bluuebunny/crossref_metadata_2025 huggingface dataset:
Introduction
Authors: Treurel Sven , Robinson Enders A.
Published: July 2016

In 1950, a small research project concerned with the application of the theory of time series to seismic data analysis was formed within the Mathematics Department of the Massachusetts Institute of Technology. This early work was pursued by Dr. E. A. Robinson and by Professor G. P. Wadsworth. The results of these studies were considered promising, and by 1952 a number of oil and geophysical exploration companies had been approached in order to determine their interest in supporting an expanded research program in this area. Eventually a group of these companies agreed to participate in such an effort, and in February 1953 the MIT Geophysical Analysis Group (GAG) was organized within the Department of Geology and Geophysics. Full participation in the activities of the GAG was open at any time to all interested companies. All members provided annual financial support, and a number of them furnished the GAG with data for analysis.
Mental health services, suicide and 7-day working
Authors: Kapur Nav , Ibrahim Saied , Hunt Isabelle M. , Turnbull Pauline , Shaw Jenny , Appleby Louis
Published: July 2016

Background

Patients admitted to hospital at the weekend appear to be at increased risk of death compared with those admitted at other times. However, a ‘weekend effect’ has rarely been explored in mental health and there may also be other times of year when patients are vulnerable.

Aims

To investigate the timing of suicide in high-risk mental health patients.

Method

We compared the incidence of suicide at the weekend v. during the week, and also in August (the month of junior doctor changeover) v. other months in in-patients, patients within 3 months of discharge and patients under the care of crisis resolution home treatment (CRHT) teams (2001–2013).

Results

The incidence of suicide was lower at the weekends for each group (incidence rate ratio (IRR) = 0.88 (95% CI 0.79–0.99) for in-patients, IRR = 0.85 (95% CI 0.78–0.92) for post-discharge patients, IRR = 0.87 (95% CI 0.78–0.97) for CRHT patients). Patients who died by suicide were also less likely to have been admitted at weekends than during the week (IRR = 0.52 (95% CI 0.45–0.60)). The incidence of suicide in August was not significantly different from other months.

Conclusions

We found evidence of a weekend effect for suicide risk among high-risk mental health patients, but with a 12–15% lower incidence at weekends. Our study does not support the claim that safety is compromised at weekends, at least in mental health services.
A Keynesian Model of Nominal Wage Rigidity
Authors: Werlang Sérgio Ribeiro da Costa
Published: July 2016

We present a Model that reflects Keynes' intuition concerning nominal wage rigidity: workers like to keep their relative status on society. Several results are presented, including the analysis of the influence of risk aversion. The appendix has two new results on symmetric games.
O Efeito da Taxa de Juros e da Incerteza Sobre a Curva de Phlllips da Economia Brasileira
Authors: Cavalcanti Ricardo de Oliveira
Published: July 2016

Utilizando a hipótese de que as empresas brasileiras incorrem em custos financeiros ao contratar mão de obra, o trabalho sugere que a taxa de juros real esperada é um importante argumento da oferta agregada do país. Em adição, ao levar-se em conta que os empresários são avessos ao risco, considera-se que o coeficiente de variação da taxa de inflação também desloca a curva de Phillips. Os resultados empíricos revelam que a taxa de juros possui maior impacto do que a taxa de inflação sobre a curva de Phillips do Brasil.
Oferta de Força de Trabalho Familiar e Crise Econômica: Brasil me Tropolitano, 1983
Authors: Jatobá Jorge
Published: July 2016

This article develops a labor force participation model taking the family as unity of analysis. The model is applied to the metropolitan areas of the Northeast and Southeast for the year of 1983. The source of data is the National Household Survey (PNAD). It is assumed that all heads of family are in the labor force. They are classified by income and sex. It is tested whether increases in the labor force participation rate of secondary family members is associated with declines in the income of the head and the growth of family unemployment. Both hypothesis are verified. In the case of the income-effect it was found that declines in the head"s income leads to an increase in the labor force participation of secondary family members (wives or husbands, children and others). However this effect is strong only for those families whose head earns up to one minimum wage. For higher incomes the incomeeffect weakens and even, in a few cases, it is non-significant for some groups. For the unemployment-effect, group, increases in family unemployment leads to a growth in family labor force participation rates.
A Evolução da Participação Feminina no Mercado de Trabalho Brasileiro de 1983 A 1988
Authors: Santos Eleonora Cruz , Sedlacek Guilherme Luis
Published: July 2016

This work analyse the female participation in the brazilian labor market and its evolution in the period from 1983 to 1988. We noted a rapid increase in the proportion of working women in this period, which goes from 41% in 1983 to 46% in 1988. Within the multiple factors which explain the probability of a women to work, in this analysis we emphasize the importance of differences in marital status. In 1988, we observe that the proportion of working women was 70% among the females family heads, and only 39% among the spouses. In this context, we observe an increase in the importance of spouses in the female work force between 1983 and 1988. In the last part af the work, we compare the differences the different.
Estrutura Demográfica da População Economicamente Ativa e Desigualdade da Distribuição de Renda
Authors: Santos Elenora C. , Wajnman Simone
Published: July 2016

