An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. in this paper, we first show that this least squares bias induces a significant increase in the bias and mean-squared error of kernel-based estimators.

Do Inflation-Targeting Central Banks Implicitly Target the Price Level?

This paper reports graphical and statistical evidence that the inflation targeting regimes in Canada and the UK - but not in Australia, New Zealand, or Sweden - actually resemble price-level targeting. In particular, the price level closely tracks the path implied by the inflation target, and the time-series predictions of the "bygones-are-bygones" version of inflation targeting are rejected by the data in favor of those implied by price-level targeting. These results indicate heterogeneity in the actual application of inflation targeting across countries and, for Canada and the UK, imply that the characterization of inflation targeting as a policy where shocks are accommodated is at odds with the data. Moreover, up to extent that their current policies already resemble price-level targeting, the welfare gains of replacing inflation with (explicit) price-level targeting are likely to be small.

Seasonal adjustment and cointegration

El documento examina el efecto de filtros de ajuste en el tamaño y poder de prueba de cointegración que usan los residuales como pruebas ADF y PP, mediante procedimientos MonteCarlo y una aplicación empírica. Nuestros resultados indican que el uso de filtros distorsiona el tamaño y reduce el poder de estas pruebas.

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Output convergence in Mercosur: multivariate time series evidence

The aim of this paper is to provide evidence on output convergence among the Mercosur countries and associates, using multivariate time-series tests. The methodology is based on a combination of tests and estimation procedures, both univariate and multivariate, applied to the differences in per capita real income. We use the definitions of time-series convergence proposed by Bernard & Durlauf and apply unit root and tests proposed by Abuaf & Jorion and Taylor & Sarno. In this same multivariate context, the Flôres, Preumont & Szafarz and Breuer, MbNown & Wallace tests, which allow for the existence of correlations across the series without imposing a common speed of mean reversion, identify the countries that convergence. Concerning the empirical results, there is evidence of long-run convergence or, at least, catching up, for the smaller countries, Bolivia, Paraguay, Peru and Uruguay, towards Brazil and, to some extent, Argentina. In contrast, the evidence on convergence for the larger countries is weaker, as they have followed different (or rather opposing) macroeconomic policy strategies. Thus the future of the whole area will critically depend on the ability of Brazil, Argentina and Chile to find some scope for more cooperative policy actions.

A new perspective on the PPP hypothesis

This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.

Monetary union and productivity differences in mercosur countries

This paper investigates cross-country productivity convergence among Mercosur members plus associates (Chile and Bolivia) and Peru, during the period 1960-1999. The testing strategy is based on the definitions of time-series convergence by Bernard and Durlauf (1995), and applies sequentially the multivariate unit root tests proposed by Sarno and Taylor (1998), Flôres, Preumont and Szafarz (1995) and Breuer, Mc Nown and Wallace (1999). The last two tests allow to identify the countries that converge. Our results show evidence of convergence among the four Mercosur countries, using either Argentina or Brazil as benchmark. Weaker evidence of convergence is also found with Bolivia. The results point out that monetary union among the Southern Cone economies, though a far objective, is not without sense.

Consumo de bens duráveis e poupança em uma nova trajetória de comportamento do consumidor brasileiro

O trabalho avalia a dinâmica descrita pelo consumo de bens duráveis e poupança dos consumidores brasileiros entre setembro de 2005 e abril de 2011 e contribui com a literatura ao utilizar como ferramenta de análise um modelo autoregressivo com valor limite endógeno e dados qualitativos da pesquisa Sondagem de Expectativas do Consumidor Brasileiro, da FGV. Indicadores qualitativos para essas duas variáveis foram calculados e a metodologia proposta permitiu investigar, simultaneamente, a linearidade e estacionaridade de suas trajetórias. Os resultados sugerem, em ambos os casos, uma dinâmica não-linear com raiz unitária parcial. Adicionalmente, a estacionaridade constatada a partir de um valor limite estimado de 3,3 pontos percentuais para o Indicador de Compras de Bens Duráveis e de 3,6 pontos percentuais para o Indicador de Poupança permitem classificar seus históricos com indícios de saturação da capacidade de poupança e consumo dos indivíduos.

