A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

Investment coordination failures and the confidence channel of fiscal policy

Este trabalho desenvolve um novo "canal de Confiança" da política fiscal e caracteriza a política ótima quando esse canal é levado em consideração. Para esse objetivo, utilizamos um modelo estático com (i) concorrência monopolística, (ii) custos de ajustamento fixos para investir, (iii) complementaridade estratégica devido a informação imperfeita com respeito a produtividade agregada, e (iv) bens privados como substitutos imperfeitos de bens privados. Este arcabouço acomoda a possibilidade de falhas de coordenação nos investimentos, mas apresenta um equilíbrio único. Mostramos que a política fiscal tem efeitos importantes na coordenação. Um aumento dos gastos do governo leva a uma maior demanda por bens privados. Mais importante, este também afeta as expectativas de ordem superior com relação a demanda das demais firmas, que amplifica os efeitos do aumento inicial da demanda devido a complementaridade estratégica nas decisões de investimento. Como as demais firmas estão se deparam com uma demanda maior, espera-se que estas invistam mais, que por sua vez, aumenta a demanda individual de cada firma, que aumenta os incentivos a investir. Denominamos isto como o "canal de confiança" da política fiscal. Sob a ameaça de falhas de coordenação, a política fiscal ótima prescreve produzir além do ponto em que o benefício marginal resultante do consumo de bens públicos é igual ao custo marginal desses bens. Este benefício adicional vem do fato de que a política fiscal pode ampliar a coordenação dos investimentos.

Credit borrowing constraints in a DSGE framework: income vs. housing

Credit market in Brazil distinguishes from advanced economies in many aspects. One of them is related to collaterals for households borrowing. This work proposes a DSGE framework, based on Gerali et al.(2010), to analyse one pecularity of Brazillian credit market: payroll-deducted personal loans. To original model, we added the possibility to households contract long term debt and compare to differents types of credit constrains: one based on housing and other based on future income. We callibrate and estimate the model to Brazil, using Bayesian technique. Results show that, in a economy where credit constraints are based on income, responses to shocks appear to be stronger, at first, but dissipate faster. This occurs because income responds quickly to shock than housing prices, so does amount available to loans. In order to smooth consumption, agents compensate lower income and borrowing by increasing working hours, restoring loans and debt in a shorter time.

Ketamine alters oscillatory coupling in the hoppocampus

Recent studies show that higher order oscillatory interactions such as cross-frequency coupling are important for brain functions that are impaired in schizophrenia, including perception, attention and memory. Here we investigated the dynamics of oscillatory coupling in the hippocampus of awake rats upon NMDA receptor blockade by ketamine, a pharmacological model of schizophrenia. Ketamine (25, 50 and 75 mg/kg i.p.) increased gamma and high-frequency oscillations (HFO) in all depths of the CA1-dentate axis, while theta power changes depended on anatomical location and were independent of a transient increase of delta oscillations. Phase coherence of gamma and HFO increased across hippocampal layers. Phase-amplitude coupling between theta and fast oscillations was markedly altered in a dose-dependent manner: ketamine increased hippocampal theta-HFO coupling at all doses, while theta-gamma coupling increased at the lowest dose and was disrupted at the highest dose. Our results demonstrate that ketamine alters network interactions that underlie cognitively relevant theta-gamma coupling.

Utilização de modelos de regressão aleatória para produção de leite no dia do controle, com diferentes estruturas de variâncias residuais

Foram utilizados quatorze modelos de regressão aleatória, para ajustar 86.598 dados de produção de leite no dia do controle de 2.155 primeiras lactações de vacas Caracu, truncadas aos 305 dias. Os modelos incluíram os efeitos fixos de grupo contemporâneo e a covariável idade da vaca ao parto. Uma regressão ortogonal de ordem cúbica foi usada para modelar a trajetória média da população. Os efeitos genéticos aditivos e de ambiente permanente foram modelados por meio de regressões aleatórias, usando polinômios ortogonais de Legendre, de ordens cúbicas. Diferentes estruturas de variâncias residuais foram testadas e consideradas por meio de classes contendo 1, 10, 15 e 43 variâncias residuais e de funções de variâncias (FV) usando polinômios ordinários e ortogonais, cujas ordens variaram de quadrática até sêxtupla. Os modelos foram comparados usando o teste da razão de verossimilhança, o Critério de Informação de Akaike e o Critério de Informação Bayesiano de Schwar. Os testes indicaram que, quanto maior a ordem da função de variâncias, melhor o ajuste. Dos polinômios ordinários, a função de sexta ordem foi superior. Os modelos com classes de variâncias residuais foram aparentemente superiores àqueles com funções de variância. O modelo com homogeneidade de variâncias foi inadequado. O modelo com 15 classes heterogêneas foi o que melhor ajustou às variâncias residuais, entretanto, os parâmetros genéticos estimados foram muito próximos para os modelos com 10, 15 ou 43 classes de variâncias ou com FV de sexta ordem.

