Over the past decades technological developments have both changed and increased human in influence on the marine environment. We now have greater potential than ever before to introduce disturbance and deplete marine resources. Two of the issues currently under public scrutiny are the exploitation of fish stocks worldwide and levels of anthropogenic noise in the marine environment. The aim of this thesis is to investigate and develop novel analyses and simulations to provide additional insight into some of the challenges facing the marine ecosystem today. These methodologies will improve the management of these risks to marine ecosystems. This thesis first addresses the issue of competition between humans and grey seals (Halichoerus grypus) for marine resources, providing compelling evidence that a substantial proportion of the sandeels consumed by grey seals in the North Sea are in fact H. lanceolatus, which is not commercially exploited, rather than the commercially important A. marinus. In addition, we present quantitative results regarding sources of bias when estimating the total biomass of sandeels consumed by grey seals. Secondly, we investigate spatially adaptive 2-dimensional smoothing to improve the prediction of both the presence and density of marine species, information that is often key in the management of marine ecosystems. Particularly, we demonstrate the benefits of such methods in the prediction of sandeel occurrence. Lastly this thesis provides a quantitative assessment of the protocols for real-time monitoring of marine mammal presence, which require that acoustic operations cease when an animal is detected within a certain distance (i.e. the "monitoring zone") of the sound source. We assess monitoring zones of different sizes with regards to their effectiveness in reducing the risks of temporary and permanent damage to the animals' hearing, and demonstrate that a monitoring zone of 2 km is generally recommendable.

O objetivo deste trabalho foi descrever as associações entre os percentuais de gravidez na adolescência e indicadores socioeconômicos e de responsabilidade social dos municípios do estado de Minas Gerais, sudeste do Brasil, no ano de 2000 a 2010. Trata-se de um estudo ecológico, utilizando dados do Sistema de Informações sobre Nascidos Vivos (SINASC). O percentual de nascidos vivos de mães adolescentes para cada município foi calculado segundo o quociente entre o número de nascidos vivos de mães com idade entre 10 e 19 anos e o número total de nascidos vivos registrados no ano de 2000 a 2010. Modelos bayesianos e modelos aditivos generalizados foram utilizados para a obtenção de percentuais de gravidez adolescente ajustados por efeitos espaciais e para avaliar as possíveis associações com os indicadores socioeconômicos e de responsabilidade social. Os percentuais brutos de gravidez adolescente em relação ao total de nascidos vivos nos municípios de Minas Gerais no ano de 2010 variaram de 0 a 46,4%, com uma mediana de 19,6%. O primeiro e o terceiro quartis são, respectivemente, 15,6% e 23,1%. O estudo evidenciou uma estreita relação entre a gravidez na adolescência e indicadores econômicos e sociais. Os percentuais de gravidez adolescente se mostraram maiores nos municípios com menor tamanho populacional, menores valores do Índice de Desenvolvimento Humano e menores valores de outros indicadores de desenvolvimento. A forte relação entre os percentuais de gravidez adolescente e os indicadores sociais e econômicos sugerem que a gravidez adolescente é muito mais um problema social que biológico. Os programas e as ações devem ir muito além de educação sexual e informações sobre métodos preventivos de saúde. / The objective of this study was to describe associations between pregnancy rates in adolescence and socio-economic and social responsibility indicators in the municipalities of the State of Minas Gerais, Southeast of Brazil, in the year of 2010- 2010. This is an ecological study using data from the Brazilian Live Birth Information System (SINASC). The percentage of live births to adolescent mothers for each municipality was calculated based on the quotient between number of born alive infants of mothers aged 10-19 years old and total number of live births in the year of 2000-2010. Bayesian models and generalized additive model were used to obtain the percentages of adolescence pregnancy adjusted for spatial effects and to assess possible associations with socio-economic and social responsibility indicators. The crude percentage of adolescence pregnancy for the total number of live births in the municipalities of Minas Gerais in 2010 ranged from 0 to 46.4%, with median percentage being 19.6% and the first and third quartiles being 15.6% and 23.1%, respectively. This study has demonstrated a close relationship between adolescent pregnancy and socio-economic indicators. Live births to adolescent mothers percentages were found to be higher in municipalities with low population density, low human development index, and other low development indicators. The strong relationship between adolescence pregnancy percentages and socio-economic indicators suggests that adolescent pregnancy is more a social than a biological problem. Therefore, programs and actions should go beyond sexual education and information on preventive health methods.