Avaliação nutricional, em tilápias-do-nilo, de farinhas de sangue bovino obtidas por três métodos de processamento

Avaliaram-se farinhas de sangue obtidas pelos métodos de processamento em tambor, convencional e atomização. As farinhas foram submetidas ao processo de extração e fracionamento da proteína para determinação do perfil do tamanho molecular, que foi comparado ao do sangue bovino in natura. Nas amostras, submetidas ou não ao processo de desengorduramento, foram realizadas análises da digestibilidade in vitro da proteína. Para determinação dos coeficientes de digestibilidade dos nutrientes in vivo, foram confeccionadas quatros rações, sendo uma sem farinha de sangue, denominada ração-referência purificada. Para essa etapa, juvenis de tilápia-do-nilo com peso médio inicial de 100,0±5,0 g foram estocados em aquários de 250 L, em delineamento de blocos casualizados, com quatro repetições e dez peixes/unidade experimental. As rações-teste foram obtidas com a introdução de 30% das farinhas de sangue em estudo. O processamento afetou a estrutura proteica original do sangue in natura em condições de alta temperatura e tempo prolongado, efeito traduzido pela alta proporção de peptídeos de baixo peso molecular e aminoácidos livres, correspondendo a baixos valores de digestibilidade da proteína da farinha de sangue nos testes in vivo e in vitro. A farinha de sangue atomizada e a de tambor são eficientemente utilizadas por tilápias-do-nilo. Na farinha de sangue convencional, a proteína teve valor biológico inferior ao das outras duas farinhas. Na formulação de rações contendo farinha de sangue para tilápias-do-nilo, a isoleucina deve ser considerada o primeiro aminoácido limitante, seguida pela metionina+cistina, arginina e treonina, que foram encontradas em níveis críticos para essa espécie, principalmente na farinha de sangue convencional.

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Avanços metodológicos na avaliação de alimentos e de exigências nutricionais para aves e suínos

A produção industrial de aves e suínos mostrou enormes avanços nos últimos anos, principalmente devido ao aumento dos conhecimentos na área de genética e de nutrição. Na área de avaliação dos alimentos e das exigências nutricionais de animais monogástricos, as melhoras se dão a passos largos, devido á seriedade com que os profissionais encaram a responsabilidade de fazer pesquisa de qualidade dentro e fora do país. Neste trabalho serão abordadas as metodologias que permitem melhorar a utilização dos alimentos de maneira mais eficiente e econômica. Serão citados alguns cuidados e procedimentos essenciais para executar adequadamente experimentos de desempenho com aves e suínos. Na atualidade, para a realização de experimentos com monogástricos, é necessário: definir claramente os objetivos, utilizar animais com peso inicial uniforme, usar número adequado de repetições e de animais por unidade experimental. Testes de médias devem ser usados para as variáveis qualitativas e quando a variável independente for quantitativa aplicar análise de regressão. O nível de significância utilizado (5, 7, 10%) pode variar conforme a importância econômica da característica estudada. A adequada condução dos ensaios, sejam de crescimento ou de digestibilidade, é fundamental para que as ferramentas apresentadas possam ter efetividade, resultando na melhora da produtividade e na redução dos custos e da excreção de nutrientes.

Aplicação de adesivos estruturais em painéis de carros

The automobile industry is increasingly interested in reducing vehicle weight for greater speed, lower fuel consumption and emissions, through innovation of materials and processes. One way to do this is to seek the replacement of conventional processes by the use of structural adhesives. Structural adhesives are highly resistant materials, which can replace rivets, bolts and welds allowing the substrate / adhesive assemble is stronger than the substrate itself. One of the major advantages of gluing with respect to welding is its esthetic appearance, since it does not leave marks. For this reason, parts to be soldered require a minimum thickness so that the marks do not appear, since the pieces from gluing have no restriction as to the thickness. By replacing the vibration welding process for gluing process of the instrument panel parts of an automobile, one obtains a reduction of the thickness of the parts and therefore it decreases the weight of the car. This work aims to study the various structural adhesives that already exist on the market to be applied on the instrument panel. The mechanical test performed to measure the maximum adhesive strength was the Lap Shear Test at 23°C (room temperature), -35°C and 85°C. The types of adhesives used were the hot-melt and the bi-component. By the results obtained, it is in favor using the bi-component for application to the union of instrument panel parts

