Asymptotic efficiency in an instrumental variable model

Esta dissertação se propõe ao estudo de inferência usando estimação por método generalizado dos momentos (GMM) baseado no uso de instrumentos. A motivação para o estudo está no fato de que sob identificação fraca dos parâmetros, a inferência tradicional pode levar a resultados enganosos. Dessa forma, é feita uma revisão dos mais usuais testes para superar tal problema e uma apresentação dos arcabouços propostos por Moreira (2002) e Moreira & Moreira (2013), e Kleibergen (2005). Com isso, o trabalho concilia as estatísticas utilizadas por eles para realizar inferência e reescreve o teste score proposto em Kleibergen (2005) utilizando as estatísticas de Moreira & Moreira (2013), e é obtido usando a teoria assintótica em Newey & McFadden (1984) a estatística do teste score ótimo. Além disso, mostra-se a equivalência entre a abordagem por GMM e a que usa sistema de equações e verossimilhança para abordar o problema de identificação fraca.

The equity premium puzzle: um estudo de viés de seleção dos ativos

As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lançado por Mehra and Prescott (1985)? É essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in uência desse viés em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hipótese, sejam preci cados de acordo com o fator estocástico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia será gerada via simulação de Monte Carlo, de forma que iremos construir um índice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rentáveis. Adota-se tal metodologia em paralelo à forma como os reais benchmarks são construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que são, comumente, as empresas historicamente mais rentáveis da economia. Em sequência, iremos realizar a estimação via GMM (Generalized Method of Moments) de um dos parâmetros de interesse de uma economia CCAPM: o coe ciente de aversão relativa ao risco (CRRA). Finalmente, os resultados obtidos são comparados e analisados quanto ao viés de estimação.

Um modelo matemático baseado em wavelets para análise do método térmico de recuperação de óleo pesado aplicando irradiação eletromagnética

This work proposes a model to investigate the use of a cylindrical antenna used in the thermal method of recovering through electromagnetic radiation of high-viscosity oil. The antenna has a simple geometry, adapted dipole type, and it can be modelled by using Maxwell s equation. The wavelet transforms are used as basis functions and applied in conjunction with the method of moments to obtain the current distribution in the antenna. The electric field, power and temperature distribution are carefully calculated for the analysis of the antenna as electromagnetic heating. The energy performance is analyzed based on thermo-fluid dynamic simulations at field scale, and through the adaptation in the Steam Thermal and Advanced Processes Reservoir Simulator (STARS) by Computer Modelling Group (CMG). The model proposed and the numerical results obtained are stable and presented good agreement with the results reported in the specialized literature

Antenas de microfita com patch quase-fractal para aplicações em Redes WPAN/WLAN

The microstrip antennas are in constant evidence in current researches due to several advantages that it presents. Fractal geometry coupled with good performance and convenience of the planar structures are an excellent combination for design and analysis of structures with ever smaller features and multi-resonant and broadband. This geometry has been applied in such patch microstrip antennas to reduce its size and highlight its multi-band behavior. Compared with the conventional microstrip antennas, the quasifractal patch antennas have lower frequencies of resonance, enabling the manufacture of more compact antennas. The aim of this work is the design of quasi-fractal patch antennas through the use of Koch and Minkowski fractal curves applied to radiating and nonradiating antenna s edges of conventional rectangular patch fed by microstrip inset-fed line, initially designed for the frequency of 2.45 GHz. The inset-fed technique is investigated for the impedance matching of fractal antennas, which are fed through lines of microstrip. The efficiency of this technique is investigated experimentally and compared with simulations carried out by commercial software Ansoft Designer used for precise analysis of the electromagnetic behavior of antennas by the method of moments and the neural model proposed. In this dissertation a study of literature on theory of microstrip antennas is done, the same study is performed on the fractal geometry, giving more emphasis to its various forms, techniques for generation of fractals and its applicability. This work also presents a study on artificial neural networks, showing the types/architecture of networks used and their characteristics as well as the training algorithms that were used for their implementation. The equations of settings of the parameters for networks used in this study were derived from the gradient method. It will also be carried out research with emphasis on miniaturization of the proposed new structures, showing how an antenna designed with contours fractals is capable of a miniaturized antenna conventional rectangular patch. The study also consists of a modeling through artificial neural networks of the various parameters of the electromagnetic near-fractal antennas. The presented results demonstrate the excellent capacity of modeling techniques for neural microstrip antennas and all algorithms used in this work in achieving the proposed models were implemented in commercial software simulation of Matlab 7. In order to validate the results, several prototypes of antennas were built, measured on a vector network analyzer and simulated in software for comparison

Análise de onda completa de superfície seletiva em freqüência do tipo anteparo duplo

