The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seen as homoscedastic. Next, with regard to forecasting performance, we show that the prediction intervals based on the ARIMA model can be inappropriate as they incorporate the unit root while the intervals of the local level model can converge to the homoscedastic intervals when the heteroscedasticity appears only in the transitory noise. All the analytical results are illustrated with simulated and real time series

Prediction intervals in conditionally heteroscedastic time series with stochastic components.

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original series. However, the heteroscedasticity observed in the stationary transformation should be generated by the transitory and/or the long-run component of the original data. In the former case, the shocks to the variance are transitory and the prediction intervals should converge to homoscedastic intervals with the prediction horizon.We show that, in this case, the prediction intervals constructed from the ARIMA-GARCH models could be inadequate because they never converge to homoscedastic intervals. All of the results are illustrated using simulated and real time series with stochastic levels.ARIMA-GARCH models; Local level model; Nonlinear time series; State space models; Unobserved component models;

The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seen as homoscedastic. Next, with regard to forecasting performance, we show that the prediction intervals based on the ARIMA model can be inappropriate as they incorporate the unit root while the intervals of the local level model can converge to the homoscedastic intervals when the heteroscedasticity appears only in the transitory noise. All the analytical results are illustrated with simulated and real time series.

Conditionally heteroscedastic unobserved component models and their reduced form

The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.Financial support from Project SEJ2006-03919 by the Spanish Government is gratefully acknowledgedPublicad

Book review: Furtado, Celso (2020): The myth of economic development, Medford, MA, USA and Cambridge, UK (111 pages, Polity Press, hardcover, ISBN 978-1-5095-4013-6; softcover, ISBN 978-1-5095-4014-3; ebook, ISBN 978-1-5095-4015-0)

On the 100th anniversary of Celso Furtado's birth, several publications, such as Klüger (2020) and Lacerda et al. (2020), and conferences, such as 'Celso Furtado 100 anos', were created to honour the achievements of one of the founders of Latin American Structuralism. In this context, Polity Press has published, for the first time in English, Furtado's book from 1974, O Mito do Desenvolvimento Econômico. In this book, Furtado aims to unmask what he names as 'the myth of economic development', which acts as guidance for most economic models of development. In short, the myth consists of the belief that consumption patterns from central countries, associated with development, can be universalized to the entire population of undeveloped peripheral countries. To elaborate on his arguments, Furtado critically revises 'The limits to growth' (LTG) report (Meadows et al. 1972), commissioned by the club of Rome. This study concluded, by means of a computational model, that the world seen as a whole system would find its limits to growth approximately 100 years after the publication of the LTG report. According to Furtado, this report, which has had great influence in the de-growth literature (Fournier 2008), is wrongly based on the myth of economic development and consequently overestimates the consequences of growth, leading to 'catastrophic conclusions'. The English version of O Mito do Desenvolvimento Econômico analysed in the present review includes an introduction by Ndongo Samba Sylla, which presents a short biography of Furtado focusing on his academic influences and studies, publications, and research framework. In addition, the introduction provides a summary of the LTG report and a summary and analysis of The Myth of Economic Development itself.Fil: Graña Colella, Santiago. Universidad Nacional de Mar del Plata. Facultad de Ciencias Económicas y Sociales; Argentina.Fil: Pellegrini, Mariana. Berlin School of Economics and Law (HWR), Germany and University Sorbonne Paris Nord (USPN); France

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to forecast future values of the original series. However, the heteroscedasticity observed in the stationary transformation should be generated by the transitory and/or the long-run component of the original data. In the former case, the shocks to the variance are transitory and the prediction intervals should converge to homoscedastic intervals with the prediction horizon.We show that, in this case, the prediction intervals constructed from the ARIMA-GARCH models could be inadequate because they never converge to homoscedastic intervals. All of the results are illustrated using simulated and real time series with stochastic levels.Publicad

Predicción en modelos de componentes inobservables condicionalmente heteroscedásticos

During the last two decades, there has been an increasing interest in the academic and practitioner world on modelling the volatility clustering observed in many economic and financial series. This research was pioneered by Engle (1982) and Bollerslev (1986), with the introduction of GARCH models. It is also common to observe stochastic trends in many economic and financial time series. In this case, a popular practice is to take differences in order to obtain a stationary transformation. Then, an ARMA model is fitted to this transformation to represent the transitory dependence. Alternatively, the dynamic properties of series with stochastic trends may be represented by unobserved component models. It is well known that both models are equivalent when the disturbances are Gaussian. In this case, the reduced form of an unobserved component model is an ARIMA model with restrictions on the parameters; see, for example, Harvey (1989). The main difference between both specifications is that while the ARIMA model includes only one disturbance, the corresponding unobserved component model incorporates several disturbances. Consequently, working with the ARIMA specification is usually simpler. However, using the unobserved components model may lead to discover features of the series that are not apparent in the reduced form model because they arise when estimating the components. When combining both, stochastic trends and volatility clustering, the ARIMA and unobserved component models are not in general Gaussian. This implies that they are no longer equivalent when allowing for conditional heteroscedasticity in the noises. Among the large number of works devoted to studying and applying models that combine these features, almost none of them made a comparative analysis between the two alternatives. This important issue remains somewhat unexplored. Therefore, we think that more effort should be placed in this respect, specially in what regards to forecasting performance. The study of this issue represents the main goal of this thesi

Respuestas de elección durante el contraste negativo sucesivo consumatorio en ratas