Static postural balance study in patients with vestibular disorders using a three dimensional eletromagnetic sensor system

The vestibular-ocular reflex assessment is important, but not enough. Tridimensional electromagnetic sensor systems represent a new method to assess posturography. Aim: To assess body sway in healthy subjects who had positive Dix Hallpike and Epley maneuvers and with other vestibular dysfunctions by means of a three-dimensional system. Study design: Prospective. Materials and Methods: We had 23 healthy women, 15 with peripheral vestibular dysfunction found upon caloric test and 10 with positive Epley and Dix Hallpike maneuvers. All tests performed in the following positions: open and closed eyes on stable and unstable surfaces. Results: With the Eyes Open and on a stable surface, p < 0.01 between the control group and the one with peripheral vestibular dysfunction in all variables, except the a-p maximum, full speed and mediolateral trajectory velocity, which had a p < 0.01 between the group with vestibular dysfunction and controls in all positions. The group with positive Epley and Dix Hallpike maneuvers had p < 0.01 at full speed and in its components in the x and y in positions with open and eyes closed on an unstable surface. Conclusion: The tridimensional electromagnetic sensors system was able to generate reliable information about body sway in the study volunteers.

Frobenius polynomials for Calabi-Yau equations

Sei $\pi:X\rightarrow S$ eine \&quot;uber $\Z$ definierte Familie von Calabi-Yau Varietaten der Dimension drei. Es existiere ein unter dem Gauss-Manin Zusammenhang invarianter Untermodul $M\subset H^3_{DR}(X/S)$ von Rang vier, sodass der Picard-Fuchs Operator $P$ auf $M$ ein sogenannter {\em Calabi-Yau } Operator von Ordnung vier ist. Sei $k$ ein endlicher K\&quot;orper der Charaktetristik $p$, und sei $\pi_0:X_0\rightarrow S_0$ die Reduktion von $\pi$ \uber $k$. F\ur die gew\ohnlichen (ordinary) Fasern $X_{t_0}$ der Familie leiten wir eine explizite Formel zur Berechnung des charakteristischen Polynoms des Frobeniusendomorphismus, des {\em Frobeniuspolynoms}, auf dem korrespondierenden Untermodul $M_{cris}\subset H^3_{cris}(X_{t_0})$ her. Sei nun $f_0(z)$ die Potenzreihenl\osung der Differentialgleichung $Pf=0$ in einer Umgebung der Null. Da eine reziproke Nullstelle des Frobeniuspolynoms in einem Teichm\uller-Punkt $t$ durch $f_0(z)/f_0(z^p)|_{z=t}$ gegeben ist, ist ein entscheidender Schritt in der Berechnung des Frobeniuspolynoms die Konstruktion einer $p-$adischen analytischen Fortsetzung des Quotienten $f_0(z)/f_0(z^p)$ auf den Rand des $p-$adischen Einheitskreises. Kann man die Koeffizienten von $f_0$ mithilfe der konstanten Terme in den Potenzen eines Laurent-Polynoms, dessen Newton-Polyeder den Ursprung als einzigen inneren Gitterpunkt enth\alt, ausdr\ucken,so beweisen wir gewisse Kongruenz-Eigenschaften unter den Koeffizienten von $f_0$. Diese sind entscheidend bei der Konstruktion der analytischen Fortsetzung. Enth\alt die Faser $X_{t_0}$ einen gew\ohnlichen Doppelpunkt, so erwarten wir im Grenz\ubergang, dass das Frobeniuspolynom in zwei Faktoren von Grad eins und einen Faktor von Grad zwei zerf\allt. Der Faktor von Grad zwei ist dabei durch einen Koeffizienten $a_p$ eindeutig bestimmt. Durchl\auft nun $p$ die Menge aller Primzahlen, so erwarten wir aufgrund des Modularit\atssatzes, dass es eine Modulform von Gewicht vier gibt, deren Koeffizienten durch die Koeffizienten $a_p$ gegeben sind. Diese Erwartung hat sich durch unsere umfangreichen Rechnungen best\atigt. Dar\uberhinaus leiten wir weitere Formeln zur Bestimmung des Frobeniuspolynoms her, in welchen auch die nicht-holomorphen L\osungen der Gleichung $Pf=0$ in einer Umgebung der Null eine Rolle spielen.