A Note on Proxy Variables and Instrument Variable Regression

This is a note about proxy variables and instruments for identification of structural parameters in regression models. We have experienced that in the econometric textbooks these two issues are treated separately, although in practice these two concepts are very often combined. Usually, proxy variables are inserted in instrument variable regressions with the motivation they are exogenous. Implicitly meaning they are exogenous in a reduced form model and not in a structural model. Actually if these variables are exogenous they should be redundant in the structural model, e.g. IQ as a proxy for ability. Valid proxies reduce unexplained variation and increases the efficiency of the estimator of the structural parameter of interest. This is especially important in situations when the instrument is weak. With a simple example we demonstrate what is required of a proxy and an instrument when they are combined. It turns out that when a researcher has a valid instrument the requirements on the proxy variable is weaker than if no such instrument exists

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.

Probabilidade implícita de default em debêntures do mercado brasileiro

O trabalho busca através de um exercício empírico, extrair as curvas de probabilidade implícita de default em debêntures brasileiras. A construção ocorre em duas etapas. O primeiro desafio é obter as estruturas a termo das debêntures brasileiras. Foi utilizada a revisão proposta por Diebold e Li (2006) do modelo de Nelson Siegel (1987) para construç o das ETTJs. A segunda etapa consiste em extrair a probabilidade de default utilizado a forma reduzida do modelo de Duffie e Singleton (1999). A fração de perda em caso de default foi considerada constante conforme estudo de Xu e Nencioni (2000). A taxa de decaimento também foi mantida constante conforme proposto por Diebold e Li (2006) e Araújo (2012). O exercício foi replicado para três datas distintas durante o ciclo de redução de juros no Brasil. Dentre os resultados desse estudo identificou-se que os agentes do mercado reduziram a probabilidade de default dos emissores durante esse período. A redução nos vértices mais curtos foi mais significativa do que em vértices mais longos.

Human resource policies in public education: empirical evidences for Brazil

Esta tese traz três exercícios empíricos sobre questões de recursos humanos em escolas públicas brasileiras, aproveitando-se de uma ampla política implantada na rede estadual de São Paulo. Esta política aumenta os salários para os professores que trabalham em escolas urbanas pobres e sua regra de alocação, baseada em um corte arbitrário em um índice socioeconômico, permite a identificação de impactos causais. Em resumo, os três artigos apontam que políticas de subsídios são capazes de, de fato, manter professores nas escolas mais pobres e este efeito, por sua vez, melhora o desempenho acadêmico dos alunos. Além disso, concluímos também que esta política também reduz o absenteísmo dos professores. No entanto, como consequência do desenho dessa política, não há evidências de que o subsídio melhora o perfil dos professores alocados nessas escolas. O primeiro artigo avalia os impactos dessa política sobre a rotatividade dos professores. Concluímos que a compensação salarial reduziu a taxa de rotatividade em 7,2 pontos percentuais, o que significa uma queda de 15% sobre a média pré-tratamento. Em um modelo em forma reduzida, encontramos também evidências de que esta política pode impactar positivamente o desempenho dos alunos. O segundo artigo analisa os impactos sobre a aprendizagem dos alunos, com foco em três possíveis mecanismos: i) a rotatividade; ii) a qualidade dos professores; iii) o aumento do salário. As estimativas mostram que o único canal através do qual esta política compensatória afeta o desempenho dos alunos é a redução da rotatividade dos professores. Ao reduzir taxa de volume de negócios em um desvio-padrão, a política reduziu a proporção de alunos de baixo desempenho em cerca de meio desvio-padrão. O terceiro artigo avalia como a diferenciação salarial criada por esta política afeta absenteísmo dos professores. Os resultados mostram que, após controlar efeitos fixos de professores e escolas, pagar um salário mais elevado (em média 26% a mais) provoca uma queda de 8-22% nas faltas dos professores. Ausências que não levam a desconto de salário, como por licenças médicas, não respondem à diferenciação salarial e o impacto é maior para os professores que recebem maior incentivo.