This paper aims at quantifying the effects of the variations in the age structure of the labor force by gender and in the average earnings profile by age and gender, Thls effects will be quantified under the evolution of income inequality in Brazil, from a regional and temporal approch in the period 1976-1987. The regional and temporal evolution of female and male average earmngs, as well as the gap of these earnings between genders is also analysed.
Segmentação no Mercado de Trabalho: A Carteira de Trabalho na Construção Civil
Authors: Barros Ricardo Paes de , Reis José Guilherme Almeida , Rodrigues José Santos
Published: July 2016

Além de uma concentração de renda, a economia brasileira caracteriza-se por apresentar um alto grau de diferenciação salarial, superior ao encontrado em economias com níveis semelhantes de desenvolvimento. Em princípio, esta diferenciação poderia decorrer exclusivamente da heterogeneidade dos trabalhadores com respeito a determinados atributos produtivos. Entretanto, quando se controla por diferenças naqueles atributos produtivos que são observáveis, permanece inexplicada uma parte expressiva da desigualdade de salários, sugerindo a possibilidade de que existam trabalhadores igualmente produtivos recebendo remunerações distintas.
Resistance to Implementing IMF Stabilization Plans: Evidence from a Cross-Country Study
Authors: Oliveira Gesner
Published: July 2016

The paper addresses three aspects of the country's resistance to meet the targets of IMF stabilization plans. First, a definition and an indicator of such phenomenon is provided. The fact that resistance is found to be important poses doubts about presumed impacts of IMF programs such as in Pastor (1987). Second, a logit model is fitted to a data set of 43 countries to search for the resistance factors. The magnitude of the external shocks as well as income concentration were found to be relevant. The results obtained for this last variable are partially in line with the empirical evidence of Berg and Sachs (1988) and the theoretical motivation of Alesina and Drazen (1989). Third, a few policy implications are derived regarding the difficulties national and supra-national authorities are likely to face in attempting to enforce IMF stabilization measures.
Barreiras à Entrada nas Indústrias: O Papel da Firma Pioneira
Authors: Oliveira Luiz Guilherme Schymura de
Published: July 2016

What is a barrier to entry? This paper takes the view that a barrier to entry is a rent that is derived from incumbency. It is the additional profit that a firm can carn as a sole consequence of being established in an industry. No attempt is made to collect an exhaustive list of the determinants of entry.
Resenha do Livro "A Course in Microeconomic Theory"
Authors: Neto Francisco Cribari
Published: July 2016

O que faz um bom Livro-texto? Se a resposta a esta pergunta é estilo, apresentação e conteúdo, A Course in Microeconomic Theory é um livro que veio para ficar. O autor apresenta um estilo pouco formal, descontraído e às vezes até mesmo engraçado, o que facilita a passagem do leitor por 850 páginas de um material denso e rigoroso. Adicionalmente, muitas passagens são ilustradas com amplos e detalhados exemplos, invariavelmente relacionados com os exercícios propostos ao fim de cada capítulo, onde muitas vezes se requer extensões e aprofundamentos dos exemplos fornecidos.
O Sistema GLIM
Authors: Cordeiro Gauss M.
Published: July 2016

O GLIM (sigla de "Generalized Linear Interactive Modelling") é um programa estatístico-computacional iterativo desenvolvido pela Royal Statistical Society, sendo distribuído pela NAG (Numerical Algorithms Group), Wilkinson House, Jordan Hill Road, Oxford, OX2 8DR, UK. Ele se mostra indispensável para o tratamento de dados complexos que surgem em muitos problemas econométricos e nas àreas de Ciências Sociais, Engenharia, Física, Biologia e Química.
Macroeconomic Policy, Credibility, and Politics by Torsten Persson and Guido Tabellini
Authors: Rosenblatt David
Published: July 2016

Macroeconomic Policy, Credibility and Politics is meant to serve as a graduate textbook and literature survey of the recent advances in modelling government economic policy making. It is extremely successful in achieving both goals, unifying many of the different approaches to endogenizing government policy, one of the most active areas of macroeconomic theorizing in recent years. In addition to summarizing this literature, the "monograph," as the authors call it, presents some new results.
Finanças: Uma Resenha de Quatro Livros
Authors: Werlang Sérgio Ribeiro da Costa
Published: July 2016

A teoria das decisões financeiras, ou teoria das finanças, ou simplesmente finanças, é de longa data objeto de estudo de renomados economistas, dentre eles Kenneth Arrow. A premiação do Nobel de 1990, dado a três economistas por seus trabalhos na área de finanças, Harry Markowitz, Merton Miller e William Sharpe, marcou o reconhecimento definitivo de finanças como campo da ciência econômica.
On the Deterioration of the Terms of Trade for Primary Commodities
Authors: Barros Alexandre Rands
Published: July 2016

This paper critically reviews some of the most important methods used to test the hypothesis of deterioration of the terms of trade for primary commodities. New tests using both time and frequency domain analysis for the periods 1948-1989 and 1921-1986 are presented. The results obtained support the hypothesis that there is a long-run deterioration of the terms of trade for primary commodities.
Noções de Desigualdade e Índices de Concentração: O Caso Tridimensional
Authors: Ramos Lauro , Barros Ricardo Paes de
Published: July 2016

