PV power forecast using a nonparametric PV model

Forecasting the AC power output of a PV plant accurately is important both for plant owners and electric system operators. Two main categories of PV modeling are available: the parametric and the nonparametric. In this paper, a methodology using a nonparametric PV model is proposed, using as inputs several forecasts of meteorological variables from a Numerical Weather Forecast model, and actual AC power measurements of PV plants. The methodology was built upon the R environment and uses Quantile Regression Forests as machine learning tool to forecast AC power with a confidence interval. Real data from five PV plants was used to validate the methodology, and results show that daily production is predicted with an absolute cvMBE lower than 1.3%.

Family firms and the great crisis: evidence from the italian case

Few studies have analyzed how family firms have acted during the global great crisis in comparison to their nonfamily counterparts. This paper tries to fill this gap on the basis of the Italian experience using a sample of almost 4,500 for 2007 and 2010. We study whether family control affects labour productivity, labour costs and competitiveness and if the adoption of performance related pay (PRP) reveals an efficacious strategy to mitigate the effects of the crisis and reduce the gap in competitiveness with respect to nonfamily firms. We use quantile regression techniques to test the heterogeneous role of PRP and pay attention for its possible endogeneity. We have observed that after the outburst of the crisis, the distance in terms of competitiveness of family firms with respect to their nonfamily counterparts has been amplified. We also find that family firms may take advantage from the adoption of incentive schemes, such as PRP, to encourage commitment and motivation from their employees more than nonfamily firms. The positive role of PRP on labour productivity, coupled with a moderate influence of these schemes on wage premiums, enable them to regain competitiveness also under hostile pressures, as those featuring the strong global crisis.

Formação de preços: uma investigação sobre os atributos envolvidos na definição de preços de produtos de vestuário

Este estudo visa compreender a relação entre os atributos intrínsecos e extrínsecos do produto calça jeans e o seu preço no varejo, tendo como objetivo específico analisar a influência separadamente dos atributos intrínsecos e extrínsecos sobre os preços. Para tanto, utiliza-se da teoria de atributos proposta por Lancaster (1966) e dos métodos de preços hedônicos propostos por Rosen (1974), por meio dos quais é possível observar a importância dos pacotes de atributos intrínsecos e extrínsecos sobre os preços, bem como observar a constituição de pacotes de atributos para diferentes perfis econômicos de consumidores. Foram analisadas 12 categorias de atributos sendo 5 de atributos intrínsecos e outras 7 de atributos extrínsecos. A coleta de dados foi realizada por meio de observação e a pesquisa foi realizada no período de 01 de julho a 31 de julho de 2015 nos maiores shoppings centers e principais lojas de ruas de São Paulo. A partir dos dados coletados, foram realizadas regressão múltipla e a regressão quantílica. A regressão múltipla apresentou o R2 de 58%, nessa análise os principais atributos que influenciam são: loja premium, venda assistida, origem da loja, tamanho da loja (megaloja), tamanho da loja (ampla), lavagem destroyed, resina, modelo flare, lavagem dirty, localização da loja (rua ou shopping), complementos, modelo skinny insumos elastano e poliéster. A regressão quantílica proporciou a análise para 10% das calças mais caras e para os 10% das calças mais baratas. Para as calças mais caras o R2 é de 45% para as calças mais caras há mais atributos extrínsecos do que atributos do produto interferindo no preço, são eles: os insumos poliéster e elastano, lavagem e resinagem, origem da marca da loja, posicionamento da marca, venda assistida, localização da loja, cartão de crédito - private label (nesse caso influenciando negativamente), e tamanho da loja, todos extrínsecos ao produto, se mostraram relevantes para o processo de precificação das calças jeans mais caras observadas nesse estudo. Já para as calças mais baratas, com R2 de 27%, parece haver um equilíbrio entre o número de variáveis intrínsecas e extrínsecas que interferem no preço das calças jeans mais baratas, pois somente a modelagem (atributo intrínseco) e cartão private label (atributo extrínseco) parecem não interferir na precificação. Concluiu-se que há mais atributos extrínsecos que influenciam o preço da calça jeans no varejo.

Is ICT key to development?

Using panel data for 52 developed and developing countries over the period 1998-2006, this article examines the links between information and communication technology diffusion and human development. We conducted a panel regression analysis of the investments per capita in healthcare, education and information and communication technology against human development index scores. Using a quantile regression approach, our findings suggest that changes in healthcare, education and information and communication technology provision have a stronger impact on human development index scores for less developed than for highly developed countries. Furthermore, at lower levels of development education fosters development directly and also indirectly through their enhanced effects on ICT. At higher levels of development education has only an indirect effect on development through the return to ICT.

