The importance of common cyclical features in VAR analysis: a Monte-Carlo study

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models. First, we show that the ìbestî empirical model developed without common cycle restrictions need not nest the ìbestî model developed with those restrictions. This is due to possible differences in the lag-lengths chosen by model selection criteria for the two alternative models. Second, we show that the costs of ignoring common cyclical features in vector autoregressive modelling can be high, both in terms of forecast accuracy and efficient estimation of variance decomposition coefficients. Third, we find that the Hannan-Quinn criterion performs best among model selection criteria in simultaneously selecting the lag-length and rank of vector autoregressions.

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 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.

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

Análise e classificação de imagens de lesões da pele por atributos de cor, forma e textura utilizando máquina de vetor de suporte

The skin cancer is the most common of all cancers and the increase of its incidence must, in part, caused by the behavior of the people in relation to the exposition to the sun. In Brazil, the non-melanoma skin cancer is the most incident in the majority of the regions. The dermatoscopy and videodermatoscopy are the main types of examinations for the diagnosis of dermatological illnesses of the skin. The field that involves the use of computational tools to help or follow medical diagnosis in dermatological injuries is seen as very recent. Some methods had been proposed for automatic classification of pathology of the skin using images. The present work has the objective to present a new intelligent methodology for analysis and classification of skin cancer images, based on the techniques of digital processing of images for extraction of color characteristics, forms and texture, using Wavelet Packet Transform (WPT) and learning techniques called Support Vector Machine (SVM). The Wavelet Packet Transform is applied for extraction of texture characteristics in the images. The WPT consists of a set of base functions that represents the image in different bands of frequency, each one with distinct resolutions corresponding to each scale. Moreover, the characteristics of color of the injury are also computed that are dependants of a visual context, influenced for the existing colors in its surround, and the attributes of form through the Fourier describers. The Support Vector Machine is used for the classification task, which is based on the minimization principles of the structural risk, coming from the statistical learning theory. The SVM has the objective to construct optimum hyperplanes that represent the separation between classes. The generated hyperplane is determined by a subset of the classes, called support vectors. For the used database in this work, the results had revealed a good performance getting a global rightness of 92,73% for melanoma, and 86% for non-melanoma and benign injuries. The extracted describers and the SVM classifier became a method capable to recognize and to classify the analyzed skin injuries

Sistema inteligente para diagnóstico de patologias na laringe utilizando máquinas de vetor de suporte

The human voice is an important communication tool and any disorder of the voice can have profound implications for social and professional life of an individual. Techniques of digital signal processing have been used by acoustic analysis of vocal disorders caused by pathologies in the larynx, due to its simplicity and noninvasive nature. This work deals with the acoustic analysis of voice signals affected by pathologies in the larynx, specifically, edema, and nodules on the vocal folds. The purpose of this work is to develop a classification system of voices to help pre-diagnosis of pathologies in the larynx, as well as monitoring pharmacological treatments and after surgery. Linear Prediction Coefficients (LPC), Mel Frequency cepstral coefficients (MFCC) and the coefficients obtained through the Wavelet Packet Transform (WPT) are applied to extract relevant characteristics of the voice signal. For the classification task is used the Support Vector Machine (SVM), which aims to build optimal hyperplanes that maximize the margin of separation between the classes involved. The hyperplane generated is determined by the support vectors, which are subsets of points in these classes. According to the database used in this work, the results showed a good performance, with a hit rate of 98.46% for classification of normal and pathological voices in general, and 98.75% in the classification of diseases together: edema and nodules

Caracterização de superfícies seletivas de freqüência e de antenas fractais para aplicações em redes sem fio

This work aims to investigate the behavior of fractal elements in planar microstrip structures. In particular, microstrip antennas and frequency selective surfaces (FSSs) had changed its conventional elements to fractal shapes. For microstrip antennas, was used as the radiating element of Minkowski fractal. The feeding method used was microstrip line. Some prototypes were built and the analysis revealed the possibility of miniaturization of structures, besides the multiband behavior, provided by the fractal element. In particular, the Minkowski fractal antenna level 3 was used to exploit the multiband feature, enabling simultaneous operation of two commercial tracks (Wi-Fi and WiMAX) regulated by ANATEL. After, we investigated the effect of switches that have been placed on the at the pre-fractal edges of radiating element. For the FSSs, the fractal used to elements of FSSs was Dürer s pentagon. Some prototypes were built and measured. The results showed a multiband behavior of the structure provided by fractal geometry. Then, a parametric analysis allowed the analysis of the variation of periodicity on the electromagnetic behavior of FSS, and its bandwidth and quality factor. For numerical and experimental characterization of the structures discussed was used, respectively, the commercial software Ansoft DesignerTM and a vector network analyzer, Agilent N5230A model

Extração de feições retas com precisão subpixel: estudo comparativo entre três métodos

In the fields of Machine Vision and Photogrammetry, extracted straight lines from digital images can be used either as vector elements of a digital representation or as control entities that allow the determination of the camera interior and exterior orientation parameters. Applications related with image orientation require feature extraction with subpixel precision, to guarantee the reliability of the estimated parameters. This paper presents three approaches for straight line extraction with subpixel precision. The first approach considers the subpixel refinement based on the weighted average of subpixel positions calculated on the direction perpendicular to the segmented straight line. In the second approach, a parabolic function is adjusted to the grey level profile of neighboring pixels in a perpendicular direction to the segmented line, followed by an interpolation of this model to estimate subpixel coordinates of the line center. In the third approach, the subpixel refinement is performed with a parabolic surface adjustment to the grey level values of neighboring pixels around the segmented line. The intersection of this surface with a normal plane to the line direction generates a parabolic equation that allows estimating the subpixel coordinates of the point in the straight line, assuming that this is the critical point of this function. Three experiments with real images were made and the approach based on parabolic surface adjustment has presented better results.

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.

A novel algorithm for feature selection using Harmony Search and its application for non-technical losses detection

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

An Optimum-Path Forest framework for intrusion detection in computer networks

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