This paper deals with the ordering of randon variables with equal mean according to their level of inequality. The analysis is developed under alternative notions of inequality and considers thc most commonly used inequality indices. In order to simplify the graphical illustrations, the exercise is developed for the case of a 3-individual population.
Resenha do Software "Limdep"
Authors: Neto Francisco Cribari
Published: July 2016

LIMDEP é um software econométrico desenvolvido pelo Prof. William H. Greene, da Universidade de Nova York, e distribuído comercialmente pela Econometric Software (43, Maple Avenue, Bellport, NY, 11713, USA, fone: 516-286-7049, fax: 516-286-6848) A versão 386 requer um mínimo de 3 megabytes de memória expandida, em adição aos 640K de memória base.
On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests
Authors: Brown Kenneth , Cribari-Neto Francisco
Published: July 2016

This paper discusses some issues related to the use of the Lagrange multiplier, likelihood ratio and Wald tests in econometrics. In particular, the paper focuses on three issues: (i) the Wald test with nonlinear constraints; (ii) conflict among criteria and size correction; and (iii) the derivation of an improved LM statistic. Some Monte Carlo simulation results illustrate the discussion.
Medidas Agregadas de Pobreza Absoluta: A Proposta de SEN e os Desenvolvimentos Subseqüentes
Authors: Romão Maurício Costa
Published: July 2016

The objetive of this paper is to show the main development in the specilized literature on poverty related to the seminal work of Amartya Sen in aggregate measures of poverty. After reviewing the principal contributions on the subject, the text uses empirical data from Brazil to illustrate the application of the best known indices of poverty.
Expectativas Racionais com Informação Assimétrica: Uma Introdução
Authors: Coutinho Paulo Cesar
Published: July 2016

This is an introduction to the theory of rational expectations. We caver the case of symmetric information and the case of asymmetric information. We show that with complete markets and a finite number of states there always exists a Pareto optimum rational expectations equilibrium. However, it is possible under the same circumstances to have other rational expectations equilibria that are Pareto dominated.
The Wage Rate Estimation Using the Heckman Procedure
Authors: Kassouf Ana Lucia
Published: July 2016

This paper estimates wage rates using the Heckman Procedure and a traditional method. The estimation becomes necessary when the analysis requires a measure of the individual's opportunity cost of time. Since a large fraction of the adults in the sample do not participate in the labor market, the simple estimation by ordinary least squares would cause bias in the coefficients. Labor force participation and the wage determination equations were estimated for men and women from 16 to 71 years old. Most of the coefficients were statistically significant at 10% level and presented the expected signs. It was found an upward biased (in absolute value) estimate for male workers and a downward biased (in absolute value) estimate for the female workers when using the traditional method of estimation.
Uma Concretização de um Contra-Exemplo de Mas-Collel e Zame
Authors: Monteiro Paulo Klinger
Published: July 2016

The incomplete markets equilibrium existence for eeonomies with a continuum of states af nature has been proven by Hellwig, Mas-Collel, Monteiro and Zame. But a hypotheses of non-negative ex-post endowments is always made. This is very restrictive. However Mas-Collel and Zame proved by means of a counter-example its indispensability. In this note I present a new connter-example. In particular I give utility functions which satisfy the difficulty and Zame.
Mecanismos de Admissão de Candidatos às Instituições. Modelagem e Análise à Luz da Teoria dos Jogos
Authors: Sotomayor Marilda
Published: July 2016

This work is motivated by the problems detected in the admission of candidates to graduate Economic Schools in Brazil. From the game theoretic analysis of the observed phenomena, we concluded that the failure of the admission procedures, which has been used up to now, is due to the decentralization of the market and to the instability of the outcomes. This instability is verified when some candidate, c, with a score higher than the score of other candidate assigned to a given school, would prefer to have been assigned to that school. The market restrictions suggest a non-cooperative model in which schools behave straightforwardly. For these kind of markets we show that there is one and only one centralized institution admission mechanism, which yields stable outcomes and incentivates the participants to declare their true preferences, among all such mechanisrns. In any other case the strategic possibilities of the candidates are analysed and several theoretic results are presented.
Um Procedimento Para Análise De Persistência Na Volatilidade
Authors: Fernandes Marcelo , Monteiro Marcos de Bustamante
Published: July 2016

Diebold (1986) suggested that conditional heteroskedastic models tend to overestimate persistence of volatility when there are instabilities at the unconditional second momento We propose a procedure for analysing this phenomenon based on recent techniques developed by the sudden changes of variance literature. Applying the ICSS algorithm (Inclán & Tiao, 1994) to the standardised residuals of the conditional heteroskedastic model, it is possible to detect break points at the unconditional variance. By incorporating dummies to capture these instabilities, a more accurate and reliable estimate of the volatility persistence can be computed. The procedure is successfully applied to Brazilian financial data.
Estimadores Corrigidos para Modelos SUR Não-Lineares
Authors: Vasconcellos Klaus L.P. , Cordeiro Gauss M.
Published: July 2016