Remoção de metais pesados em efluentes sintéticos utilizando vermiculita como adsorvente

Heavy metals are used in many industrial processestheirs discard can harm fel effects to the environment, becoming a serious problem. Many methods used for wastewater treatment have been reported in the literature, but many of them have high cost and low efficiency. The adsorption process has been used as effective for the metal remoal ions. This paper presents studies to evaluate the adsorption capacity of vermiculite as adsorbent for the heavy metals removal in a synthetic solution. The mineral vermiculite was characterized by differents techniques: specific surface area analysis by BET method, X-ray diffraction, raiosX fluorescence, spectroscopy in the infraredd region of, laser particle size analysis and specific gravity. The physical characteristics of the material presented was appropriate for the study of adsorption. The adsorption experiments weredriveal finite bath metod in synthetic solutions of copper, nickel, cadmium, lead and zinc. The results showed that the vermiculite has a high potential for adsorption, removing about 100% of ions and with removal capacity values about 85 ppm of metal in solution, 8.09 mg / g for cadmium, 8.39 mg/g for copper, 8.40 mg/g for lead, 8.26 mg/g for zinc and 8.38 mg/g of nickel. The experimental data fit in the Langmuir and Freundlich models. The kinetic datas showed a good correlation with the pseudo-second order model. It was conducteas a competition study among the metals using vermiculiti a adsorbent. Results showed that the presence of various metals in solution does not influence their removal at low concentrations, removing approximat wasely 100 % of all metals present in solutions

Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Remoção de óleo da água de produção por flotação em coluna utilizando tensoativos de origem vegetal

In the petroleum industry, water is always present in the reservoir formation together with petroleum and natural gas and this fact provokes the production of water with petroleum, resulting in a great environmental impact. Several methods can be applied for treatment of oily waters, such as: gravitational vases, granulated media filtration systems, flotation process, centrifugation process and the use of hydrocyclones, which can also be used in a combined way. However, the flotation process has showed a great efficiency as compared with other methods, because these methods do not remove great part of the emulsified oil. In this work was investigated the use of surfactants derived from vegetable oils, OSS and OGS, as collectors, using the flotation process in a glass column with a porous plate filter in its base for the input of the gaseous steam. For this purpose, oil/water emulsions were prepared using mechanical stirring, with concentrations around 300 ppm. The air flow rate was set at 700 cm3/min and the porous plate filter used for the generation of the air bubbles has pore size varying from 16 to 40 Pm. The column operated at constant volume (1500mL). A new methodology has been developed to collect the samples, where, instead of collecting the water phase, it was collected the oil phase removed by the process in the top of the flotation column. It has been observed that it is necessary to find an optimum surfactant concentration to achieve enhanced removal efficiency. Being for OSS 1.275 mmol/L and for OGS 0.840 mmol/L, with removal efficiencies of 93% and 99%, respectively, using synthetic solutions. For the produced water, the removal in these concentrations was 75% for OSS and 65% for OGS. It is possible to remove oil from water in a flotation process using surfactants of high HLB, fact that is against the own definition of HLB (Hydrophile-Lipophile Balance). The interfacial tension is an important factor in the oil removal process using a flotation process, because it has direct interference in the coalescence of the oil drops. The spreading of the oil of the air bubble should be considered in the process, and for the optimum surfactant concentrations it reached a maximum value. The removal kinetics for the flotation process using surfactants in the optimum concentration has been adjusted according to a first order model, for synthetic water as for the produced water.

Preparação e caracterização de um material híbrido, à base de vermiculita modificada com quitosana, para a remoção de íons de chumbo presentes em efluentes sintéticos

Actually, surveys have been developed for obtaining new materials and methodologies that aim to minimize environmental problems due to discharges of industrial effluents contaminated with heavy metals. The adsorption has been used as an alternative technology effectively, economically viable and potentially important for the reduction of metals, especially when using natural adsorbents such as certain types of clay. Chitosan, a polymer of natural origin, present in the shells of crustaceans and insects, has also been used for this purpose. Among the clays, vermiculite is distinguished by its good ion exchange capacity and in its expanded form enhances its properties by greatly increasing its specific surface. This study aimed to evaluate the functionality of the hybrid material obtained through the modification of expanded vermiculite with chitosan in the removal of lead ions (II) in aqueous solution. The material was characterized by infrared spectroscopy (IR) in order to evaluate the efficiency of modification of matrix, the vermiculite, the organic material, chitosan. The thermal stability of the material and the ratio clay / polymer was evaluated by thermogravimetry. To evaluate the surface of the material was used in scanning electron microscopy (SEM) and (BET). The BET analysis revealed a significant increase in surface area of vermiculite that after interaction with chitosan, was obtained a value of 21, 6156 m2 / g. Adsorption tests were performed according to the particle size, concentration and time. The results show that the capacity of removal of ions through the vermiculite was on average 88.4% for lead in concentrations ranging from 20-200 mg / L and 64.2% in the concentration range of 1000 mg / L. Regarding the particle size, there was an increase in adsorption with decreasing particle size. In fuction to the time of contact, was observed adsorption equilibrium in 60 minutes with adsorption capacity. The data of the isotherms were fitted to equation Freundlich. The kinetic study of adsorption showed that the pseudo second- order model best describes the adsorption adsorption, having been found following values K2=0,024 g. mg-1 min-1and Qmax=25,75 mg/g, value very close to the calculated Qe = 26.31 mg / g. From the results we can conclude that the material can be used in wastewater treatment systems as a source of metal ions adsorbent due to its high adsorption capacity