Existe uma grande e crescente literatura sobre especificação e estimação de fronteiras de produção e, portanto, de eficiência de unidades produtivas. Nesta tese, o foco esta sobre modelos de fronteiras determinísticas, os quais são baseados na hipótese de que os dados observados pertencem ao conjunto tecnológico. Dentre os modelos estatísticos e estimadores para fronteiras determinísticas existentes, uma abordagem promissora e a adotada por Martins-Filho e Yao (2007). Esses autores propõem um procedimento de estimação composto por três estágios. Esse estimador e de fácil implementação, visto que envolve procedimentos não-paramétricos bem conhecidos. Além disso, o estimador possui características desejáveis vis-à-vis estimadores para fronteiras determinísticas tradicionais como DEA e FDH. Nesta tese, três artigos, que melhoram o modelo proposto por Martins-Filho e Yao (2007), sao propostos. No primeiro artigo, o procedimento de estimação desses autores e melhorado a partir de uma variação do estimador exponencial local, proposto por Ziegelmann (2002). Demonstra-se que estimador proposto a consistente e assintoticamente normal. Além disso, devido ao estimador exponencial local, estimativas potencialmente negativas para a função de variância condicional, que poderiam prejudicar a aplicabilidade do estimador proposto por Martins-Filho e Yao, são evitadas. No segundo artigo, e proposto um método original para estimação de fronteiras de produção em apenas dois estágios. E mostrado que se pode eliminar o segundo estágio proposto por Martins-Filho e Yao, assim como, eliminar o segundo estagio proposto no primeiro artigo desta tese. Em ambos os casos, a estimação do mesmo modelo de fronteira de produção requer três estágios, sendo versões diferentes para o segundo estagio. As propriedades assintóticas do estimador proposto são analisadas, mostrando-se consistência e normalidade assintótica sob hipóteses razoáveis. No terceiro artigo, a proposta uma variação semi-paramétrica do modelo estudado no segundo artigo. Reescreve-se aquele modelo de modo que se possa estimar a fronteira de produção e a eficiência de unidades produtivas no contexto de múltiplos insumos, sem incorrer no curse of dimensionality. A abordagem adotada coloca o modelo na estrutura de modelos aditivos, a partir de hipóteses sobre como os insumos se combinam no processo produtivo. Em particular, considera-se aqui os casos de insumos aditivos e insumos multiplicativos, os quais são amplamente considerados em teoria econômica e aplicações. Estudos de Monte Carlo são apresentados em todos os artigos, afim de elucidar as propriedades dos estimadores propostos em amostras finitas. Além disso, estudos com dados reais são apresentados em todos os artigos, nos quais são estimador rankings de eficiência para uma amostra de departamentos policiais dos EUA, a partir de dados sobre criminalidade daquele país. / There exists a large and growing literature on the specification and estimation of production frontiers and therefore efficiency of production units. In this thesis we focus on deterministic production frontier models, which are based on the assumption that all observed data lie in the technological set. Among the existing statistical models and estimators for deterministic frontiers, a promising approach is that of Martins-Filho and Yao (2007). They propose an estimation procedure that consists of three stages. Their estimator is fairly easy to implement as it involves standard nonparametric procedures. In addition, it has a number of desirable characteristics vis-a-vis traditional deterministic frontier estimators as DEA and FDH. In this thesis we propose three papers that improve the model proposed in Martins-Filho and Yao (2007). In the first paper we improve their estimation procedure by adopting a variant of the local exponential smoothing proposed in Ziegelmann (2002). Our estimator is shown to be consistent and asymptotically normal. In addition, due to local exponential smoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filho and Yao's estimator is avoided. In the second paper we propose a novel method for estimating production frontiers in only two stages. (Continue). There we show that we can eliminate the second stage of Martins-Filho and Yao as well as of our first paper, where estimation of the same frontier model requires three stages under different versions for the second stage. We study asymptotic properties showing consistency andNirtnin, asymptotic normality of our proposed estimator under standard assumptions. In the third paper we propose a semiparametric variation of the frontier model studied in the second paper. We rewrite that model allowing for estimating the production frontier and efficiency of production units in a multiple input context without suffering the curse of dimensionality. Our approach places that model within the framework of additive models based on assumptions regarding the way inputs combine in production. In particular, we consider the cases of additive and multiplicative inputs, which are widely considered in economic theory and applications. Monte Carlo studies are performed in all papers to shed light on the finite sample properties of the proposed estimators. Furthermore a real data study is carried out in all papers, from which we rank efficiency within a sample of USA Law Enforcement agencies using USA crime data.