This work presents a theoretical analysis and numerical and experimental results of the scattering characteristics of frequency selective surfaces, using elements of type patch perfectly conductor. The structures are composed of two frequency selective surfaces on isotropic dielectric substrates cascaded, separated by a layer of air. The analysis is performed using the method of equivalent transmission line in combination with the Galerkin method, to determine the transmission and reflection characteristics of the structures analyzed. Specifically, the analysis uses the impedance method, which models the structure by an equivalent circuit, and applies the theory of transmission lines to determine the dyadic Green's function for the cascade structure. This function relates the incident field and surface current densities. These fields are determined algebraically by means of potential incidents and the imposition of the continuity of the fields in the dielectric interfaces. The Galerkin method is applied to the numerical determination of the unknown weight coefficients and hence the unknown densities of surface currents, which are expanded in terms of known basis functions multiplied by these weight coefficients. From the determination of these functions, it becomes possible to obtain numerical scattered fields at the top and bottom of the structures and characteristics of transmission and reflection of these structures. At work, we present numerical and experimental results for the characteristics of transmission and reflection. Comparisons were made with other results presented in literature, and it was observed a good agreement in the cases presented suggestions continuity of the work are presented

Productivity growth in Latin American manufacturing: what role for international trade intensities?

Includes Bibliography

Foreign direct investment and welfare

Includes bibliography.

Modelagem do crescimento e produção em povoamentos desbastados de Eucalyptus grandis

The aim of the study was to develop a system of growth and yield models for thinned stands of Eucalyptus spp.; and to assess the behavior of the growth in scenarios with 10% decrease or increase in rainfall. The probability distribution functions Weibull 2 and 3 parameters and Johnson SB for different methods were fitted. Correlation between the fitted parameters with age was evaluated. Dominant height growth behavior was evaluated to check if thinned stand changes its growth when compared to a non-thinned stands. The stand variables dominant height and basal area were projected and simultaneously predicted and projected, respectively. Individual tree equations were fitted, which were fitted as functions of stand level variables in order to decrease the error propagation. R software was used to fit all the proposed models and consequently all the fitted models were evaluated by their parameters significance (F-test) and graphs of predicted values in relation to the observed values around the 1:1 line. Thus, the prognosis system was made by two ways, first one using the full data set, and for the second one the dataset was restricted at age 7.5. Increase and decrease in 20% of rainfall were assessed by updating the site index function. Method of moments was the most precise to describe the diameter distribution for every age in eucalyptus stands for Johnson SB and Weibull 2 parameters pdfs. When observed for each pdf the correlation for their fitted parameters with age, we noticed that shape parameters for a thinned stand were no longer correlated with age, differently of non-thinned stands. Thus, thinning effect was accounted in the basal area prediction and projection modeling. This result emphasized the necessity of applying the Parameter Recovery method in order to assess differences and capture the right pattern for thinned and non-thinned stands in the future. Dominant height was not influenced by thinning intensity. Therefore the fitted Chapman-Richards model did not account for a stand being thinned or not. All the fitted equations behaved with good precision, no matter using full or precocious dataset. The prognosis system using full and/or precocious date set was evaluated for when using Parameter Recovery method for Sb and Weibull pdfs, and by then, graphical analysis and precision statistics showed appropriated results. Finally, the increase or decrease in rainfall regime were observed for eucalyptus stand yields and we may notice how important is to observe this effect, since the growth pattern is strictly affected by water.

Sistema de apoio à tomada de decisão para atribuição de responsabilidade por perda de qualidade devido à variação de tensão de curta duração

O ambiente eletromagnético que envolve o planeta Terra tem papel fundamental na preservação e desenvolvimento de todos os seres vivos, e talvez seja uma das últimas fronteiras do conhecimento humano a ser dominada completamente antes de nos aventurarmos ao espaço exterior na busca de novas oportunidades. Esse ambiente, apesar de vir sendo estudado a um longo tempo, só agora esta sendo desbravado e melhor conhecido, tendo como ponto fundamental de apoio o uso de sensores apropriados, que possam detectar e quantificar esses efeitos elétricos, e que sirvam de base para a geração de teorias para explicação dos fenômenos subjacentes, entre os quais os sensores de eletricidade atmosférica. Este trabalho faz uma analise ampla dos sistemas sensores de eletricidade atmosférica em uso nos dias atuais, avaliando seus modelos de funcionamentos, suas limitações e sua inteligência, concluindo por sintetizar especificações básicas para desenvolvimento de melhores sensores e definição de padrões métricos de tipos de variáveis a serem medidas para atendimentos das atuais e futuras demandas nesse campo do conhecimento. Adicionalmente, os processos envolvidos na calibração desses sensores serão abordados, com a revisão de modelos computacionais utilizados, baseado no método dos momentos (MoM) e outros, para avaliação de campos eletromagnéticos emitidos remotamente por padrões de cargas e correntes elétricas, que sirvam de apoio e base para essas calibrações.

