Productivity growth in electric energy retail in Colombia. A bootstrapped malmquist indices approach

This paper offers a productivity growth estimate for electric energy commercialization firms in Colombia, using a non-parametric Malmquist bootstrap methodology. The estimation and methodology serve two main purposes. First, in Colombia Commercialization firms are subject to a price-cap regulation scheme, a non-common arrangement in the international experience for this part of the industry. Therefore the paper’s result suggest an estimate of the productivity factor to be used by the regulator, not only in Colombia but in other countries where commercialization is a growing part of the industry (renewable energy, for instance). Second, because of poor data collection from regulators and firms themselves, regulation based on a single estimation of productivity seems inappropriate and error-prone. The nonparametric Malmquist bootstrap estimation allows an assessment of the result in contrast to a single one estimation. This would open an opportunity for the regulator to adopt a narrower and more accurate productivity estimation or override an implausible result and impose a productivity factor in the price-cap to foster the development of the industry.

The crime kuznets curve

We document the existence of a Crime Kuznets Curve in US states since the 1970s. As income levels have risen, crime has followed an inverted U-shaped pattern, first increasing and then dropping. The Crime Kuznets Curve is not explained by income inequality. In fact, we show that during the sample period inequality has risen monotonically with income, ruling out the traditional Kuznets Curve. Our finding is robust to adding a large set of controls that are used in the literature to explain the incidence of crime, as well as to controlling for state and year fixed effects. The Curve is also revealed in nonparametric specifications. The Crime Kuznets Curve exists for property crime and for some categories of violent crime.

Image segmentation integrating colour, texture and boundary information

La tesis se centra en la Visión por Computador y, más concretamente, en la segmentación de imágenes, la cual es una de las etapas básicas en el análisis de imágenes y consiste en la división de la imagen en un conjunto de regiones visualmente distintas y uniformes considerando su intensidad, color o textura. Se propone una estrategia basada en el uso complementario de la información de región y de frontera durante el proceso de segmentación, integración que permite paliar algunos de los problemas básicos de la segmentación tradicional. La información de frontera permite inicialmente identificar el número de regiones presentes en la imagen y colocar en el interior de cada una de ellas una semilla, con el objetivo de modelar estadísticamente las características de las regiones y definir de esta forma la información de región. Esta información, conjuntamente con la información de frontera, es utilizada en la definición de una función de energía que expresa las propiedades requeridas a la segmentación deseada: uniformidad en el interior de las regiones y contraste con las regiones vecinas en los límites. Un conjunto de regiones activas inician entonces su crecimiento, compitiendo por los píxeles de la imagen, con el objetivo de optimizar la función de energía o, en otras palabras, encontrar la segmentación que mejor se adecua a los requerimientos exprsados en dicha función. Finalmente, todo esta proceso ha sido considerado en una estructura piramidal, lo que nos permite refinar progresivamente el resultado de la segmentación y mejorar su coste computacional. La estrategia ha sido extendida al problema de segmentación de texturas, lo que implica algunas consideraciones básicas como el modelaje de las regiones a partir de un conjunto de características de textura y la extracción de la información de frontera cuando la textura es presente en la imagen. Finalmente, se ha llevado a cabo la extensión a la segmentación de imágenes teniendo en cuenta las propiedades de color y textura. En este sentido, el uso conjunto de técnicas no-paramétricas de estimación de la función de densidad para la descripción del color, y de características textuales basadas en la matriz de co-ocurrencia, ha sido propuesto para modelar adecuadamente y de forma completa las regiones de la imagen. La propuesta ha sido evaluada de forma objetiva y comparada con distintas técnicas de integración utilizando imágenes sintéticas. Además, se han incluido experimentos con imágenes reales con resultados muy positivos.

Application of a double bootstrap to investigation of determinants of technical efficiency of farms in Central Europe

The paper provides one of the first applications of the double bootstrap procedure (Simar and Wilson 2007) in a two-stage estimation of the effect of environmental variables on non-parametric estimates of technical efficiency. This procedure enables consistent inference within models explaining efficiency scores, while simultaneously producing standard errors and confidence intervals for these efficiency scores. The application is to 88 livestock and 256 crop farms in the Czech Republic, split into individual and corporate.