Caracterização de estruturas planares com substratos Iso/Anisotrópicos truncados através da técnica da ressonância transversa modificada

This work presents a theoretical and numerical analysis using the transverse resonance technique (TRT) and a proposed MTRT applied in the analysis of the dispersive characteristics of microstrip lines built on truncated isotropic and anisotropic dielectric substrates. The TRT uses the transmission lines model in the transversal section of the structure, allowing to analyze its dispersive behavior. The difference between TRT and MTRT consists basically of the resonance direction. While in the TRT the resonance is calculated in the same direction of the metallic strip normal axis, the MTRT considers the resonance in the metallic strip parallel plane. Although the application of the MTRT results in a more complex equivalent circuit, its use allows some added characterization, like longitudinal section electric mode (LSE) and longitudinal section magnetic mode (LSM), microstrips with truncated substrate, or structures with different dielectric regions. A computer program using TRT and MTRT proposed in this work is implemented for the characterization of microstrips on truncated isotropic and anisotropic substrates. In this analysis, propagating and evanescent modes are considered. Thus, it is possible to characterize both the dominant and higher order modes of the structure. Numerical results are presented for the effective permittivity, characteristic impedance and relative phase velocity for microstrip lines with different parameters and dimensions of the dielectric substrate. Agreement with the results obtained in the literature are shown, as well as experimental results. In some cases, the convergence analysis is also performed by considering the limiting conditions, like particular cases of isotropic materials or structures with dielectric of infinite size found in the literature. The numerical convergence of the formulation is also analyzed. Finally, conclusions and suggestions for the continuity of this work are presented

Variance component estimates applying random regression models for test-day milk yield in Caracu heifers (Bos taurus Artiodactyla, Bovidae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Desenvolvimento e testes de software de um receptor de GPS para uso espacial

Spacecraft move with high speeds and suffer abrupt changes in acceleration. So, an onboard GPS receiver could calculate navigation solutions if the Doppler effect is taken into consideration during the satellite signals acquisition and tracking. Thus, for the receiver subject to such dynamic cope these shifts in the frequency signal, resulting from this effect, it is imperative to adjust its acquisition bandwidth and increase its tracking loop to a higher order. This paper presents the changes in the GPS Orion s software, an open architecture receiver produced by GEC Plessey Semiconductors, nowadays Zarlink, in order to make it able to generate navigation fix for vehicle under high dynamics, especially Low Earth Orbit satellites. GPS Architect development system, sold by the same company, supported the modifications. Furthermore, it presents GPS Monitor Aerospace s characteristics, a computational tool developed for monitoring navigation fix calculated by the GPS receiver, through graphics. Although it was not possible to simulate the software modifications implemented in the receiver in high dynamics, it was observed that the receiver worked in stationary tests, verified also in the new interface. This work also presents the results of GPS Receiver for Aerospace Applications experiment, achieved with the receiver s participation in a suborbital mission, Operation Maracati 2, in December 2010, using a digital second order carrier tracking loop. Despite an incident moments before the launch have hindered the effective navigation of the receiver, it was observed that the experiment worked properly, acquiring new satellites and tracking them during the VSB-30 rocket flight.

Classificação Automática de Modulação Digital com uso de Correntropia para Ambientes de Rádio Cognitivo

Modern wireless systems employ adaptive techniques to provide high throughput while observing desired coverage, Quality of Service (QoS) and capacity. An alternative to further enhance data rate is to apply cognitive radio concepts, where a system is able to exploit unused spectrum on existing licensed bands by sensing the spectrum and opportunistically access unused portions. Techniques like Automatic Modulation Classification (AMC) could help or be vital for such scenarios. Usually, AMC implementations rely on some form of signal pre-processing, which may introduce a high computational cost or make assumptions about the received signal which may not hold (e.g. Gaussianity of noise). This work proposes a new method to perform AMC which uses a similarity measure from the Information Theoretic Learning (ITL) framework, known as correntropy coefficient. It is capable of extracting similarity measurements over a pair of random processes using higher order statistics, yielding in better similarity estimations than by using e.g. correlation coefficient. Experiments carried out by means of computer simulation show that the technique proposed in this paper presents a high rate success in classification of digital modulation, even in the presence of additive white gaussian noise (AWGN)

Efeitos de segunda e terceira ordem da ionosfera no posicionamento GNSS no Brasil