In this paper we derive general formulae for second-order biases of maximum likelihood estimators of the parameters in nonlinear seemingly unrelated regression models (SUR), which have contemporaneous correlation between the errors in different equations af a set of regression equations. These biases can be easily obtained as vectors of least squares estimators of suitable weighted linear regressions. They are simple enough to be used algebraically to obtain closed-form bias corrections in special cases where the inverse of the information matrix has a closed-form. The practical use of the bias corrections is illustrated by simulation, suggesting that the bias-corrected estimators are closer to the true parameters than the classical maximum likelihood estimators.
A Contribuição Acadêmica de Mário Henrique Simonsen
Authors: Barbosa Fernando de Holanda
Published: July 2016

Mário Henrique Simonsen, numa metáfora sugerida pelos sistemas dinâmicos, foi um atrator para minha geração de economistas, pelo seu talento imbatível como professor, que dominava como poucos a arte de transmitir com clareza e perfeição o estado das artes em economia, seja através da linguagem matemática ou de textos escritos para divulgação popular.
How Does Government Wage Policy Affect Wage Bargaining in Brazil?
Authors: Gonzaga Gustavo , Scandiuzzi João Carlos
Published: July 2016

Over the last thirty years, Brazil has had official wage policies, with the government determining the minimum rate of adjustment for all wages in the formal sector of the Brazilian economy. The rise in union activism after 1978 and the consequent gradual return of collective bargaining reduced the scope of influence by the government to determine the exact wage rate of the economy. Some authors viewed this phenomenon as a sign of decrease in the importance of the wage policy. In this paper, we argue instead that government wage policy remained important after the resurgence of union activism in Brazil, because it shifted the focus of discussion on the bargaining table to wage adjustment in excess of the official wage adjustment numbers. The importance of wage policy in affecting wage determination is theoretically examined by solving a right-tomanage model of wage bargaining. The innovation here is to consider the utility associated with the institutional wage as one of the components that form the union's fall-back utility level. Our main finding is that the institutional wage affects the result of the wage bargaining. We show that, in the most plausible case, a rise in the institutional wage raises the bargained wage, even though the effect is ambiguous in general. We conclude by arguing that empirical tests of the importance of wage policy in Brazil should take these theoretical considerations into account, instead of using ad-hoc models of wage determination, as had the previous empirical literature done in Brazil, which in most cases simply tested the null hypothesis of an unitary institutional wage coefficient.
Um Simples Mercado de Compra e Venda
Authors: Sotomayor Marilda
Published: July 2016

We model a buying and selling market as a market game in which (a) all goods except money are identic and inclivisible, (b) agents' preferences can be described by a reservation value, and (c) all buyers are price-takers and can buy up to their quota of goods. We prove that equilibrium prices exist and support efficient allocations of the goods to the buyers. Furthermore, every such allocation is supported by any equilibrium price. Results of comparative statics are also obtained. We reformulate a dinamic mechanism of auction existent in the literature and show that this mechanism yields the minimum competitive equilibrium in a finite number of steps. We obtain sufficient conditions under which this mechanism is individually non-manipulable by the buyers.
Longa Persistência Nas Taxas De Inflação
Authors: Fava Vera Lucia , Alves Denisard C.O.
Published: July 2016

The objective of this article is to show that the Brazilian inflation rates from January 1974 to June 1994 were generated by a fractionally integrated processo This process exhibits high persistency of shocks but does not have unit roots; these two characteristics can explain the apparently inconsistent behavior of the inflation pointed out by Cati, Garcia e Perron (1999). Assuming that the inflation rates could have been generated by an ARFIMA model, we estimate its order of integration by maximum likelihood and the regression method. The results obtained in both cases indicate that the inflation rates were generated by a long memory process.
Cournot Competition Under Knightian Uncertainty
Authors: Boff Hugo Pedro , Werlang Sergio Ribeiro da Costa
Published: July 2016

This article applies a theorem of Nash equilibrium under uncertainty (Dow & Werlang, 1994) to the classic Cournot model of oligopolistic competition. It shows, in particular, how one can map all Cournot-Nash equilibria (which includes the cartel and the null solutions) to only a function of the uncertainty aversion coefficients of the producers. The effects of these parameters on the symmetric equilibrium quantities and output are examined in a comparative statics analysis, under two alternative assumptions: a closed market with an exogenous number of firms and a free-entry/exit regime. In both cases, a collusive effect of the uncertainty aversion on the production is obtained. Under rather few restrictive assumptions, there is a symmetric uncertainty aversion level for the producers at which their optimal quantities and the industry output become equal to the optimal counterpart cartel's outcomes. These results improve upon the literature on collusion since, in contrast to other analogous findings, they enhance that a cooperative cartel may be endogenously generated in a one-shot (noncooperative) game played by uncertainty averse producers. For the competitive case (under free-entry/exit) the paper shows that Cournotian competition among weakely or moderately uncertainty averse producers entails a higher industry output (if the market is large and/or entry is easy) and surely entails lower optimal quantities for the firms than those achieved under uncertainty neutrality. Thus, competition under free-entry/exit in a Knightian uncertainty environment should act to prevent monopoly power for the individual firms.
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
Authors: Pereira Pedro L. Valls , Hotta Luiz K. , Souza Luiz Alvares R. de , Almeida Nuno Miguel C. G. de
Published: July 2016

