A note on Chambers's "long memory and aggregation in macroeconomic time series"

Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time processes, he takes the aliasing effect into account when studying temporal aggregation. For discrete-time processes, however, he seems to fail to do so. This note gives the spectral density function of temporally aggregated long memory discrete-time processes in light of the aliasing effect. The results are different from those in Chambers (1998) and are supported by a small simulation exercise. As a result, the order of aggregation may not be invariant to temporal aggregation, specifically if d is negative and the aggregation is of the stock type.

Public debt sustainability and endogenous seigniorage in Brazil: time-series evidence from 1947-92: revised version

Using national accounts data for the revenue-GDP and expenditureGDP ratios from 1947 to 1992, we examine three central issues in public finance. First, was the path of public debt sustainable during this period? Second, if debt is sustainable, how has the government historically balanced the budget after shocks to either revenues or expenditures? Third, are expenditures exogenous? The results show that (i) public deficit is stationary (bounded asymptotic variance), with the budget in Brazil being balanced almost entirely through changes in taxes, regardless of the cause of the initial imbalance. Expenditures are weakly exogenous, but tax revenues are not; (ii) the behavior of a rational Brazilian consumer may be consistent with Ricardian Equivalence; (iii) seigniorage revenues are critical to restore intertemporal budget equilibrium, since, when we exclude them from total revenues, debt is not sustainable in econometric tests.

Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Sorte versus habilidade, uma abordagem através de cross section da indústria de fundos de ações no Brasil

Neste trabalho testa-se inicialmente se fundos com gestão ativa apresentam alfa (excesso de retorno) em relação aos índices de referência de fundos passivos. Simulações via bootstrap visam indicar se o excesso de retorno apresentado pode ser atribuído apenas à sorte. Com esta metodologia concluiu-se que a carteira agregada de fundos de investimentos de ação com gestão ativa no Brasil não apresenta excesso de retorno em relação aos principais índices da bolsa brasileira, quando líquidos de taxas e despesas. As simulações de bootstrap sugerem que uma quantidade maior de fundos apresenta retornos ajustados ao benchmark do que o esperado pelo efeito da aleatoriedade nos resultados.

A critical value function approach, with an application to persistent time-series

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic islarger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter dificulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.

Time-series-based maximization of distributed wind power generation integration

Energy policies and technological progress in the development of wind turbines have made wind power the fastest growing renewable power source worldwide. The inherent variability of this resource requires special attention when analyzing the impacts of high penetration on the distribution network. A time-series steady-state analysis is proposed that assesses technical issues such as energy export, losses, and short-circuit levels. A multiobjective programming approach based on the nondominated sorting genetic algorithm (NSGA) is applied in order to find configurations that maximize the integration of distributed wind power generation (DWPG) while satisfying voltage and thermal limits. The approach has been applied to a medium voltage distribution network considering hourly demand and wind profiles for part of the U.K. The Pareto optimal solutions obtained highlight the drawbacks of using a single demand and generation scenario, and indicate the importance of appropriate substation voltage settings for maximizing the connection of MPG.

eta ->gamma gamma decay width via the Primakoff cross section

Incoherent eta photoproduction in nuclei is evaluated at forward angles within 4 to 9 GeV using a multiple scattering Monte Carlo cascade calculation with full eta-nucleus final-state interactions. The Primakoff, nuclear coherent and nuclear incoherent components of the cross sections fit remarkably well previous measurements for Be and Cu from Cornell, suggesting a destructive interference between the Coulomb and nuclear coherent amplitudes for Cu. The inelastic background of the data is consistently attributed to the nuclear incoherent part, which is clearly not isotropic as previously considered in Cornell's analysis. The respective Primakoff cross sections from Be and Cu give Gamma(eta ->gamma gamma)=0.476(62) keV, where the quoted error is only statistical. This result is consistent with the Particle Data Group average of 0.510(26) keV and in sharp contrast (similar to 50%) with the value of 0.324(46) keV obtained at Cornell.

Measurement of the p(p)over-bar -> WZ+X cross section at root s=1.96 TeV and limits on WWZ trilinear gauge couplings

We present measurements of the process p (P) over bar -> WZ + X -> l 'nu(l ')l (l) over bar at root s = 1:96 TeV,where l and l ' are electrons or muons. Using 1 fb(-1) of data from the D0 experiment, we observe 13 candidates with an expected background of 4.5 +/- 0.6 events and measure a cross section sigma(WZ) = 2.7(-1.3)(+1.7) pb. From the number of observed events and the Z boson transverse momentum distribution, we limit the trilinear WWZ gauge couplings to -0: 17 <= lambda(Z) <= 0.21 (Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C.L. for a form factor scale Lambda = 2 TeV. Further, assuming that Delta g(1)(Z) = Delta k(Z), we find -0.12 <= Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C. L. These are the most restrictive limits on the WWZ couplings available to date.

Absorption cross section of electromagnetic waves for Schwarzschild black holes

The absorption cross section of black holes has been investigated for various fields. Nevertheless, the absorption cross section of Schwarzschild black holes for the electromagnetic field has been only calculated in the low- and high-frequency approximations until now. Here we compute it numerically for arbitrary frequencies.

Charmonium-pion cross section from QCD sum rules

The J/psipi --> (D) over barD*, D (D) over bar*, (D) over bar *D* and (D) over barD cross sections as a function of roots are evaluated in a QCD sum rule calculation. We study the Borel sum rule for the four point function involving pseudoscalar and vector meson currents, up to dimension four in the operator product expansion. We find that our results are smaller than the J/psipi --> charmed mesons cross sections obtained with models based on meson exchange, but are close to those obtained with quark exchange models. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Hadronic form factors and the J/psi secondary production cross section: An update

Improving previous calculations, we compute the D + (D) over bar J/psi + pi cross section using the most complete effective Lagrangians available. The new crucial ingredients are the form factors on the charm meson vertices, which are determined from QCD sum rules calculations. Some of them became available only very recently, and the last one, needed for our present purpose, is calculated in this work.

Measurement of the isolated photon cross section in p(p)over-bar collisions at root s=1.96 TeV

The cross section for the inclusive production of isolated photons has been measured in p (p) over bar collisions at root s = 1.96 TeV with the DO detector at the Fermilab Tevatron Collider. The photons span transverse momenta 23 to 300 GeV and have pseudorapidity vertical bar n vertical bar < 0.9. The cross section is compared with the results from two next-to-leading order perturbative QCD calculations. The theoretical predictions agree with the measurement within uncertainties. (c) 2006 Elsevier B.V. All rights reserved.