Reduced Rank Models
Mostrando 1-9 de 9 artigos, teses e dissertações.
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1. A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data
It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM
Escola de Pós-Graduação em Economia da FGV. Publicado em: 24/02/2012
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2. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we p
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/01/2011
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3. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Escola de Pós-Graduação em Economia da FGV. Publicado em: 13/09/2010
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4. Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number of cointegrated vector are assumed to be known. The estimated model has four regimes. Only three of them are statistically different. The
Publicado em: 26/01/2009
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5. Influência de fatores individuais e sociais sobre as respostas endócrina e comportamental de callithrix jacchus a desafios ambientais físicos e sociais
Regarding the growing number of human beings with physical and mental pathologies associated to different stressor agents, attempts are being made to validate animal models with a close phylogenetic resemblance to man, to study stress response. Callithrix jacchus has been widely used in biomedical research, including on stress, but there is scarce informatio
Publicado em: 2009
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6. Redução de modelos lineares em tempo continuo
In this work the model reduction problem is revisited and formulated through convex programming constrained by linear matrix inequalities. The H2 and H°° norms are used as comparison criteria between the original and reduced order models, having as starting point the present continuous-time filtering results. A rank constraint in some variables, suitably d
Publicado em: 2004
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7. The asymptotic distribution of canonical correlations and variates in cointegrated models
The cointegrated model considered here is a nonstationary vector autoregressive process in which some linear functions are stationary and others are random walks. The first difference of the process (the “error-correction form“) is stationary. Statistical inference, such as reduced rank regression estimation of the coefficients of the process and tests o
The National Academy of Sciences.
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8. p53 alterations in oesophageal cancer: association with clinicopathological features, risk factors, and survival.
AIM: To characterise the spectrum of p53 alterations (gene mutations and protein accumulation) in a consecutive series of surgically resected oesophageal cancers, and to evaluate associations with clinicopathological findings (age, sex, tumour histology, grade, and stage), potential risk factors (alcohol, tobacco, hot beverage consumption, history of gastroo
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9. Comparison of average estimated metabolic rates for styrene in previously exposed and unexposed groups with pharmacokinetic modelling.
OBJECTIVE: To understand whether previous styrene exposure increases the human liver's ability to convert styrene into styrene oxide. METHODS: The hypothesis was tested that the average linear metabolic rate constant kappa was the same in both exposed and unexposed groups, when the exposed group comprised people with a history of styrene exposure and the une