O objetivo deste trabalho foi descrever as associações entre os percentuais de gravidez na adolescência e indicadores socioeconômicos e de responsabilidade social dos municípios do estado de Minas Gerais, sudeste do Brasil, no ano de 2000 a 2010. Trata-se de um estudo ecológico, utilizando dados do Sistema de Informações sobre Nascidos Vivos (SINASC). O percentual de nascidos vivos de mães adolescentes para cada município foi calculado segundo o quociente entre o número de nascidos vivos de mães com idade entre 10 e 19 anos e o número total de nascidos vivos registrados no ano de 2000 a 2010. Modelos bayesianos e modelos aditivos generalizados foram utilizados para a obtenção de percentuais de gravidez adolescente ajustados por efeitos espaciais e para avaliar as possíveis associações com os indicadores socioeconômicos e de responsabilidade social. Os percentuais brutos de gravidez adolescente em relação ao total de nascidos vivos nos municípios de Minas Gerais no ano de 2010 variaram de 0 a 46,4%, com uma mediana de 19,6%. O primeiro e o terceiro quartis são, respectivemente, 15,6% e 23,1%. O estudo evidenciou uma estreita relação entre a gravidez na adolescência e indicadores econômicos e sociais. Os percentuais de gravidez adolescente se mostraram maiores nos municípios com menor tamanho populacional, menores valores do Índice de Desenvolvimento Humano e menores valores de outros indicadores de desenvolvimento. A forte relação entre os percentuais de gravidez adolescente e os indicadores sociais e econômicos sugerem que a gravidez adolescente é muito mais um problema social que biológico. Os programas e as ações devem ir muito além de educação sexual e informações sobre métodos preventivos de saúde. / The objective of this study was to describe associations between pregnancy rates in adolescence and socio-economic and social responsibility indicators in the municipalities of the State of Minas Gerais, Southeast of Brazil, in the year of 2010- 2010. This is an ecological study using data from the Brazilian Live Birth Information System (SINASC). The percentage of live births to adolescent mothers for each municipality was calculated based on the quotient between number of born alive infants of mothers aged 10-19 years old and total number of live births in the year of 2000-2010. Bayesian models and generalized additive model were used to obtain the percentages of adolescence pregnancy adjusted for spatial effects and to assess possible associations with socio-economic and social responsibility indicators. The crude percentage of adolescence pregnancy for the total number of live births in the municipalities of Minas Gerais in 2010 ranged from 0 to 46.4%, with median percentage being 19.6% and the first and third quartiles being 15.6% and 23.1%, respectively. This study has demonstrated a close relationship between adolescent pregnancy and socio-economic indicators. Live births to adolescent mothers percentages were found to be higher in municipalities with low population density, low human development index, and other low development indicators. The strong relationship between adolescence pregnancy percentages and socio-economic indicators suggests that adolescent pregnancy is more a social than a biological problem. Therefore, programs and actions should go beyond sexual education and information on preventive health methods.