This paper presents an empirical comparison of the estimation of the volatility of three Brazilian financial series: a Brazilian Brady bond (the Cbond), a stock (Telebrás PN) and the Brazilian Real/US Dollar exchange rate, using different modelling methods. The models used are: XARCH family, Stochastic Volatility (SV) and the switching in the variance model (SWARCH). The comparison is done using three criteria: loss functions, which compare the square of the estimated volatility with the instantaneous volatility, a procedure proposed by Herencia et alii (1998) which used prediction confidence intervals and one-stepahead prediction, and a prediction exercise for the last 100 observations. In general the SV model presented the best performance although it is dominated by other models in some criteria.
LABOR MARKET AND POVERTY IN BRAZIL
Authors: Barros Ricardo Paes de , Corseuil Carlos Henrique , Leite Phillippe G.
Published: July 2016

This paper investigates if the responsibility of the poverty level registered in Brazil is the poor operation of the labor market, in terms of under-remuneration and under-utilization of the labor factor. By means of a micro-simulation-based decomposition of distributional changes we assess the impact on the degree of poverty of unemployment, segmentation, and discrimination. In order to estimate the effect of these labor market imperfections on poverty, it was necessary, first, to define precisely the concepts of unemployment, segmentation and discrimination. Secondly, it was necessary to define how an ideal situation where human resources are properly used and remunerated would look like, given the prevailing macroeconomic conditions. It was found that, if the conditions of the average segment of the Brazilian labor market were extended to all segments, the effect on poverty would not be very significant to 9,6%). Even if this condition were extended only to those below the mean, the effect on poverty would not be so higher (PI would drop to 8,1%). Among the items of the effect of under-remuneration and under-utilization of labor, it is worth mentioning that the effect of unemployment is extremely limited in absolute terms, although in relative terms it is the major effect on poverty.
Uma nova abordagem do mecanismo monetário e sua relação com a estrutura financeira
Authors: Modigliani Franco
Published: July 2016

Este trabalho visa focalizar mais uma vez o chamado "mecanismo monetário". Isto é, o mecanismo através do qual a Autoridade Monetária consegue controlar com certa firmeza a renda nominal agregada. Nosso propósito é mostrar que a visão tradicional, englobando tanto formulações monetaristas como as de Keynes-Hicks, que coloca a oferta monetária em primeiro plano, longe de ser uma visão geral, focaliza na realidade um caso bastante especial. Ou seja, que existem outros agregados, além das obrigações monetárias dos sistemas bancários, cujo domínio permite o controle da renda nominal. Da mesma forma, existem outros paradigmas além daqueles baseados na oferta monetária, que julgamos úteis para uma descrição do mecanismo monetário. Finalmente, que a eficácia das metas agregadas alternativas e a utilidade dos paradigmas alternativos dependem basicamente da estrutura frnanceira da economia.
Medidas de concentração
Authors: Barbosa Fernando de Holanda
Published: July 2016

O objetivo deste trabalho consiste em apresentar, de um ponto de vista puramente estatístico, as medidas de concentração que são mais frequentemente encontradas na literatura econômica. Mais especificamente trataremos, pela ordem de apresentação, da razão de concentração, do coeficiente de Gini, do índice de Hirschman-Herfindahl, da entropia e redundância, e da variância logarítmica.
Expectativas racionais
Authors: Simonsen Mario Henrique
Published: July 2016

A combinação da teoria aceleracionista da curva de Phillips com a hipótese de expectativas inflacionárias adaptativas, conseguiu decifrar um dos mais perturbadores enigmas da macroeconomia neoclássica: porque a prosperidade é a companheira dos primeiros passos da inflação, e porque a política anti-inflacionária costuma exigir uma temporada de recessão. Na medida em que a demanda agregada se descreva por um jogo de curvas IS e LM, explicam-se também os efeitos das mudanças de política monetária sobre as taxas de juros e sobre a velocidade-renda da moeda.
Expectativas racionais em modelos macroeconométricos para a economia brasileira
Authors: Guedes P. , Mascolo J. L.
Published: July 2016

Elabora-se, neste trabalho, uma seqüência de modelos macroecométricos de pequeno porte, integrando duas importantes linhas de pesquisa: ( i ) os modelos macroeconômicos de Lucas-Sargent para análise de flutuações cíclicas, com base na hipótese de expectativas racionais; ( ii ) a abordagem de Zellner e Palm para sistemas dinâmicos de equações simultâneas, combinando a formulação tradicional de equações estruturais com análise de séries temporais.
Metodologias para a análise e previsão de séries temporais univariadas e multivariadas
Authors: Souza R. C.
Published: July 2016