Adsorção do corante amarelo reativo BF-4G 200% por argila esmectita

This study aimed to evaluate the potential use of smectite clays for color removal of textile effluents. The experiments were performed by testing exploratory/planning method factorial and fractional factorial where the factors and levels are predetermined. The smectite clays were used originating from gypsum hub of the region Araripe-PE, and the dye used was Reactive Yellow BF-4G 200%. The smectite clay was collected and transported to the Laboratory of Soil Physics of UFRPE, where it held its preparation through air drying, lump breaking and classification in sieve to then submit it to the adsorption process. Upon completion of 22 complete factorial design it was concluded that the values of (96, 96,5 and 95,8%) corresponding to the percentage of of removal for "in-kind", chemically and thermally activated, respectively and adsorbed amounts of (4,80, 4,61 and 4,74 mg/g) for three clays. Showed that the activation processes used did not increase the adsorption capacity of smectite clay. The kinetic data were best fitted to the Freundlich isotherm, with an exponential distribution of active sites and that shows above the Langmuir equation for adsorption of cations and anions by clays. The kinetic model that best adapted to the results was the pseudosecond order model. In the factorial design study 24-1, at concentrations up to 500 mg/L obtains high percentage of color removal (92,37, 90,92 and 93,40%) and adsorbed amount (230,94, 227,31 and 233,50 mg/g) for three clays. The kinetic data fitted well to Langmuir and Freundlich isotherms. The kinetic model that best adapted to the results was the pseudosecond order model

Stability analysis of power systems described with detailed models by automatic method

The power system stability analysis is approached taking into explicit account the dynamic performance of generators internal voltages and control devices. The proposed method is not a direct method in the usual sense since conclusion for stability or instability is not exclusively based on energy function considerations but it is automatic since the conclusion is achieved without an analyst intervention. The stability test accounts for the nonconservative nature of the system with control devices such as the automatic voltage regulator (AVR) and automatic generation control (AGC) in contrast with the well-known direct methods. An energy function is derived for the system with machines forth-order model, AVR and AGC and it is used to start the analysis procedure and to point out criticalities. The conclusive analysis itself is made by means of a method based on the definition of a region surrounding the equilibrium point where the system net torque is equilibrium restorative. This region is named positive synchronization region (PSR). Since the definition of the PSR boundaries have no dependence on modelling approximation, the PSR test conduces to reliable results. (C) 2008 Elsevier Ltd. All rights reserved.

An algorithm for arranging response surface designs in small blocks

We consider the problem of blocking response surface designs when the block sizes are prespecified to control variation efficiently and the treatment set is chosen independently of the block structure. We show how the loss of information due to blocking is related to scores defined by Mead and present an interchange algorithm based on scores to improve a given blocked design. Examples illustrating the performance of the algorithm are given and some comparisons with other designs are made. (C) 2000 Elsevier B.V. B.V. All rights reserved.

Some practical advice on polynomial regression analysis from blocked response surface designs

It is often necessary to run response surface designs in blocks. In this paper the analysis of data from such experiments, using polynomial regression models, is discussed. The definition and estimation of pure error in blocked designs are considered. It is recommended that pure error is estimated by assuming additive block and treatment effects, as this is more consistent with designs without blocking. The recovery of inter-block information using REML analysis is discussed, although it is shown that it has very little impact if thc design is nearly orthogonally blocked. Finally prediction from blocked designs is considered and it is shown that prediction of many quantities of interest is much simpler than prediction of the response itself.

Optimization of xylanase production by Bacillus circulans D1 in submerged fermentation using response surface methodology

In this work, a 3(3) factorial design was performed with the aim of optimizing the culture conditions for xylanase production by an alkalophilic thermophilic strain of Bacillus circulans, using response surface methodology. The variables involved in this study were xylan concentration (X-1), pH (X-2) and cultivation time (X-3). The optimal response region was approached without using paths of steepest ascent. Statistical analysis of results showed that, in the range studied, only pH did not have a significant effect on xylanase production. A second-order model was proposed to represent the enzymic activity as a function of xylan concentration (X-1) and cultivation time (X-3). The optimum xylan concentration and cultivation time were 5 g/l and 48 h, respectively. Under these conditions, the model predicted a xylanase activity of 19.1 U/ml. (C) 2002 Elsevier B.V. Ltd. All rights reserved.

Integrability vs supersymmetry: Poisson structures of the pohlmeyer reduction

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

LIMITS on THE COUPLING CONSTANT of HIGHER-DERIVATIVE ELECTROMAGNETISM

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)