There is a growing need for accurate distribution data for both common and rare plant species for conservation planning and ecological research purposes. A database of more than 500 observations for nine tree species with different ecological and geographical distributions and a range of frequencies of occurrence in south-eastern New South Wales (Australia) was used to compare the predictive performance of logistic regression models, generalised additive models (GAMs) and classification tree models (CTMs) using different data restriction regimes and several model-building strategies. Environmental variables (mean annual rainfall, mean summer rainfall, mean winter rainfall, mean annual temperature, mean maximum summer temperature, mean minimum winter temperature, mean daily radiation, mean daily summer radiation, mean daily June radiation, lithology and topography) were used to model the distribution of each of the plant species in the study area. Model predictive performance was measured as the area under the curve of a receiver operating characteristic (ROC) plot. The initial predictive performance of logistic regression models and generalised additive models (GAMs) using unrestricted, temperature restricted, major gradient restricted and climatic domain restricted data gave results that were contrary to current practice in species distribution modelling. Although climatic domain restriction has been used in other studies, it was found to produce models that had the lowest predictive performance. The performance of domain restricted models was significantly (p = 0.007) inferior to the performance of major gradient restricted models when the predictions of the models were confined to the climatic domain of the species. Furthermore, the effect of data restriction on model predictive performance was found to depend on the species as shown by a significant interaction between species and data restriction treatment (p = 0.013). As found in other studies however, the predictive performance of GAM was significantly (p = 0.003) better than that of logistic regression. The superiority of GAM over logistic regression was unaffected by different data restriction regimes and was not significantly different within species. The logistic regression models used in the initial performance comparisons were based on models developed using the forward selection procedure in a rigorous-fitting model-building framework that was designed to produce parsimonious models. The rigorous-fitting modelbuilding framework involved testing for the significant reduction in model deviance (p = 0.05) and significance of the parameter estimates (p = 0.05). The size of the parameter estimates and their standard errors were inspected because large estimates and/or standard errors are an indication of model degradation from overfilling or effecls such as mullicollinearily. For additional variables to be included in a model, they had to contribule significantly (p = 0.025) to the model prediclive performance. An attempt to improve the performance of species distribution models using logistic regression models in a rigorousfitting model-building framework, the backward elimination procedure was employed for model selection, bul it yielded models with reduced performance. A liberal-filling model-building framework that used significant model deviance reduction at p = 0.05 (low significance models) and 0.00001 (high significance models) levels as the major criterion for variable selection was employed for the development of logistic regression models using the forward selection and backward elimination procedures. Liberal filling yielded models that had a significantly greater predictive performance than the rigorous-fitting logistic regression models (p = 0.0006). The predictive performance of the former models was comparable to that of GAM and classification tree models (CTMs). The low significance liberal-filling models had a much larger number of variables than the high significance liberal-fitting models, but with no significant increase in predictive performance. To develop liberal-filling CTMs, the tree shrinking program in S-PLUS was used to produce a number of trees of differenl sizes (subtrees) by optimally reducing the size of a full CTM for a given species. The 10-fold cross-validated model deviance for the subtrees was plotted against the size of the subtree as a means of selecting an appropriate tree size. In contrast to liberal-fitting logistic regression, liberal-fitting CTMs had poor predictive performance. Species geographical range and species prevalence within the study area were used to categorise the tree species into different distributional forms. These were then used, to compare the effect of plant species rarity on the predictive performance of logistic regression models, GAMs and CTMs. The distributional forms included restricted and rare (RR) species (Eucalyptus paliformis and Eucalyptus kybeanensis), restricted and common (RC) species (Eucalyptus delegatensis, Eucryphia moorei and Eucalyptus fraxinoides), widespread and rare (WR) species (Eucalyptus data) and widespread and common (WC) species (Eucalyptus sieberi, Eucalyptus pauciflora and Eucalyptus fastigata). There were significant differences (p = 0.076) in predictive performance among the distributional forms for the logistic regression and GAM. The predictive performance for the WR distributional form was significantly lower than the performance for the other plant species distributional forms. The predictive performance for the RC and RR distributional forms was significantly greater than the performance for the WC distributional form. The trend in model predictive performance among plant species distributional forms was similar for CTMs except that the CTMs had poor predictive performance for the RR distributional form. This study shows the importance of data restriction to model predictive performance with major gradient data restriction being recommended for consistently high performance. Given the appropriate model selection strategy, logistic regression, GAM and CTM have similar predictive performance. Logistic regression requires a high significance liberal-fitting strategy to both maximise its predictive performance and to select a relatively small model that could be useful for framing future ecological hypotheses about the distribution of individual plant species. The results for the modelling of plant species for conservation purposes were encouraging since logistic regression and GAM performed well for the restricted and rare species, which are usually of greater conservation concern.