Elementos de sensores de eletricidade atmosférica

O ambiente eletromagnético que envolve o planeta Terra tem papel fundamental na preservação e desenvolvimento de todos os seres vivos, e talvez seja uma das últimas fronteiras do conhecimento humano a ser dominada completamente antes de nos aventurarmos ao espaço exterior na busca de novas oportunidades. Esse ambiente, apesar de vir sendo estudado a um longo tempo, só agora esta sendo desbravado e melhor conhecido, tendo como ponto fundamental de apoio o uso de sensores apropriados, que possam detectar e quantificar esses efeitos elétricos, e que sirvam de base para a geração de teorias para explicação dos fenômenos subjacentes, entre os quais os sensores de eletricidade atmosférica. Este trabalho faz uma analise ampla dos sistemas sensores de eletricidade atmosférica em uso nos dias atuais, avaliando seus modelos de funcionamentos, suas limitações e sua inteligência, concluindo por sintetizar especificações básicas para desenvolvimento de melhores sensores e definição de padrões métricos de tipos de variáveis a serem medidas para atendimentos das atuais e futuras demandas nesse campo do conhecimento. Adicionalmente, os processos envolvidos na calibração desses sensores serão abordados, com a revisão de modelos computacionais utilizados, baseado no método dos momentos (MoM) e outros, para avaliação de campos eletromagnéticos emitidos remotamente por padrões de cargas e correntes elétricas, que sirvam de apoio e base para essas calibrações.

L'efficienza degli indici azionari: un'analisi empirica

La studio dell’efficienza di un indice azionario ha accresciuto la propria importanza nell’industria dell’asset management a seguito della diffusione dell’utilizzo di benchmark e investimenti indicizzati. Il presente lavoro valuta il livello di efficienza dei principali indici del mercato azionario statunitense, dell’Area Euro e italiano. Lo studio empirico ricorre a quattro misure di efficienza: il GRS, un test small-sample multivariato fondato sul CAPM; il test large sample di Wald, implementato tramite una simulazione bootstrap; il test GMM, che è stato applicato in una cornice non-gaussiana attraverso una simulazione block bootstrap; la misura di efficienza relativa di Kandel e Stambaugh. I risultati empirici forniscono una prova evidente della superiore efficienza degli indici equiponderati. Questa conclusione è interpretata sulla base della letteratura scientifica esistente, analizzando le diverse cause di ordine teorico ed empirico che sono state proposte.

Estimating Particle Shape and Orientation Using Volume Tensors

We develop statistical procedures for estimating shape and orientation of arbitrary three-dimensional particles. We focus on the case where particles cannot be observed directly, but only via sections. Volume tensors are used for describing particle shape and orientation, and we derive stereological estimators of the tensors. These estimators are combined to provide consistent estimators of the moments of the so-called particle cover density. The covariance structure associated with the particle cover density depends on the orientation and shape of the particles. For instance, if the distribution of the typical particle is invariant under rotations, then the covariance matrix is proportional to the identity matrix. We develop a non-parametric test for such isotropy. A flexible Lévy-based particle model is proposed, which may be analysed using a generalized method of moments in which the volume tensors enter. The developed methods are used to study the cell organization in the human brain cortex.

GMM Based Inference with Standard Stratified Samples when the Aggregate Shares are Known

We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by standard stratified sampling and the maintained assumption is that the aggregate shares are known.

How has financial deepening affected poverty reduction in India? : empirical analysis using state-level panel data

This paper examines empirically whether financial deepening has contributed to poverty reduction in India. Using unbalanced panel data for 28 states and union territories between 1973 and 2004, we estimate models in which the poverty ratio is explained by financial deepening, controlling for international openness, inflation rate, and economic growth. From the dynamic generalised method of moments (GMM) estimation, we find that financial deepening and economic growth alleviate poverty, while international openness and the inflation rate have the opposite effect. These results are robust to changes in the poverty ratios in rural areas, urban areas, and the whole economy.

Simulating heterogeneous multinational firms

This paper develops a micro-simulation framework for multinational entry and sales activities across countries. The model is based on Eaton, Kortum, and Kramarz's (2010) quantitative trade model adapted towards multinational production. Using micro data on Japanese manufacturing firms, we first stylize the empirical regularities of multinational entry and sales activity and estimate the model's structural parameters with simulated method of moments. We then demonstrate that our adapted model is able to replicate important dimensions of the in-sample moments conditioned in our estimation strategy. Importantly, it is able to replicate activity under an economic period with a far different level of FDI barriers than was conditioned upon in our estimation sample. Overall, our research highlights the richness of the simulation framework for performing counterfactual analysis of various FDI policies.