In rats, a change from a preferred solution (e.g. 32% sucrose) to a less preferred (e.g. 4%) produces an abrupt decrement in consumption below the levels of an unshifted group that always had access to the less preferred solution. This phenomenon -known as consummatory successive negative contrast effect- occurs with simultaneous changes in ambient or gustative cues and with multiple response options, with the reinforcer located in several different places. In the present experiment a group of rats was trained during the pre-shift phase with an almond flavored preferred solution (i.e. 32%A) and another group with a less preferred flavored solution (i.e. 4%A). Post-shift phase took place in a newly different context where all animals could choose between 4% and 4%A. Results showed a negative contrast effect in the downshifted animals and a preference for the familiar flavored solution in both groups.En ratas, el cambio de una solución preferida (agua azucarada al 32%) por otra menos preferida (agua azucarada al 4%) produce una caída del consumo por debajo de un grupo control no devaluado, el cual siempre recibe acceso a la solución de valor bajo. Este fenómeno denominado contraste negativo sucesivo consumatorio ocurre incluso cuando la devaluación coincide con cambios en las claves ambientales o gustativas y cuando hay múltiples opciones de respuesta (con el reforzador de valor bajo disponible en varios lugares). En este artículo se presenta un experimento donde un grupo de ratas se entrenó en la fase pre-cambio con una solución preferida con sabor a almendra (32%A) y otro con una menos preferida (4%A). La fase post-cambio se realizó en un contexto distinto y novedoso, donde todos los animales pudieron elegir entre consumir 4% o 4%A. Se observó un efecto de contraste negativo en los animales que experimentaron la devaluación y una preferencia por la solución con el sabor a almendra utilizado durante la fase precambio en los sujetos de ambos grupos

ATP released by intestinal bacteria limits the generation of protective IgA against enteropathogens

T cell dependent secretory IgA (SIgA) generated in the Peyer’s patches (PPs) of the small intestine shapes a broadly diverse microbiota that is crucial for host physiology. The mutualistic co-evolution of host and microbes led to the relative tolerance of host’s immune system towards commensal microorganisms. The ATP-gated ionotropic P2X7 receptor limits T follicular helper (Tfh) cells expansion and germinal center (GC) reaction in the PPs. Here we show that transient depletion of intestinal ATP can dramatically improve high-affinity IgA response against both live and inactivated oral vaccines. Ectopic expression of Shigella flexneri periplasmic ATP-diphosphohydrolase (apyrase) abolishes ATP release by bacteria and improves the specific IgA response against live oral vaccines. Antibody responses primed in the absence of intestinal extracellular ATP (eATP) also provide superior protection from enteropathogenic infection. Thus, modulation of eATP in the small intestine can affect highaffinity IgA response against gut colonizing bacteria

Epidemiology, patterns of care, and mortality for patients with acute respiratory distress syndrome in intensive care units in 50 countries

IMPORTANCE: Limited information exists about the epidemiology, recognition, management, and outcomes of patients with the acute respiratory distress syndrome (ARDS). OBJECTIVES: To evaluate intensive care unit (ICU) incidence and outcome of ARDS and to assess clinician recognition, ventilation management, and use of adjuncts-for example prone positioning-in routine clinical practice for patients fulfilling the ARDS Berlin Definition. DESIGN, SETTING, AND PARTICIPANTS:The Large Observational Study to Understand the Global Impact of Severe Acute Respiratory Failure (LUNG SAFE) was an international, multicenter, prospective cohort study of patients undergoing invasive or noninvasive ventilation, conducted during 4 consecutive weeks in the winter of 2014 in a convenience sample of 459 ICUs from 50 countries across 5 continents. EXPOSURES:Acute respiratory distress syndrome. MAIN OUTCOMES AND MEASURES: The primary outcome was ICU incidence of ARDS. Secondary outcomes included assessment of clinician recognition of ARDS, the application of ventilatory management, the use of adjunctive interventions in routine clinical practice, and clinical outcomes from ARDS. RESULTS: Of 29,144 patients admitted to participating ICUs, 3022 (10.4%) fulfilled ARDS criteria. Of these, 2377 patients developed ARDS in the first 48 hours and whose respiratory failure was managed with invasive mechanical ventilation. The period prevalence of mild ARDS was 30.0% (95% CI, 28.2%-31.9%); of moderate ARDS, 46.6% (95% CI, 44.5%-48.6%); and of severe ARDS, 23.4% (95% CI, 21.7%-25.2%). ARDS represented 0.42 cases per ICU bed over 4 weeks and represented 10.4% (95% CI, 10.0%-10.7%) of ICU admissions and 23.4% of patients requiring mechanical ventilation. Clinical recognition of ARDS ranged from 51.3% (95% CI, 47.5%-55.0%) in mild to 78.5% (95% CI, 74.8%-81.8%) in severe ARDS. Less than two-thirds of patients with ARDS received a tidal volume 8 of mL/kg or less of predicted body weight. Plateau pressure was measured in 40.1% (95% CI, 38.2-42.1), whereas 82.6% (95% CI, 81.0%-84.1%) received a positive end-expository pressure (PEEP) of less than 12 cm H2O. Prone positioning was used in 16.3% (95% CI, 13.7%-19.2%) of patients with severe ARDS. Clinician recognition of ARDS was associated with higher PEEP, greater use of neuromuscular blockade, and prone positioning. Hospital mortality was 34.9% (95% CI, 31.4%-38.5%) for those with mild, 40.3% (95% CI, 37.4%-43.3%) for those with moderate, and 46.1% (95% CI, 41.9%-50.4%) for those with severe ARDS. CONCLUSIONS AND RELEVANCE: Among ICUs in 50 countries, the period prevalence of ARDS was 10.4% of ICU admissions. This syndrome appeared to be underrecognized and undertreated and associated with a high mortality rate. These findings indicate the potential for improvement in the management of patients with ARDS