Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy-to-implement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional large-sample approximation based on robust standard errors. In contrast, standard residual-based bootstrap methods for models with i.i.d. errors may be very inaccurate if the i.i.d. assumption is violated. We conclude that in many empirical applications the proposed robust bootstrap procedures should routinely replace conventional bootstrap procedures for autoregressions based on the i.i.d. error assumption.

Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Translating climate forecasts into agricultural terms: advances and challenges

Seasonal climate prediction offers the potential to anticipate variations in crop production early enough to adjust critical decisions. Until recently, interest in exploiting seasonal forecasts from dynamic climate models (e.g. general circulation models, GCMs) for applications that involve crop simulation models has been hampered by the difference in spatial and temporal scale of GCMs and crop models, and by the dynamic, nonlinear relationship between meteorological variables and crop response. Although GCMs simulate the atmosphere on a sub-daily time step, their coarse spatial resolution and resulting distortion of day-to-day variability limits the use of their daily output. Crop models have used daily GCM output with some success by either calibrating simulated yields or correcting the daily rainfall output of the GCM to approximate the statistical properties of historic observations. Stochastic weather generators are used to disaggregate seasonal forecasts either by adjusting input parameters in a manner that captures the predictable components of climate, or by constraining synthetic weather sequences to match predicted values. Predicting crop yields, simulated with historic weather data, as a statistical function of seasonal climatic predictors, eliminates the need for daily weather data conditioned on the forecast, but must often address poor statistical properties of the crop-climate relationship. Most of the work on using crop simulation with seasonal climate forecasts has employed historic analogs based on categorical ENSO indices. Other methods based on classification of predictors or weather types can provide daily weather inputs to crop models conditioned on forecasts. Advances in climate-based crop forecasting in the coming decade are likely to include more robust evaluation of the methods reviewed here, dynamically embedding crop models within climate models to account for crop influence on regional climate, enhanced use of remote sensing, and research in the emerging area of 'weather within climate'.

Translating climate forecasts into agricultural terms: advances and challenges

Seasonal climate prediction offers the potential to anticipate variations in crop production early enough to adjust critical decisions. Until recently, interest in exploiting seasonal forecasts from dynamic climate models (e.g. general circulation models, GCMs) for applications that involve crop simulation models has been hampered by the difference in spatial and temporal scale of GCMs and crop models, and by the dynamic, nonlinear relationship between meteorological variables and crop response. Although GCMs simulate the atmosphere on a sub-daily time step, their coarse spatial resolution and resulting distortion of day-to-day variability limits the use of their daily output. Crop models have used daily GCM output with some success by either calibrating simulated yields or correcting the daily rainfall output of the GCM to approximate the statistical properties of historic observations. Stochastic weather generators are used to disaggregate seasonal forecasts either by adjusting input parameters in a manner that captures the predictable components of climate, or by constraining synthetic weather sequences to match predicted values. Predicting crop yields, simulated with historic weather data, as a statistical function of seasonal climatic predictors, eliminates the need for daily weather data conditioned on the forecast, but must often address poor statistical properties of the crop-climate relationship. Most of the work on using crop simulation with seasonal climate forecasts has employed historic analogs based on categorical ENSO indices. Other methods based on classification of predictors or weather types can provide daily weather inputs to crop models conditioned on forecasts. Advances in climate-based crop forecasting in the coming decade are likely to include more robust evaluation of the methods reviewed here, dynamically embedding crop models within climate models to account for crop influence on regional climate, enhanced use of remote sensing, and research in the emerging area of 'weather within climate'.

An integrated mathematical model to evaluate nutrient partition in dairy cattle between the animal and its environment

In the past decade, a number of mechanistic, dynamic simulation models of several components of the dairy production system have become available. However their use has been limited due to the detailed technical knowledge and special software required to run them, and the lack of compatibility between models in predicting various metabolic processes in the animal. The first objective of the current study was to integrate the dynamic models of [Brit. J. Nutr. 72 (1994) 679] on rumen function, [J. Anim. Sci. 79 (2001) 1584] on methane production, [J. Anim. Sci. 80 (2002) 2481 on N partition, and a new model of P partition. The second objective was to construct a decision support system to analyse nutrient partition between animal and environment. The integrated model combines key environmental pollutants such as N, P and methane within a nutrient-based feed evaluation system. The model was run under different scenarios and the sensitivity of various parameters analysed. A comparison of predictions from the integrated model with the original simulation models showed an improvement in N excretion since the integrated model uses the dynamic model of [Brit. J. Nutr. 72 (1994) 6791 to predict microbial N, which was not represented in detail in the original model. The integrated model can be used to investigate the degree to which production and environmental objectives are antagonistic, and it may help to explain and understand the complex mechanisms involved at the ruminal and metabolic levels. A part of the integrated model outputs were the forms of N and P in excreta and methane, which can be used as indices of environmental pollution. (C) 2004 Elsevier B.V All rights reserved.