O desenvolvimento, na área de modelagem de séries temporais a partir dos anos sessenta é incontestável. O processo, apesar de lento no seu início, experimentou um crescimento rápido e acentuado a partir de 1970, graças à divulgação dos trabalhos de Box & Jenkins. A elegante e ao mesmo tempo altamente acadêmica formulação proposta por estes autores despertou o interesse de pesquisadores teóricos e práticos, que a partir daí iniciaram um processo verdadeiramente revolucionário em termos de proposições de novos métodos, melhorias dos já existentes, aplicações a diversas áreas, etc ... Como resultado, com o transcorrer dos anos, métodos altamente sofisticados eram propostos ao mesmo tempo que a área em si ia ganhando uma identidade bem própria dentro da Estatística. Já existem hoje várias Sociedades, Encontros e Reuniões de pesquisadores em séries temporais, inclusive periódicos específicos que vão sendo introduzidos no mundo científico. Este é o caso, por exemplo, do "Journal of Forecasting", "Journal of Time Series", recentemente criados.
Bayesian forecasting and inference in latent structure for the Brazilian Industrial Production Index
Authors: Huerta Gabriel , Lopes Hedibert Freitas
Published: July 2016

We consider the analysis of the Brazilian industrial production index (IPI) using statistical tools recently developed for time series. The main purpose is short-term forecasting and structural decomposition of the data through an autoregressive model that allows, but not imposes, nonstationary behavior. A very strong point of this model is that it incorporates all kinds of uncertainties by averaging forecasts across competing models, weighted by their posterior probabilities, in contrast with traditional analyses which assign probability one to a particular model. Additionally, the model considers innovation errors with heavy-tailed distributions and consequently accomodates for outlying observations. We interpret the results of the analysis in terms of its relation to the Brazilian economy.
Optimal Consumption and Investment with Hyperbolic Lévy Motion
Authors: Barbachan José Fajardo
Published: July 2016

We solve the intertemporal consumption and investment problem in a continuous time setting assuming that the security prices follow a Hyperbolic Lévy Motion. Using Stochastic Calculus for Lévy processes, we give sufficient conditions for the existence of optimal consumption and investment policies.
A Note on Inverse Moments of Binomial Variates
Authors: Cribari-Neto Francisco , Garcia Nancy Lopes , Vasconcellos Klaus L. P.
Published: July 2016

We show that the inverse moments of a binomial random variable are such that (...) for all (...).
The Use of Multivariate Analysis in the Characterization of Satellite Tracking Systems in Highway
Authors: Anefalos Lilian Cristina , Caixeta Filho Jose Vicente
Published: July 2016

The objective of this paper is to analyze the use of satellite tracking systems by trucking companies in Sao Paulo City, Brazil, considering their growing importance to the transport sector. Multivariate analysis is used to explain the simultaneous relations among the variables. As the data are qualitative, correspondence analysis is used to indicate the existence of well defined groups. Subsequently, companies with similar behavior concerning the use of tracking systems are classified through cluster analysis
Statistical properties of data envelopment analysis estimators of production functions
Authors: Souza Geraldo da Silva e
Published: July 2016

This paper develops the statistical properties of nonparametric estimators of production functions obtained through the use of data envelopment analysis (DEA). For deterministic production models it is shown that DEA production functions are consistent non parametric maximum likelihood estimators and generate technical inefficiencies that converge in distribution. The asymptotic joint distribution of the estimated technical inefficiencies allows hypothesis testing in DEA. These results are due mainly to Banker (1993) and here they are refined and extended. Relaxing the assumption of equally distributed inefficiencies and allowing for an arbitrary scale of operation for the underlying technology, it is shown the strong consistency of the DEA production function and how one can model effects causing inefficiencies under the assumptions of half-normal, truncated normal or gamma distributions for the inefficiencies, not ruling out heteroscedasticity. Measures of goodness of fit are also developed for the iid case assuming an exponential or a half-normal distribution. An empirical application illustrates the theoretical results and investigates the nature of the production function of the major state company responsible for agricultural research in Brazil, namely Embrapa (Empresa Brasileira de Pesquisa Agropecuária).
Vertical integration in telecommunications and foreclosure: The role of quality and the long run
Authors: Mattos César
Published: July 2016

It is known in regulatory economics the incentive that a vertically integrated company in the telecommunications sector, owning a local and a long distance network, has to foreclose interconnecting competitors in the long distance market in its local loop bottleneck. This occurred in the US telecommunications market, given the dependence of the new long distance competitors (MCI and Sprint) on the AT&T local networks to connect with end users. Aiming to avoid these problems and introduce competition at least in the long distance segment, the telecom reform in Brazil reduced the previous verticalization of the state-owned company TELEBRAS before privatization. We introduce a model that shows the incentive of the incumbent to reduce the quality of the call provided by the entrant through interconnection in a linear city model of the Hotelling type. The incentive to reduce quality, however, is not absolute and there is an incentive to leave the entrant operating in a given portion of the market. On the other hand, when we introduce long run considerations, the incentive to reduce quality can become absolute in the sense of not allowing entry anyway. The crucial hypothesis is that the entry in the long distance segment in the short run provides the basis for that, through a learning process, the entrant enters also in the local service in the long run. This shows the requirement of a strong monitoring by the regulator over interconnection quality.
Non-stationary Gaussian ARFIMA processes: Estimation and application
Authors: Lopes Sílvia Regina Costa , Olbermann Bárbara Patrícia , Reisen Valderio Anselmo
Published: July 2016