On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques.By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-?) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI.These results show the benefits of performing the analysis using quantile regression.

On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order- m and order- α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression. © 2013 Elsevier B.V.

The Long-Term impact of Business Support? - Exploring the Role of Evaluation Timing using Micro Data

The original contribution of this work is threefold. Firstly, this thesis develops a critical perspective on current evaluation practice of business support, with focus on the timing of evaluation. The general time frame applied for business support policy evaluation is limited to one to two, seldom three years post intervention. This is despite calls for long-term impact studies by various authors, concerned about time lags before effects are fully realised. This desire for long-term evaluation opposes the requirements by policy-makers and funders, seeking quick results. Also, current ‘best practice’ frameworks do not refer to timing or its implications, and data availability affects the ability to undertake long-term evaluation. Secondly, this thesis provides methodological value for follow-up and similar studies by using data linking of scheme-beneficiary data with official performance datasets. Thus data availability problems are avoided through the use of secondary data. Thirdly, this thesis builds the evidence, through the application of a longitudinal impact study of small business support in England, covering seven years of post intervention data. This illustrates the variability of results for different evaluation periods, and the value in using multiple years of data for a robust understanding of support impact. For survival, impact of assistance is found to be immediate, but limited. Concerning growth, significant impact centres on a two to three year period post intervention for the linear selection and quantile regression models – positive for employment and turnover, negative for productivity. Attribution of impact may present a problem for subsequent periods. The results clearly support the argument for the use of longitudinal data and analysis, and a greater appreciation by evaluators of the factor time. This analysis recommends a time frame of four to five years post intervention for soft business support evaluation.

The long-term impact of business support? - Exploring the role of evaluation timing using micro data

The original contribution of this work is threefold. Firstly, this thesis develops a critical perspective on current evaluation practice of business support, with focus on the timing of evaluation. The general time frame applied for business support policy evaluation is limited to one to two, seldom three years post intervention. This is despite calls for long-term impact studies by various authors, concerned about time lags before effects are fully realised. This desire for long-term evaluation opposes the requirements by policy-makers and funders, seeking quick results. Also, current ‘best practice’ frameworks do not refer to timing or its implications, and data availability affects the ability to undertake long-term evaluation. Secondly, this thesis provides methodological value for follow-up and similar studies by using data linking of scheme-beneficiary data with official performance datasets. Thus data availability problems are avoided through the use of secondary data. Thirdly, this thesis builds the evidence, through the application of a longitudinal impact study of small business support in England, covering seven years of post intervention data. This illustrates the variability of results for different evaluation periods, and the value in using multiple years of data for a robust understanding of support impact. For survival, impact of assistance is found to be immediate, but limited. Concerning growth, significant impact centres on a two to three year period post intervention for the linear selection and quantile regression models – positive for employment and turnover, negative for productivity. Attribution of impact may present a problem for subsequent periods. The results clearly support the argument for the use of longitudinal data and analysis, and a greater appreciation by evaluators of the factor time. This analysis recommends a time frame of four to five years post intervention for soft business support evaluation.

O argumento de inclusão enquanto política de acesso à universidade pública

There are a great number of evidences showing that education is extremely important in many economic and social dimensions. In Brazil, education is a right guaranteed by the Federal Constitution; however, in the Brazilian legislation the right to the three stages of basic education: Kindergarten, Elementary and High School is better promoted and supported than the right to education at College level. According to educational census data (INEP, 2009), 78% of all enrolments in College education are in private schools, while the reverse is found in High School: 84% of all matriculations are in public schools, which shows a contradiction in the admission into the universities. The Brazilian scenario presents that public universities receive mostly students who performed better and were prepared in elementary and high school education in private schools, while private universities attend students who received their basic education in public schools, which are characterized as low quality. These facts have led researchers to raise the possible determinants of student performance on standardized tests, such as the Brazilian Vestibular exam, to guide the development of policies aimed at equal access to College education. Seeking inspiration in North American models of affirmative action policies, some Brazilian public universities have suggested rate policies to enable and facilitate the entry of "minorities" (blacks, pardos1, natives, people of low income and public school students) to free College education. At the Federal University of the state Rio Grande do Norte (UFRN), the first incentives for candidates from public schools emerged in 2006, being improved and widespread during the last 7 years. This study aimed to analyse and discuss the Argument of Inclution (AI) - the affirmative action policy that provides additional scoring for students from public schools. From an extensive database, the Ordinary Least Squares (OLS) technique was used as well as a Quantile Regression considering as control the variables of personal, socioeconomic and educational characteristics of the candidates from the Brazilian Vestibular exam 2010 of the Federal University of the state Rio Grande do Norte (UFRN). The results demonstrate the importance of this incentive system, besides the magnitude of other variables