[Truncated abstract] The aim of this research was to define key species-environment relationships to better understand the spatial ecology of demersal fish. To help understand these relationships a combination of multivariate analyses, landscape analysis and species distribution models were employed. Of particular interest was to establish the scale at which these species respond to their environment. With recent high resolution surveying and mapping of the benthos in five of Victoria's Marine National Parks (MNPs), full coverage bathymetry, terrain data and accurate predicted benthic habitat maps were available for each of these parks. This information proved invaluable to this research, providing detailed (1:25,000) benthic environmental data, which facilitated the development and implementation of a very targeted and robust sampling strategy for the demersal fish at Cape Howe MNP. The sampling strategy was designed to provide good spatial coverage of the park and to represent the park's dominant substrate types and benthic communities, whilst also satisfying the assumptions of the statistical and spatial analyses applied. The fish assemblage data was collected using baited remote underwater stereo-video systems (stereo- BRUVS), with a total of 237 one-hour drops collected. Analysis of the video footage identified 77 species belonging to 40 families with a total of 14,449 individual fish recorded. ... This research revealed that the statistical modelling techniques employed provided an accurate means for predicting species distributions. These predicted distributions will allow for more effective management of these species by providing a robust and spatially explicit map of their current distribution enabling the identification and prediction of future changes in these species distributions. This research demonstrated the importance of the benthic environment on the spatial distribution of demersal fish. The results revealed that different species responded to different scales of investigation and that all scales must be ix considered to establish the factors fish are responding to and the strength and nature of this response. Having individual, continuous and spatially explicit environmental measures provided a significant advantage over traditional measures that group environmental and biological factors into 'habitat type'. It enabled better identification of individual factors, or correlates, driving the distribution of demersal fish. The environmental and biological measures were found to be of ecological relevance to the species and the scale of investigation and offered a more informative description of the distributions of the species examined. The use of species distribution modelling provided a robust means for the characterisation of the nature and strength of these relationships. In addition, it enabled species distributions to be predicted accurately across unsampled locations. Outcomes of the project include a greater understanding of how the benthic environment influences the distribution of demersal fish and demonstrates a suite of robust and useful marine species distribution tools that may be used by researcher and managers to understand, monitor, manage and predict marine species distributions.