O Sistema de Posicionamento Global (GPS) transmite seus sinais em duas freqüências, o que permite eliminar matematicamente os efeitos de primeira ordem da ionosfera através da combinação linear ionosphere free. Porém, restam os efeitos de segunda e terceira ordem, os quais podem provocar erros da ordem de centímetros nas medidas GPS. Esses efeitos, geralmente, são negligenciados no processamento dos dados GPS. Os efeitos ionosféricos de primeira, segunda e terceira ordem são diretamente proporcionais ao TEC presente na ionosfera, porém, no caso dos efeitos de segunda e terceira ordem, comparecem também o campo magnético da Terra e a máxima densidade de elétrons, respectivamente. Nesse artigo, os efeitos de segunda e terceira ordem da ionosfera são investigados, sendo que foram levados em consideração no processamento de dados GPS na região brasileira para fins de posicionamento. Serão apresentados os modelos matemáticos associados a esses efeitos, as transformações envolvendo o campo magnético da Terra e a utilização do TEC advindo dos Mapas Globais da Ionosfera ou calculados a partir das observações GPS de pseudodistância. O processamento dos dados GPS foi realizado considerando o método relativo estático e cinemático e o posicionamento por ponto preciso (PPP). Os efeitos de segunda e terceira ordem foram analisados considerando períodos de alta e baixa atividade ionosférica. Os resultados mostraram que a não consideração desses efeitos no posicionamento por ponto preciso e no posicionamento relativo para linhas de base longas pode introduzir variações da ordem de poucos milímetros nas coordenadas das estações, além de variações diurnas em altitude da ordem de centímetros.

Structural and Electric-Optical Properties of Zinc Phthalocyanine Evaporated Thin Films: Temperature and Thickness Effects

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

A combination of implicit and adaptative upwind tools for the numerical solution of incompressible free surface flows

This paper is concerned with the numerical solutions of time dependent two-dimensional incompressible flows. By using the primitive variables of velocity and pressure, the Navier-Stokes and mass conservation equations are solved by a semi-implicit finite difference projection method. A new bounded higher order upwind convection scheme is employed to deal with the non-linear (advective) terms. The procedure is an adaptation of the GENSMAC (J. Comput. Phys. 1994; 110: 171-186) methodology for calculating confined and free surface fluid flows at both low and high Reynolds numbers. The calculations were performed by using the 2D version of the Freeflow simulation system (J. Comp. Visual. Science 2000; 2:199-210). In order to demonstrate the capabilities of the numerical method, various test cases are presented. These are the fully developed flow in a channel, the flow over a backward facing step, the die-swell problem, the broken dam flow, and an impinging jet onto a flat plate. The numerical results compare favourably with the experimental data and the analytical solutions. Copyright (c) 2006 John Wiley & Sons, Ltd.

Caracterização tectono-estratigráfica da sequência transicional na sub-bacia de Sergipe

