining spatial data information; hence these data are becoming more and more widely used. As well as for conventional data, spatial data need to be analyzed so interesting information can be retrieved from them. Therefore, data clustering techniques can be used to extract clusters of a set of spatial data. However, current approaches do not consider the implicit semantics that exist between a region and an object’s attributes. This paper presents an approach that enhances spatial data mining process, so they can use the semantic that exists within a region. A framework was developed, OntoSDM, which enables spatial data mining algorithms to communicate with ontologies in order to enhance the algorithm’s result. The experiments demonstrated a semantically improved result, generating more interesting clusters, therefore reducing manual analysis work of an expert.