Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Automatic model selection for forecasting brazilian stock returns

This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We nd that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.

Automatic model selection for forecasting Brazilian stock returns

This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We find that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Evaluation of an average numerator relationship matrix model and a Bayesian hierarchical model for growth traits in Nellore cattle with uncertain paternity

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

A comparison of statistical methods for genomic selection in a mice population

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

Incommensurate spin-density-wave and metal-insulator transition in the one-dimensional periodic Anderson model

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

The Conway-Maxwell-Poisson-generalized gamma regression model with long-term survivors

In this paper, we proposed a flexible cure rate survival model by assuming the number of competing causes of the event of interest following the Conway-Maxwell distribution and the time for the event to follow the generalized gamma distribution. This distribution can be used to model survival data when the hazard rate function is increasing, decreasing, bathtub and unimodal-shaped including some distributions commonly used in lifetime analysis as particular cases. Some appropriate matrices are derived in order to evaluate local influence on the estimates of the parameters by considering different perturbations, and some global influence measurements are also investigated. Finally, data set from the medical area is analysed.

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Double sampling (x)over-bar control chart for a first-order autoregressive moving average process model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparative study between trimetazidine and ice slush hypothermia in protection against renal ischemia/reperfusion injury in a porcine model

Purpose: The aim of the study was to compare the effects of renal ice slush hypothermia and the use of trimetazidine in the protection against ischemia/reperfusion (I/R) injury.Materials and Methods: Fifteen farm pigs were submitted to left kidney ischemia and right nephrectomy during the same procedure. Animals were divided into three groups. Group 1 was submitted to warm ischemia; Group 2 was submitted to cold ischemia with ice slush; and Group 3 received trimetazidine 20 mg one day and 4 hours before surgery. Ischemia time was 120 minutes in all three groups. Serum creatinine (SCr) and plasma iohexol clearance (CLioh) were measured before surgery and on postoperative days (PODs) 1,3,7, and 14. Semi-quantitative analyses of histological alterations were performed by a pathologist. A p value of < 0.05 was considered significant.Results: All groups showed elevation of serum creatinine in the first week. Serum creatinine was higher in Group 3 in the first and third postoperative days (Mean Cr: 5.5 and 8.1 respectively). Group 2 showed a lower increase in creatinine and a lower decrease in iohexol clearance than the others. Renal function stabilized in the fourteenth POD in all three groups. Analyses of histological alterations did not reach statistical significance between groups.Conclusion: Trimetazidine did not show protection against renal I/R injury in comparison to warm ischemia or hypothermia in a porcine model submitted to 120 minutes of renal ischemia.

Influence of ovariectomy on healing of autogenous bone block grafts in the mandible: A histomorphometric study in an aged rat model

Purpose: The aim of this study was to evaluate quantitatively and qualitatively the influence of estrogen deficiency on autogenous bone block grafts in aged variectomized rats. Materials and Methods: Fifty 12-month-old female Wistar rats were used in the study. They were divided into 2 groups, an ovariectomized group and a sham-operated group. After 30 days the animals received autogenous block bone grafts on the angle of the mandible, harvested from the calvaria. The animals were euthanized at 7, 14, or 28 days postoperatively. Results: Histologic analysis showed that at 7 days postsurgery, the interface between graft and recipient site in the sham-operated group appeared filled by a granulation tissue with angiogenic activity, whereas the ovariectomized group still exhibited a blood clot and a granulation tissue in organization. on the 14th postoperative day, the interface in the shamoperated group was partially filled by newly formed bone establishing a union between the graft and the recipient site. The interface in the ovariectomized group was typically filled by granulation tissue with discrete osteogenic activity in most specimens. on the 28th postoperative day, the graft in the sham-operated group appeared histologically integrated to the mandible. However, the interface in the ovariectomized group appeared partially filled by newly formed bone, with areas of interposed connective tissue. The statistical analysis revealed that bone neoformation was significantly greater in the sham-operated group (57.41% at 14 days and 68.35 at 28 days) in comparison with the ovariectomized group (40.82% at 14 days and 53.09 at 28 days) at the 5% level. Conclusion: The estrogen depletion caused by the ovariectomy hindered the healing process of autogenous block bone grafts placed in the mandibles of aged rats.

Statistical methods for assessing agreement between double readings of clinical measurements

Statistical analysis of data is crucial in cephalometric investigations. There are certainly excellent examples of good statistical practice in the field, but some articles published worldwide have carried out inappropriate analyses. Objective: The purpose of this study was to show that when the double records of each patient are traced on the same occasion, a control chart for differences between readings needs to be drawn, and limits of agreement and coefficients of repeatability must be calculated. Material and methods: Data from a well-known paper in Orthodontics were used for showing common statistical practices in cephalometric investigations and for proposing a new technique of analysis. Results: A scatter plot of the two radiograph readings and the two model readings with the respective regression lines are shown. Also, a control chart for the mean of the differences between radiograph readings was obtained and a coefficient of repeatability was calculated. Conclusions: A standard error assuming that mean differences are zero, which is referred to in Orthodontics and Facial Orthopedics as the Dahlberg error, can be calculated only for estimating precision if accuracy is already proven. When double readings are collected, limits of agreement and coefficients of repeatability must be calculated. A graph with differences of readings should be presented and outliers discussed.

A Generalized Log-Normal Model for Grouped Survival Data

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)