Alternative approaches to predicting methane emissions from dairy cows

Previous attempts to apply statistical models, which correlate nutrient intake with methane production, have been of limited. value where predictions are obtained for nutrient intakes and diet types outside those. used in model construction. Dynamic mechanistic models have proved more suitable for extrapolation, but they remain computationally expensive and are not applied easily in practical situations. The first objective of this research focused on employing conventional techniques to generate statistical models of methane production appropriate to United Kingdom dairy systems. The second objective was to evaluate these models and a model published previously using both United Kingdom and North American data sets. Thirdly, nonlinear models were considered as alternatives to the conventional linear regressions. The United Kingdom calorimetry data used to construct the linear models also were used to develop the three. nonlinear alternatives that were ball of modified Mitscherlich (monomolecular) form. Of the linear models tested,, an equation from the literature proved most reliable across the full range of evaluation data (root mean square prediction error = 21.3%). However, the Mitscherlich models demonstrated the greatest degree of adaptability across diet types and intake level. The most successful model for simulating the independent data was a modified Mitscherlich equation with the steepness parameter set to represent dietary starch-to-ADF ratio (root mean square prediction error = 20.6%). However, when such data were unavailable, simpler Mitscherlich forms relating dry matter or metabolizable energy intake to methane production remained better alternatives relative to their linear counterparts.

Impact of land cover uncertainties on estimates of biospheric carbon fluxes

Large-scale bottom-up estimates of terrestrial carbon fluxes, whether based on models or inventory, are highly dependent on the assumed land cover. Most current land cover and land cover change maps are based on satellite data and are likely to be so for the foreseeable future. However, these maps show large differences, both at the class level and when transformed into Plant Functional Types (PFTs), and these can lead to large differences in terrestrial CO2 fluxes estimated by Dynamic Vegetation Models. In this study the Sheffield Dynamic Global Vegetation Model is used. We compare PFT maps and the resulting fluxes arising from the use of widely available moderate (1 km) resolution satellite-derived land cover maps (the Global Land Cover 2000 and several MODIS classification schemes), with fluxes calculated using a reference high (25 m) resolution land cover map specific to Great Britain (the Land Cover Map 2000). We demonstrate that uncertainty is introduced into carbon flux calculations by (1) incorrect or uncertain assignment of land cover classes to PFTs; (2) information loss at coarser resolutions; (3) difficulty in discriminating some vegetation types from satellite data. When averaged over Great Britain, modeled CO2 fluxes derived using the different 1 km resolution maps differ from estimates made using the reference map. The ranges of these differences are 254 gC m−2 a−1 in Gross Primary Production (GPP); 133 gC m−2 a−1 in Net Primary Production (NPP); and 43 gC m−2 a−1 in Net Ecosystem Production (NEP). In GPP this accounts for differences of −15.8% to 8.8%. Results for living biomass exhibit a range of 1109 gC m−2. The types of uncertainties due to land cover confusion are likely to be representative of many parts of the world, especially heterogeneous landscapes such as those found in western Europe.

Present state of global wetland extent and wetland methane modelling: conclusions from a model inter-comparison project (WETCHIMP)

Global wetlands are believed to be climate sensitive, and are the largest natural emitters of methane (CH4). Increased wetland CH4 emissions could act as a positive feedback to future warming. The Wetland and Wetland CH4 Inter-comparison of Models Project (WETCHIMP) investigated our present ability to simulate large-scale wetland characteristics and corresponding CH4 emissions. To ensure inter-comparability, we used a common experimental protocol driving all models with the same climate and carbon dioxide (CO2) forcing datasets. The WETCHIMP experiments were conducted for model equilibrium states as well as transient simulations covering the last century. Sensitivity experiments investigated model response to changes in selected forcing inputs (precipitation, temperature, and atmospheric CO2 concentration). Ten models participated, covering the spectrum from simple to relatively complex, including models tailored either for regional or global simulations. The models also varied in methods to calculate wetland size and location, with some models simulating wetland area prognostically, while other models relied on remotely sensed inundation datasets, or an approach intermediate between the two. Four major conclusions emerged from the project. First, the suite of models demonstrate extensive disagreement in their simulations of wetland areal extent and CH4 emissions, in both space and time. Simple metrics of wetland area, such as the latitudinal gradient, show large variability, principally between models that use inundation dataset information and those that independently determine wetland area. Agreement between the models improves for zonally summed CH4 emissions, but large variation between the models remains. For annual global CH4 emissions, the models vary by ±40% of the all-model mean (190 Tg CH4 yr−1). Second, all models show a strong positive response to increased atmospheric CO2 concentrations (857 ppm) in both CH4 emissions and wetland area. In response to increasing global temperatures (+3.4 °C globally spatially uniform), on average, the models decreased wetland area and CH4 fluxes, primarily in the tropics, but the magnitude and sign of the response varied greatly. Models were least sensitive to increased global precipitation (+3.9 % globally spatially uniform) with a consistent small positive response in CH4 fluxes and wetland area. Results from the 20th century transient simulation show that interactions between climate forcings could have strong non-linear effects. Third, we presently do not have sufficient wetland methane observation datasets adequate to evaluate model fluxes at a spatial scale comparable to model grid cells (commonly 0.5°). This limitation severely restricts our ability to model global wetland CH4 emissions with confidence. Our simulated wetland extents are also difficult to evaluate due to extensive disagreements between wetland mapping and remotely sensed inundation datasets. Fourth, the large range in predicted CH4 emission rates leads to the conclusion that there is both substantial parameter and structural uncertainty in large-scale CH4 emission models, even after uncertainties in wetland areas are accounted for.