Application of a double bootstrap to investigation of determinants of technical efficiency of farms in Central Europe

The paper provides one of the first applications of the double bootstrap procedure (Simar and Wilson 2007) in a two-stage estimation of the effect of environmental variables on non-parametric estimates of technical efficiency. This procedure enables consistent inference within models explaining efficiency scores, while simultaneously producing standard errors and confidence intervals for these efficiency scores. The application is to 88 livestock and 256 crop farms in the Czech Republic, split into individual and corporate.

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Non-stationary frequency analysis of extreme daily rainfall in Sao Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Nonparametric specification tests for conditional duration models

This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.

Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

Prevendo a volatilidade realizada de ações brasileiras : evidências empíricas

Este estudo compara previsões de volatilidade de sete ações negociadas na Bovespa usando 02 diferentes modelos de volatilidade realizada e 03 de volatilidade condicional. A intenção é encontrar evidências empíricas quanto à diferença de resultados que são alcançados quando se usa modelos de volatilidade realizada e de volatilidade condicional para prever a volatilidade de ações no Brasil. O período analisado vai de 01 de Novembro de 2007 a 30 de Março de 2011. A amostra inclui dados intradiários de 5 minutos. Os estimadores de volatilidade realizada que serão considerados neste estudo são o Bi-Power Variation (BPVar), desenvolvido por Barndorff-Nielsen e Shephard (2004b), e o Realized Outlyingness Weighted Variation (ROWVar), proposto por Boudt, Croux e Laurent (2008a). Ambos são estimadores não paramétricos, e são robustos a jumps. As previsões de volatilidade realizada foram feitas através de modelos autoregressivos estimados para cada ação sobre as séries de volatilidade estimadas. Os modelos de variância condicional considerados aqui serão o GARCH(1,1), o GJR (1,1), que tem assimetrias em sua construção, e o FIGARCH-CHUNG (1,d,1), que tem memória longa. A amostra foi divida em duas; uma para o período de estimação de 01 de Novembro de 2007 a 30 de Dezembro de 2010 (779 dias de negociação) e uma para o período de validação de 03 de Janeiro de 2011 a 31 de Março de 2011 (61 dias de negociação). As previsões fora da amostra foram feitas para 1 dia a frente, e os modelos foram reestimados a cada passo, incluindo uma variável a mais na amostra depois de cada previsão. As previsões serão comparadas através do teste Diebold-Mariano e através de regressões da variância ex-post contra uma constante e a previsão. Além disto, o estudo também apresentará algumas estatísticas descritivas sobre as séries de volatilidade estimadas e sobre os erros de previsão.

Precificação de derivativos de taxa de juros utilizando o modelo HJM multifatorial com estrutura de volatilidade não paramétrica

Com o objetivo de precificar derivativos de taxas de juros no mercado brasileiro, este trabalho foca na implementação do modelo de Heath, Jarrow e Morton (1992) em sua forma discreta e multifatorial através de uma abordagem numérica, e, que possibilita uma grande flexibilidade na estimativa da taxa forward sob uma estrutura de volatilidade baseada em fatores ortogonais, facilitando assim a simulação de sua evolução por Monte Carlo, como conseqüência da independência destes fatores. A estrutura de volatilidade foi construída de maneira a ser totalmente não paramétrica baseada em vértices sintéticos que foram obtidos por interpolação dos dados históricos de cotações do DI Futuro negociado na BM&FBOVESPA, sendo o período analisado entre 02/01/2003 a 28/12/2012. Para possibilitar esta abordagem foi introduzida uma modificação no modelo HJM desenvolvida por Brace e Musiela (1994).

Inequality treatment effects

This paper presents semiparametric estimators for treatment effects parameters when selection to treatment is based on observable characteristics. The parameters of interest in this paper are those that capture summarized distributional effects of the treatment. In particular, the focus is on the impact of the treatment calculated by differences in inequality measures of the potential outcomes of receiving and not receiving the treatment. These differences are called here inequality treatment effects. The estimation procedure involves a first non-parametric step in which the probability of receiving treatment given covariates, the propensity-score, is estimated. Using the reweighting method to estimate parameters of the marginal distribution of potential outcomes, in the second step weighted sample versions of inequality measures are.computed. Calculations of semiparametric effciency bounds for inequality treatment effects parameters are presented. Root-N consistency, asymptotic normality, and the achievement of the semiparametric efficiency bound are shown for the semiparametric estimators proposed. A Monte Carlo exercise is performed to investigate the behavior in finite samples of the estimator derived in the paper.