A estimação e previsão da volatilidade de ativos são de suma importância para os mercados financeiros. Temas como risco e incerteza na teoria econômica moderna incentivaram a procura por métodos capazes de modelar uma variância condicional que evolui ao longo do tempo. O objetivo principal desta dissertação é comparar alguns métodos de regressão global e local quanto à extração da volatilidade dos índices Ibovespa e Standard and Poor´s 500. Para isto, são realizadas estimações e previsões com os modelos GARCH paramétricos e com os modelos aditivos semi-paramétricos. Os primeiros, tradicionalmente utilizados na estimação de segundos momentos condicionais, têm sua capacidade sugerida em diversos artigos. Os segundos provêm alta flexibilidade e descrições visualmente informativas das relações entre as variáveis, tais como assimetrias e não linearidades. Sendo assim, testar o desempenho dos últimos frente às estruturas paramétricas consagradas apresenta-se como uma investigação apropriada. A realização das comparações ocorre em períodos selecionados de alta volatilidade no mercado financeiro internacional (crises), sendo a performance dos modelos medida dentro e fora da amostra. Os resultados encontrados sugerem a capacidade dos modelos semi-paramétricos em estimar e prever a volatilidade dos retornos dos índices nos momentos analisados. / Volatility estimation and forecasting are very important matters for the financial markets. Themes like risk and uncertainty in modern economic theory have encouraged the search for methods that allow for the modeling of time varying variances. The main objective of this dissertation is to compare global and local regressions in terms of their capacity to extract the volatility of Ibovespa and Standard and Poor 500 indexes. To achieve this aim, parametric GARCH and semiparametric additive models estimation and forecasting are performed. The first ones, traditionally applied in the estimation of conditional second moments, have their capacity suggested in many papers. The second ones provide high flexibility and visually informative descriptions of the relationships between the variables, like asymmetries and nonlinearities. Therefore, testing the last ones´ performance against the acknowledged parametric structures is an appropriate investigation. Comparisons are made in selected periods of high volatility in the international financial market (crisis), measuring the models´ performance inside and outside sample. The results that were found suggest the capacity of semiparametric models to estimate and forecast the Indexes returns´ volatility at the analyzed moments.

Existe uma grande e crescente literatura sobre especificação e estimação de fronteiras de produção e, portanto, de eficiência de unidades produtivas. Nesta tese, o foco esta sobre modelos de fronteiras determinísticas, os quais são baseados na hipótese de que os dados observados pertencem ao conjunto tecnológico. Dentre os modelos estatísticos e estimadores para fronteiras determinísticas existentes, uma abordagem promissora e a adotada por Martins-Filho e Yao (2007). Esses autores propõem um procedimento de estimação composto por três estágios. Esse estimador e de fácil implementação, visto que envolve procedimentos não-paramétricos bem conhecidos. Além disso, o estimador possui características desejáveis vis-à-vis estimadores para fronteiras determinísticas tradicionais como DEA e FDH. Nesta tese, três artigos, que melhoram o modelo proposto por Martins-Filho e Yao (2007), sao propostos. No primeiro artigo, o procedimento de estimação desses autores e melhorado a partir de uma variação do estimador exponencial local, proposto por Ziegelmann (2002). Demonstra-se que estimador proposto a consistente e assintoticamente normal. Além disso, devido ao estimador exponencial local, estimativas potencialmente negativas para a função de variância condicional, que poderiam prejudicar a aplicabilidade do estimador proposto por Martins-Filho e Yao, são evitadas. No segundo artigo, e proposto um método original para estimação de fronteiras de produção em apenas dois estágios. E mostrado que se pode eliminar o segundo estágio proposto por Martins-Filho e Yao, assim como, eliminar o segundo estagio proposto no primeiro artigo desta tese. Em ambos os casos, a estimação do mesmo modelo de fronteira de produção requer três estágios, sendo versões diferentes para o segundo estagio. As propriedades assintóticas do estimador proposto são analisadas, mostrando-se consistência e normalidade assintótica sob hipóteses razoáveis. No terceiro artigo, a proposta uma variação semi-paramétrica do modelo estudado no segundo artigo. Reescreve-se aquele modelo de modo que se possa estimar a fronteira de produção e a eficiência de unidades produtivas no contexto de múltiplos insumos, sem incorrer no curse of dimensionality. A abordagem adotada coloca o modelo na estrutura de modelos aditivos, a partir de hipóteses sobre como os insumos se combinam no processo produtivo. Em particular, considera-se aqui os casos de insumos aditivos e insumos multiplicativos, os quais são amplamente considerados em teoria econômica e aplicações. Estudos de Monte Carlo são apresentados em todos os artigos, afim de elucidar as propriedades dos estimadores propostos em amostras finitas. Além disso, estudos com dados