Review of the literature on credit risk modeling : development of the past 10 years

This paper traces the developments of credit risk modeling in the past 10 years. Our work can be divided into two parts: selecting articles and summarizing results. On the one hand, by constructing an ordered logit model on historical Journal of Economic Literature (JEL) codes of articles about credit risk modeling, we sort out articles which are the most related to our topic. The result indicates that the JEL codes have become the standard to classify researches in credit risk modeling. On the other hand, comparing with the classical review Altman and Saunders(1998), we observe some important changes of research methods of credit risk. The main finding is that current focuses on credit risk modeling have moved from static individual-level models to dynamic portfolio models.

Common cycles in macroeconomic aggregates (revised version)

Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought.

Modelos dinâmicos e simulação estocástica

This paper presents new methodology for making Bayesian inference about dy~ o!s for exponential famiIy observations. The approach is simulation-based _~t> use of ~vlarkov chain Monte Carlo techniques. A yletropolis-Hastings i:U~UnLlllll 1::; combined with the Gibbs sampler in repeated use of an adjusted version of normal dynamic linear models. Different alternative schemes are derived and compared. The approach is fully Bayesian in obtaining posterior samples for state parameters and unknown hyperparameters. Illustrations to real data sets with sparse counts and missing values are presented. Extensions to accommodate for general distributions for observations and disturbances. intervention. non-linear models and rnultivariate time series are outlined.

Modelos dinâmicos não lineares e aplicações de quadratura gaussiana

We propose mo deIs to analyze animal growlh data wilh lhe aim of eslimating and predicting quanlities of Liological and economical interest such as the maturing rate and asymptotic weight. lt is also studied lhe effect of environmenlal facLors of relevant influence in the growlh processo The models considered in this paper are based on an extension and specialization of the dynamic hierarchical model (Gamerman " Migon, 1993) lo a non-Iinear growlh curve sdLillg, where some of the growth curve parameters are considered cxchangeable among lhe unils. The inferencc for thcse models are appruximale conjugale analysis Lascd on Taylor series cxpallsiulIs aliei linear Bayes procedures.

Leakage current behavior of Bi3.25La0.75Ti3O12 ferroelectric thin films deposited on different bottom electrodes

Bi3.25La0.75Ti3O12 (BLT) thin films were grown on LaNiO3 (LNO), RuO2 (RuO2) and La0.5Sr0.5CoO3 (LSCO) bottom electrodes by using the polymeric precursor method and microwave furnace. The bottom electrode is found to be an important parameter which affects the crystallization, morphology and leakage current behaviors. The XRD results clearly show that film deposited on LSCO electrode favours the growth of (117) oriented grains whereas in films deposited on LNO and RuO2 the growth of (001) oriented grains dominated. The film deposited on LSCO has a plate-like grain structure, and its leakage current behavior is in agreement with the prediction of the space-charge-limited conduction model. on the other hand, the films deposited on RuO2 and LNO electrodes present a rounded grain shape with some porosity, and its high field conduction is well explained by the Schottky and Poole-Frenkel emission models. The remanent polarization (P-r) and the drive voltage (V-c) were in the range of 11-23 mu C cm(-2) and 0.86-1.56 V, respectively, and are better than the values found in the literature. (c) 2007 Published by Elsevier B.V.

Spectroscopic characterization of SnO2 gels - Code: CP11

Excitation and dynamic emission spectra of Eu3+ ions were simultaneously used with FTIR and Raman spectroscopy to study the structural evolution during SnO2 sol → gel → xerogel conversion. Results make evident an increase of the surroundings symmetry for the Eu3+ ions dissolved in SnO2 matrix and a decrease of the amount of hydroxo groups (Sn-OH) during drying. These phenomena were associated to the pursuit of the condensation reaction after gelation. © 1994 Kluwer Academic Publishers.

Otimização vetorial e técnicas de mistura de herbicidas aplicadas ao controle de plantas daninhas

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)