This thesis deals with the tectonic-stratigraphic evolution of the Transitional Sequence in the Sergipe Sub-basin (the southern segment of the Sergipe-Alagoas Basin, Northeast Brazil), deposited in the time interval of the upper Alagoas/Aptian stage. Sequence boundaries and higher order internal sequences were identified, as well as the structures that affect or control its deposition. This integrated approach aimed to characterize the geodynamic setting and processes active during deposition of the Transitional Sequence, and its relations with the evolutionary tectonic stages recognized in the East Brazilian Margin basins. This subject addresses more general questions discussed in the literature, regarding the evolution from the Rift to the Drift stages, the expression and significance of the breakup unconformity, the relationships between sedimentation and tectonics at extensional settings, as well as the control on subsidence processes during this time interval. The tectonic-stratigraphic analysis of the Transitional Sequence was based on seismic sections and well logs, distributed along the Sergipe Sub-basin (SBSE). Geoseismic sections and seismic facies analysis, stratigraphic profiles and sections, were compiled through the main structural blocks of this sub-basin. These products support the depositional and tectonic-stratigraphic evolutionary models built for this sequence. The structural analysis highlighted similarities in deformation styles and kinematics during deposition of the Rift and Transitional sequences, pointing to continuing lithospheric extensional processes along a NW trend (X strain axis) until the end of deposition of the latter sequence was finished by the end of late Aptian. The late stage of extension/rifting was marked by (i) continuous (or as pulses) fault activity along the basin, controling subsidence and creation of depositional space, thereby characterizing upper crustal thinning and (ii) sagstyle deposition of the Transitional Sequence at a larger scale, reflecting the ductile stretching and thinnning of lower and sub crustal layers combined with an increasing importance of the thermal subsidence regime. Besides the late increments of rift tectonics, the Transitional Sequence is also affected by reactivation of the border faults of SBSE, during and after deposition of the Riachuelo Formation (lower section of the Transgressive Marine Sequence, of Albian age). It is possible that this reactivation reflects (through stress propagation along the newlycreated continental margin) the rifting processes still active further north, between the Alagoas Sub-basin and the Pernambuco-Paraíba Basin. The evaporitic beds of the Transitional Sequence contributed to the development of post-rift structures related to halokinesis and the continental margin collapse, affecting strata of the overlying marine sequences during the Middle Albian to the Maastrichtian, or even the Paleogene time interval. The stratigraphic analysis evidenced 5 depositional sequences of higher order, whose vertical succession indicates an upward increase of the base level, marked by deposition of continental siliciclastic systems overlain by lagunar-evaporitic and restricted marine systems, indicating that the Transitional Sequence was deposited during relative increase of the eustatic sea level. At a 2nd order cycle, the Transitional Sequence may represent the initial deposition of a Transgressive Systems Tract, whose passage to a Marine Transgressive Sequence would also be marked by the drowning of the depositional systems. At a 3rd order cycle, the sequence boundary corresponds to a local unconformity that laterally grades to a widespread correlative conformity. This boundary surface corresponds to a breakup unconformity , being equivalent to the Pre-Albian Unconformity at the SBSE and contrasting with the outstanding Pre-upper Alagoas Unconformity at the base of the Transitional Sequence; the latter is alternatively referred, in the literature, as the breakup unconformity. This Thesis supports the Pre-Albian Unconformity as marker of a major change in the (Rift-Drift) depositional and tectonic setting at SBSE, with equivalent but also diachronous boundary surfaces in other basins of the Atlantic margin. The Pre-upper Alagoas Unconformity developed due to astenosphere uplift (heating under high lithospheric extension rates) and post-dates the last major fault pulse and subsequent extensive block erosion. Later on, the number and net slip of active faults significantly decrease. At deep to ultra deep water basin segments, seaward-dipping reflectors (SDRs) are unconformably overlain by the seismic horizons correlated to the Transitional Sequence. The SDRs volcanic rocks overly (at least in part) continental crust and are tentatively ascribed to melting by adiabatic decompression of the rising astenospheric mantle. Even though being a major feature of SBSE (and possibly of other basins), the Pre-upper Alagoas Unconformity do not correspond to the end of lithospheric extension processes and beginning of seafloor spreading, as shown by the crustal-scale extensional structures that post-date the Transitional Sequence. Based on this whole context, deposition of the Transitional Sequence is better placed at a late interval of the Rift Stage, with the advance of an epicontinental sea over a crustal segment still undergoing extension. Along this segment, sedimentation was controled by a combination of thermal and mechanical subsidence. In continuation, the creation of oceanic lithosphere led to a decline in the mechanical subsidence component, extension was transferred to the mesoceanic ridge and the newly-formed continental margin (and the corresponding Marine Sequence) began to be controlled exclusively by the thermal subsidence component. Classical concepts, multidisciplinary data and new architectural and evolutionary crustal models can be reconciled and better understood under these lines

Clinical, cytogenetic and toxicological studies in rural workers exposed to pesticides in Botucatu, São Paulo, Brazil

Pesticidas podem causar mutações gênicas e aberrações cromossômicas em indivíduos expostos. Investigamos 24 trabalhadores expostos a pesticidas, nos quais foram executados exames clínicos e testes citogenéticos e toxicológicos. Dez indivíduos não expostos foram usados como controles. Dosagem toxicológica de cobre, zinco e manganês (metais encontrados em alguns pesticidas), dosagem de enzimas hepáticas (GOT, GPT, AP) e atividade de acetilcolinesterase foram executadas em 16 trabalhadores e oito controles. Nos trabalhadores expostos, os sintomas clínicos mais pertinentes foram digestão pobre, com sensação de plenitude após alimentação, olhos irritados, enxaqueca e fasciculações. O grupo exposto mostrou dosagem de manganês e atividade de acetilcolinesterase significativamente mais baixas, e nível significativamente mais alto de fosfatase alcalina. Estudos citogenéticos mostraram freqüências de aberrações cromossômicas significativamente mais altas no grupo exposto quando comparado ao grupo de controle. Embora usassem vestuário protetor contra névoa de pesticidas, o qual incluía calças de borracha, botas, luvas, máscara e chapéu, os resultados clínicos revelaram que os trabalhadores foram contaminados. Concluímos que estudos citogenéticos, toxicológicos, juntamente com exames clínicos, são importantes no controle da saúde do trabalhador, mesmo em condições de proteção.