Recently, the study of time series turned the attention to the ones having long memory property. The ARFIMA (p,d,q) model shows this property when the degree of differencing d is in the interval (0.0,0.5), range where the process is stationary. In this work, we analyze the estimation of the degree d* in ARFIMA (p,d*,q) processes when d* >0.5, that is, when the processes are non-stationary but still have the property of long memory. We present a simulation study for the estimators of d* with semiparametric and parametric methods and different sample sizes. The methodology is applied to the experimental data series of UK long interest gilts.
Nonparametric econometrics
Authors: Dias Ronaldo
Published: July 2016

In recent years several economic data have been analyzed by nonparametric approaches. This paper is a review of a few of the most useful procedures in the nonparametric econometric field. In particular, it describes the theory and the applications of nonparametric curve estimation (density and regression) problems with emphasis in kernel, nearest neighbor, orthogonal series, smoothing splines, logsplines and H-splines methods.
Private sector credit and inflation during Brazilian stabilization plans: Models with endogenously determined structural breaks
Authors: Zerbini Maria Beatriz , Rocha Fabiana
Published: July 2016

The purpose of this paper is to investigate the relationship between credit, inflation, and stabilization plans in Brazil during 1970-1998. The structural changes suffered by credit are endogenously determined using Bai and Perron's methodology (1998). The breaks correspond to the major stabilization plans adopted by the country. A negative relationship between credit and inflation is found. Stability contributes to credit expansion without, however, guaranteeing its quality.
Hyperinflation: Inflation tax and economic policy regime
Authors: Barbosa Fernando de Holanda
Published: July 2016

This paper shows that price level indeterminacy in monetary models with multiple equilibria can be solved by the selection of an appropriate monetary policy regime, according to the demand elasticity of the real quantity of money with respect to inflation rate. Money is essential when this elasticity is less than one, in absolute value. In the monetary regime, in which the central bank controls money growth, hyperinflation does not occur when money is essential, but may occur when it is not. In the fiscal regime, typical of the 20th century's hyperinflation experiences, wherein the issuance of money is used to finance the public deficit, the hyperinflation of stationary equilibrium occurs when money is essential and the public deficit reaches a critical value. However, if money is not essential such equilibrium does not exist. The essentiality of money is therefore an important aspect to consider and should not be decided on the basis of merely theoretical arguments. The hypothesis that the social cost of hyperinflation is infinite cannot be rejected a priori, but it has to be tested by using inflation tax data from hyperinflation experiences.
Determinants of the Differential Pricing between Voting and Non-Voting Shares in Brazil'
Authors: Saito Richard
Published: July 2016

Several papers suggest that private benefits can explain the differential pricing between share classes with differential voting rights. However, in Brazil the price differential between voting and non-voting shares has been negative for several companies between July 1994 and September 2002. This paper investigates the determinants that imply this discount of voting shares vis-à-vis non-voting shares. Particularly, the paper analyzes the impacts of liquidity, dividend differential, and recent changes in legislation of the Brazilian public equity market on the voting premium. This paper ratifies that liquidity is extremely relevant to the determination of relative prices. In addition, empirical evidence confirms a negative impact of Law 9457 - revoking voting minority shareholders' tag along rights - and a positive impact of the introduction of Law 10303 - reinstating those rights to minority voting shareholders. Finally, ownership structure confirmed a positive relationship with the voting premium, but the major shareholders' voting share participation has not presented a significant relationship as in other countries.
A Markov Switching Model for the Brazilian Demand for Imports: Analyzing the Import Substitution Process in Brazil
Authors: De Morais Igor Alexandre C. , Portugal Marcelo Savino
Published: July 2016

The aim of the present paper is to apply a Markov Switching model to check the charac- teristics of the Brazilian demand for imports equation based on annual data from 1947 to 2002 and on quarterly data from 1978:I to 2002:II. The results show that this model satisfactorily describes the structural and conjunctural characteristics of Brazilian for- eign trade in the last decades. The long-term analysis, based on annual data, allowed for the identification of cyclic periods of trade closure and openness that coincide with the historical events of Brazilian economy. The conjunctural analysis, based on quarterly data, indicates different elasticities for a regime with rise and fall in imports.
Ensaio em competição monopolística
Authors: Leal Carlos Ivan Simonsen
Published: July 2016

This article treats the topic of monopolistic competition, interpreted as a Cournot oligopoly in market equilibrium. The notion of a Cournot oligopoly is discussed, and its relation to the non-cooperative Nash equilibrium is shown. The existence of market equilibrium under the hypothesis of free entry is examined.
Diferenças interestaduais na estrutura de produção industrial
Authors: Rizzieri Juarez Alexandre Baldini , Fava Vera Lucia
Published: July 2016

In this paper, inter-state comparisons of the production structures of some industrial sectors are made by estimating nonhomogeneous production functions. Based on these functions, several indicators are computed and considerations about industrial location are presented.
O modelo de ciclo econômico de Kalecki
Authors: Possas Mario Luiz , Baltar Paulo E. A.
Published: July 2016

