Semiparametric estimation in perturbed long memory series

The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a behaviour. This paper discusses frequency domain semiparametric estimation of the memory parameter and proposes an extension of the log periodogram regression which explicitly accounts for the added noise, comparing it, asymptotically and in finite samples, with similar extant techniques. Contrary to the non linear log periodogram regression of Sun and Phillips, we do not use a linear approximation of the logarithmic term which accounts for the added noise. A reduction of the asymptotic bias is achieved in this way and makes possible a faster convergence by permitting a larger bandwidth. Monte Carlo results confirm this bias reduction in finite samples. An application to a series of returns of the Spanish Ibex35 stock index is finally included.long memory, stochastic volatility, semiparametric estimation

Returns to Scale and Technical Efficiency in Colombian Coffee Production: Implications for Colombia’s Agricultural and Land Policies

This paper applies a parametric approach to estimate technical and scale (in)efficiencies using input and output data at the level of 850 individual Colombian coffee-farms. Different Stochastic Production Frontier functions are estimated using a two- step procedure that corrects the endogeneity that has been ignored in previous works, leading to more reliable (i.e. unbiased and consistent) results. We conclude that small and medium coffee farmers are technically inefficient and exhibit increasing returns to scale, whereas large coffee farmers are close to being quasi-technically efficient and exhibit decreasing returns to scale. The corrected-for-endogeneity estimation also indicates that small and medium-sized units must prioritise primarily the land factor, whereas large farms should concentrate their efforts on increasing the labour factor. Based on these results, several agricultural and land policy recommendations are made

Seasonal and cyclical long memory

There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept has been extended to SCLM (Seasonal/Cyclical Long Memory) where the dependence between seasonal or cyclic observations decays similarly slowly. We discuss issues related to SCLM processes such as modelling, estimation, statistical inference, applications and extensions

Log-periodogram regression in asymmetric long memory

summary:The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency, where the spectral density function is symmetric, are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter–Hudak [gewe]. In this paper we analyse the asymptotic properties of this estimate in the seasonal or cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency and asymptotic normality are obtained. Finite sample behaviour is evaluated via a Monte Carlo analysis

Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal plus Noise Models.

This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local Whittle estimator of the memory parameter in a long memory signal plus noise model which includes the Long Memory in Stochastic Volatility as a particular case. It is proved that this estimate preserves the consistency and asymptotic normality encountered in observable long memory series and under milder conditions it is more efficient than the estimator based on a log-periodogram regression. Although the asymptotic properties do not depend on the signal-to-noise ratio the finite sample performance rely upon this magnitude and an appropriate choice of the bandwidth is important to minimize the influence of the added noise. I analyze the effect of the bandwidth via Monte Carlo. An application to a Spanish stock index is finally included

Adbertsitate goiztiarra bizi izan duten ikasleengana hurbiltze asmoz ikertzen

57 p. : il.-- Bibliogr.: p. 36-41[EUS] Ikasleak banaka aztertuz gero guztiak desberdinak direla beha daiteke, hots, bakoitzak egoera, motibazio, erritmo, helburu, gaitasun eta gertaera desberdinak dituela. Ikusten nekezak badira ere, talde horren baitan adbertsitate goiztiarrak pairatutako haurrak aurki ditzakegu, Adverse Childhood Experiences (ACE) moduan ezagutzen dena. Honakoa kontuan hartuz, plazaratutako lan honen helburu nagusia ikasleek jasan duten adbertsitate goiztiarrera (ACE) hurbilpena egitea da. Horretarako hurrengo orrialdetan zehar adbertsitate goiztiar (ACE) kontzeptuarekin harremana duten gaien azterketa bibliografikoa egiteaz gain, eskolak haur hauei ematen dien erantzunaren lagin txiki bat ikertu eta aztertuko da.[ES] Si se analiza al alumnado individualmente se observa que todos son diferentes, es decir, cada uno tiene situaciones, motivaciones, ritmos, objetivos, capacidades y hechos diferentes. Aunque son difíciles de ver, dentro de este grupo podemos encontrar niños y niñas que han sufrido adversidades tempranas, lo que se conoce como Adverse Childhood Experiences (ACE). Teniendo en cuenta lo anterior, el objetivo principal de este trabajo es hacer una aproximación a la adversidad temprana (ACE) que ha sufrido el alumnado. Para ello, a lo largo de las siguientes páginas, además de realizar un análisis bibliográfico de los temas relacionados con el concepto de adversidad temprana (ACE), se estudiará y analizará una pequeña muestra de la respuesta de la escuela a estos niños.[EN] When analysing individual pupils, we can observe that they are all different, i.e. each one has their own situations, motivations, rhythms, objectives, abilities and facts. Although they are difficult to notice, within this group we can find children who have suffered early adversities, which are known as Adverse Childhood Experiences (ACE). Bearing this in mind, the main objective of this work is to provide an approach to the early adversity (ACE) that the students have suffered. For this purpose, throughout the following pages, in apart from carrying out a bibliographical analysis of the issues related to the concept of early adversity (ECA), a study and analysis of the school's response to these children will be presented

Log-periodogram regression in seasonal/cyclical long memory time series

The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency where the spectral density function is symmetric are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter-Hudak (1983). In this paper we analyse the asymptotic properties of this estimate in the seasonal/cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency and asymptotic normality are obtained

Hipersensibilidad cutánea retardada y riesgo de desarrollo de tuberculosis en personas infectadas por el virus de la inmunodeficiencia humana

Tesis Univ. Complutense de MadridDepto. de Inmunología, Oftalmología y ORLFac. de MedicinaTRUEpu