reais são apresentados em todos os artigos, nos quais são estimador rankings de eficiência para uma amostra de departamentos policiais dos EUA, a partir de dados sobre criminalidade daquele país. / There exists a large and growing literature on the specification and estimation of production frontiers and therefore efficiency of production units. In this thesis we focus on deterministic production frontier models, which are based on the assumption that all observed data lie in the technological set. Among the existing statistical models and estimators for deterministic frontiers, a promising approach is that of Martins-Filho and Yao (2007). They propose an estimation procedure that consists of three stages. Their estimator is fairly easy to implement as it involves standard nonparametric procedures. In addition, it has a number of desirable characteristics vis-a-vis traditional deterministic frontier estimators as DEA and FDH. In this thesis we propose three papers that improve the model proposed in Martins-Filho and Yao (2007). In the first paper we improve their estimation procedure by adopting a variant of the local exponential smoothing proposed in Ziegelmann (2002). Our estimator is shown to be consistent and asymptotically normal. In addition, due to local exponential smoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filho and Yao's estimator is avoided. In the second paper we propose a novel method for estimating production frontiers in only two stages. (Continue). There we show that we can eliminate the second stage of Martins-Filho and Yao as well as of our first paper, where estimation of the same frontier model requires three stages under different versions for the second stage. We study asymptotic properties showing consistency andNirtnin, asymptotic normality of our proposed estimator under standard assumptions. In the third paper we propose a semiparametric variation of the frontier model studied in the second paper. We rewrite that model allowing for estimating the production frontier and efficiency of production units in a multiple input context without suffering the curse of dimensionality. Our approach places that model within the framework of additive models based on assumptions regarding the way inputs combine in production. In particular, we consider the cases of additive and multiplicative inputs, which are widely considered in economic theory and applications. Monte Carlo studies are performed in all papers to shed light on the finite sample properties of the proposed estimators. Furthermore a real data study is carried out in all papers, from which we rank efficiency within a sample of USA Law Enforcement agencies using USA crime data.

A estimação e previsão da volatilidade de ativos são de suma importância para os mercados financeiros. Temas como risco e incerteza na teoria econômica moderna incentivaram a procura por métodos capazes de modelar uma variância condicional que evolui ao longo do tempo. O objetivo principal desta dissertação é comparar alguns métodos de regressão global e local quanto à extração da volatilidade dos índices Ibovespa e Standard and Poor´s 500. Para isto, são realizadas estimações e previsões com os modelos GARCH paramétricos e com os modelos aditivos semi-paramétricos. Os primeiros, tradicionalmente utilizados na estimação de segundos momentos condicionais, têm sua capacidade sugerida em diversos artigos. Os segundos provêm alta flexibilidade e descrições visualmente informativas das relações entre as variáveis, tais como assimetrias e não linearidades. Sendo assim, testar o desempenho dos últimos frente às estruturas paramétricas consagradas apresenta-se como uma investigação apropriada. A realização das comparações ocorre em períodos selecionados de alta volatilidade no mercado financeiro internacional (crises), sendo a performance dos modelos medida dentro e fora da amostra. Os resultados encontrados sugerem a capacidade dos modelos semi-paramétricos em estimar e prever a volatilidade dos retornos dos índices nos momentos analisados. / Volatility estimation and forecasting are very important matters for the financial markets. Themes like risk and uncertainty in modern economic theory have encouraged the search for methods that allow for the modeling of time varying variances. The main objective of this dissertation is to compare global and local regressions in terms of their capacity to extract the volatility of Ibovespa and Standard and Poor 500 indexes. To achieve this aim, parametric GARCH and semiparametric additive models estimation and forecasting are performed. The first ones, traditionally applied in the estimation of conditional second moments, have their capacity suggested in many papers. The second ones provide high flexibility and visually informative descriptions of the relationships between the variables, like asymmetries and nonlinearities. Therefore, testing the last ones´ performance against the acknowledged parametric structures is an appropriate investigation. Comparisons are made in selected periods of high volatility in the international financial market (crisis), measuring the models´ performance inside and outside sample. The results that were found suggest the capacity of semiparametric models to estimate and forecast the Indexes returns´ volatility at the analyzed moments.