This article presents a formal analysis of the business cicle models put forward by Kalecki in the two most familiar versions of 1933 and 1954. After a short comment on the economic content of these models, they are expounded and interpreted mathematically as a solution of 2nd order difference equations with constant coefficients. With a view to making it easier for the reader a comparison with Kalecki's original theoretical formulations, his assumptions, terminology and notation have been kept throughout. A brief analysis follows dealing with the effects of different sectoral growth rates on the macroeconomic distribution of income, which are not focused in aggregate cycle models, based on Kalecki's 3-sector scheme. Concluding observations are made on the relations between trend and cycle and on the perspectives of further theoretical effort in this field.
Uma interpretação geométrica dos algoritmos dos elipsóides
Authors: Cunha Nelson Ortegosa da
Published: July 2016

The existence of polynomial time algorithms for the consistency problem of a system of linear inequalities was shown by Khachyan, a russian mathematician. In this article it is shown how some of these algorithms can be developed starting from simple geometric proprierties of spheres and ellipsoids.
Male-female income inequality by employment status in canada
Authors: Dagum Camilo
Published: July 2016

This research purports the analysis and application of a measure of income inequality between income distributions to account for the relative income differential between populations of economic units. Parametric and distribution-free formulas are deduced and a statistical test of hypothesis is introduced to decide whether or not there is a significant income differential between distributions. This theoretical framework is applied in order to study the male-famale income differential in Canada during the 1969-1979 period. It deals with the following socio-economic attributes: (1) individuals that worked 50-52 weeks; (2) individuals that worked 1-49 weeks; (3) individuals that did not work; (4) employees; and (5) employers. The income differential ratio D1 (used as a measure of the income inequality between distributions) and the Gini ratio (used as a measure of the income inequality within a distribution) provide an important synthesis of the male-female income distribution structure.
Dívida externa e crescimento econômico: uma estratégia de longo prazo para o caso brasileiro
Authors: Motta Reynaldo de Souza
Published: July 2016

The present essay aim at using economic growth optimization and foreign debt development models to simulate the Brazilian economic system so as to attain its better management and greater stabilization, eventual1y leading to an ulterior debt reduction. The cost-benefit ratio of the foreign resources inflow was appraised so that a systematic approach to the economic growth and indebtedness alternatives could be implemented. The models advanced, whose main goal is to lay the foundations of a Brazilian economic scheming (given a 20 year period), borrow their methodology from the linear programming rudiments, taking into account that a) consumption levels will be in their highest during the project and afterwards (benefits) and b) the foreign debt-service charges will be at their minimum level (costs) as long as the project is under way. Besides the definition equations and the structural and behavioural constraints - often used in economic programming models - certain political limitations were included (such as a lower limit for the growth of per capita consumption and a relative ceiling for the foreign debt development) in order to prevent either undesirable social unsteadiness or unattainable institutional expectations from happenning.
Stabilization policy, rational expectations, and staggered real wage contracts
Authors: Lopes Francisco L.
Published: July 2016

The paper deals with the controversial question of whether anticipated macropolicies have any effect on real output under rational expectations. It shows that the short run neutrality proposition originated in the new equilibrium theories of the business cycle is invalidated by staggered wage contracts that aim at a target average real wage over the contract span. These staggered "real wage contracts" generate a Phillips Curve link between the acceleration of inflation and unemployment only if their real wage target moves countercyclically. Futhermore, a fully anticipated monetary policy innovation has a direct impact on inflation that is not captured by the unemployment terms of the Phillips Curve.
Política cambial, política salarial e o potencial das exportações de manufaturados do Brasil no período 1954 - 74
Authors: Pinto Maurício Barata de Paula
Published: July 2016

This paper provides answers to three questions concerning the behavior of exports. (1) We ask if foreign exchange revenue will increase when higher incentives are granted to exports. (2) Will domestic unemployment cause an increase in the supply of exports ? (3) Should wage policy be used as an instrument to increase the competitivity of manufactured exports ? The analysis is perforrned in the framework of a system of simultaneous equations. Estimates of supply and demand equations are presented in the paper.
Nominal income determination, financial assets and liabilities and fiscal policy
Authors: Anyadike-Danes Michael , Godley Wynne
Published: July 2016

This paper concentrates attention on the dynamics of income and expenditure determination which are seen to be the logicallynecessary counterpart of a portfolio adjustment process. The model constitutes a development of the New Cambridge hypothesis discussed in Fetherston and Godley (1978) and also Anyadike-Danes (1982).
Considerações sobre o nível ótimo de mark-up implícito num regime de concorrência
Authors: Lerda Juan Carlos
Published: July 2016

The profit maximizing theory of the competitive firm in the short run is presented as a funtion of its cost structure and the optimal level of implicit mark-up. Then, several well-known relationships of the neoclassical theory are expressed using the notion of optimal level of implicit mark-up. Finally, some of the previous results are used to explore - as a first approximation - three hypoteses concerning the expected mark-up variations along the cycle. The preliminary conclusion favors the anti-cyclical hypothesis.