O argumento de inclusão enquanto política de acesso à universidade pública

There are a great number of evidences showing that education is extremely important in many economic and social dimensions. In Brazil, education is a right guaranteed by the Federal Constitution; however, in the Brazilian legislation the right to the three stages of basic education: Kindergarten, Elementary and High School is better promoted and supported than the right to education at College level. According to educational census data (INEP, 2009), 78% of all enrolments in College education are in private schools, while the reverse is found in High School: 84% of all matriculations are in public schools, which shows a contradiction in the admission into the universities. The Brazilian scenario presents that public universities receive mostly students who performed better and were prepared in elementary and high school education in private schools, while private universities attend students who received their basic education in public schools, which are characterized as low quality. These facts have led researchers to raise the possible determinants of student performance on standardized tests, such as the Brazilian Vestibular exam, to guide the development of policies aimed at equal access to College education. Seeking inspiration in North American models of affirmative action policies, some Brazilian public universities have suggested rate policies to enable and facilitate the entry of "minorities" (blacks, pardos1, natives, people of low income and public school students) to free College education. At the Federal University of the state Rio Grande do Norte (UFRN), the first incentives for candidates from public schools emerged in 2006, being improved and widespread during the last 7 years. This study aimed to analyse and discuss the Argument of Inclution (AI) - the affirmative action policy that provides additional scoring for students from public schools. From an extensive database, the Ordinary Least Squares (OLS) technique was used as well as a Quantile Regression considering as control the variables of personal, socioeconomic and educational characteristics of the candidates from the Brazilian Vestibular exam 2010 of the Federal University of the state Rio Grande do Norte (UFRN). The results demonstrate the importance of this incentive system, besides the magnitude of other variables

A influência do conselho de administração na lucratividade das empresas listadas na BM&FBOVESPA

Dissertação (mestrado)—UnB/UFPB/UFRN, Programa MultiInstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2016.

Colombian mutual funds that invest in stocks: Do they create value?

Esta investigación evalúa el desempeño de 73 fondos de inversión colectiva (FIC) colombianos enfocados en acciones de 2005 a 2015 -- Para cuantificar el valor generado por estos fondos en comparación con sus respectivos activos de referencia (“benchmarks”), se calcula el alfa de Jensen mediante dos metodologías de regresión: Mínimos Cuadrados Ordinarios (MCO) y Regresión por Cuantiles -- También se analiza si estos fondos muestran evidencia de “market timing” o no, utilizando dos modelos: efecto cuadrático y variable binaria interactiva -- De igual manera, nuestro estudio propone la creación de una empresa privada en Colombia que provea a los inversores de información precisa sobre las características y desempeño histórico de estos fondos de inversión colectiva, como lo hace Morningstar Inc. en Estados Unidos -- Esto permitiría a los inversores seleccionar los fondos con mejores perspectivas y, como es de esperarse, haría este mercado más eficiente y atractivo para nuevos inversores potenciales

Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

Essays on employment / education, investment in education and student achievement

Méthodologie: Modèle de régression quantile de variable instrumentale pour données de Panel utilisant la fonction de production partielle

Diferencias regionales en las estructuras de ingresos laborales en Colombia

Dada la persistencia de las diferencias en ingresos laborales por regiones en Colombia, el presente artículo propone cuantificar la magnitud de este diferencial que es atribuida a la diferencia en estructuras de mercado laboral, entendiendo esta última como la diferencia en los retornos a las características de la fuerza laboral. Para ello se propone el uso de un método de descomposición del tipo Oaxaca- Blinder y se compara a Bogotá –la ciudad con mayores ingresos laborales- con otras ciudades principales. Los resultados obtenidos al conducir el ejercicio de descomposición muestran que las diferencias en estructura están a favor de Bogotá y que estas explican más de la mitad de la diferencia total, indicando que si se quieren reducir las disparidades de ingresos laborales entre ciudades no es suficiente con calificar la fuerza laboral y que es necesario indagar por las causas que hacen que los retornos a las características difieran entre ciudades.