Estimação de parâmetros genéticos para resistência à infecção por IMNV em camarões Litopenaeus vannamei por meio de análise de sobrevivência

The main specie of marine shrimp raised at Brazil and in the world is Litopenaeus vannamei, which had arrived in Brazil in the `80s. However, the entry of infectious myonecrosis virus (IMNV), causing the infectious myonecrosis disease in marine shrimps, brought economic losses to the national shrimp farming, with up to 70% of mortality in the shrimp production. In this way, the objective was to evaluate the survival of shrimps Litopenaeus vannamei infected with IMNV using the non parametric estimator of Kaplan-Meier and a model of frailty for grouped data. It were conducted three tests of viral challenges lasting 20 days each, at different periods of the year, keeping the parameters of pH, temperature, oxygen and ammonia monitored daily. It was evaluated 60 full-sib families of L. vannamei infected by IMNV in each viral challenge. The confirmation of the infection by IMNV was performed using the technique of PCR in real time through Sybr Green dye. Using the Kaplan-Meier estimator it was possible to detect significant differences (p <0.0001) between the survival curves of families and tanks and also in the joint analysis between viral challenges. It were estimated in each challenge, genetic parameters such as genetic value of family, it`s respective rate risk (frailty), and heritability in the logarithmic scale through the frailty model for grouped data. The heritability estimates were respectively 0.59; 0.36; and 0.59 in the viral challenges 1; 2; and 3, and it was also possible to identify families that have lower and higher rates of risk for the disease. These results can be used for selecting families more resistant to the IMNV infection and to include characteristic of disease resistance in L. vannamei into the genetic improvement programs

Estimativa populacional e uso do hábitat do boto-cinza (Sotalia guianensis) no litoral sul do Rio Grande do Norte

Four areas are known as of frequent usage by Guiana dolphins (Sotalia guianensis) in the south coast of Rio Grande do Norte state, northeast Brazil: Tabatinga, Pipa, Lagoa de Guaraíras and Baia Formosa. This extension of 40 km of shoreline is under increasing anthropogenic impacts due to continuous development of the coastal areas and vessel traffic. The objective of this study was to investigate aspects of population biology and habitat use of the population of Sotalia guianensis in the south coast of Rio Grande do Norte. It was applied the photo-identification technique and posterior methods of capture-recapture for population estimation (POPAN extension in MARK). The distribution, movement and site fidelity of the dolphins were analyzed trough the geographic information system (GIS) and group characteristics and behavior trough non-parametric statistics. Field work was conducted on board a 10m motor vessel from March 2008 to March 2009. Photo-identification effort was 329h with 113h of direct observation of the dolphins. The population estimatives for each area: Tabatinga: 75 (63-92); Pipa 105 (88-129); Lagoa de Guaraíras: 27 (18-54) e Baia Formosa: 112 (89-129) individuals. Total population estimative was: 223 (192 a 297). High site fidelity was detected for only part of the population (<15%) as low site fidelity and transients individuals were also detected (>20%). It was observed frequent movements between Tabatinga, Lagoa de Guaraíras and Pipa, but not Baía Formosa. This suggests a division in two communities along this shore extension: one in Pipa and other in Baía Formosa. Group size was small, most groups with up to 10 dolphins. The areas were use intensively, only in Lagoa de Guaraíras dolphins were not seen in all field trips. Lagoa de Guaraíras is an area used by small groups exclusively for foraging. In Tabatinga and Pipa dolphins concentrated close to the shore, in the inner sector of the area and the main activity is also foraging. Significant larger groups were seen in socializing behavior but there was no difference in group size between the inner and external sectors of the area. The presence of calves and juveniles were significant greater in the inner areas of Tabatinga and Pipa, confirming the hypothesis that these beaches are also used for parental care. In Baia Formosa dolphins concentrated in the outer sector and foraging was also predominant. Significant larger groups were seen in the outer sector, mainly engaged in mixed behaviors of travel/foraging, possibly in some kind of group foraging. Calves and juveniles were significant more present in the outer sector where group size was also larger. In general there was no difference in area usage and period of the day. Sotalia guianensis has characteristics that make the species vulnerable to human activities such as small population concentrated in patches of suitable habitats restrict to coastal areas. We hope that this study bring new information for the species and help for the adequate management of the area in order to assure the presence of the dolphins as well as its behavior pattern and gene flow betweencommunities.

Non-stationary frequency analysis of extreme daily rainfall in São Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of São Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of São Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society