Existe uma grande e crescente literatura sobre especificação e estimação de fronteiras de produção e, portanto, de eficiência de unidades produtivas. Nesta tese, o foco esta sobre modelos de fronteiras determinísticas, os quais são baseados na hipótese de que os dados observados pertencem ao conjunto tecnológico. Dentre os modelos estatísticos e estimadores para fronteiras determinísticas existentes, uma abordagem promissora e a adotada por Martins-Filho e Yao (2007). Esses autores propõem um procedimento de estimação composto por três estágios. Esse estimador e de fácil implementação, visto que envolve procedimentos não-paramétricos bem conhecidos. Além disso, o estimador possui características desejáveis vis-à-vis estimadores para fronteiras determinísticas tradicionais como DEA e FDH. Nesta tese, três artigos, que melhoram o modelo proposto por Martins-Filho e Yao (2007), sao propostos. No primeiro artigo, o procedimento de estimação desses autores e melhorado a partir de uma variação do estimador exponencial local, proposto por Ziegelmann (2002). Demonstra-se que estimador proposto a consistente e assintoticamente normal. Além disso, devido ao estimador exponencial local, estimativas potencialmente negativas para a função de variância condicional, que poderiam prejudicar a aplicabilidade do estimador proposto por Martins-Filho e Yao, são evitadas. No segundo artigo, e proposto um método original para estimação de fronteiras de produção em apenas dois estágios. E mostrado que se pode eliminar o segundo estágio proposto por Martins-Filho e Yao, assim como, eliminar o segundo estagio proposto no primeiro artigo desta tese. Em ambos os casos, a estimação do mesmo modelo de fronteira de produção requer três estágios, sendo versões diferentes para o segundo estagio. As propriedades assintóticas do estimador proposto são analisadas, mostrando-se consistência e normalidade assintótica sob hipóteses razoáveis. No terceiro artigo, a proposta uma variação semi-paramétrica do modelo estudado no segundo artigo. Reescreve-se aquele modelo de modo que se possa estimar a fronteira de produção e a eficiência de unidades produtivas no contexto de múltiplos insumos, sem incorrer no curse of dimensionality. A abordagem adotada coloca o modelo na estrutura de modelos aditivos, a partir de hipóteses sobre como os insumos se combinam no processo produtivo. Em particular, considera-se aqui os casos de insumos aditivos e insumos multiplicativos, os quais são amplamente considerados em teoria econômica e aplicações. Estudos de Monte Carlo são apresentados em todos os artigos, afim de elucidar as propriedades dos estimadores propostos em amostras finitas. Além disso, estudos com dados reais são apresentados em todos os artigos, nos quais são estimador rankings de eficiência para uma amostra de departamentos policiais dos EUA, a partir de dados sobre criminalidade daquele país. / There exists a large and growing literature on the specification and estimation of production frontiers and therefore efficiency of production units. In this thesis we focus on deterministic production frontier models, which are based on the assumption that all observed data lie in the technological set. Among the existing statistical models and estimators for deterministic frontiers, a promising approach is that of Martins-Filho and Yao (2007). They propose an estimation procedure that consists of three stages. Their estimator is fairly easy to implement as it involves standard nonparametric procedures. In addition, it has a number of desirable characteristics vis-a-vis traditional deterministic frontier estimators as DEA and FDH. In this thesis we propose three papers that improve the model proposed in Martins-Filho and Yao (2007). In the first paper we improve their estimation procedure by adopting a variant of the local exponential smoothing proposed in Ziegelmann (2002). Our estimator is shown to be consistent and asymptotically normal. In addition, due to local exponential smoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filho and Yao's estimator is avoided. In the second paper we propose a novel method for estimating production frontiers in only two stages. (Continue). There we show that we can eliminate the second stage of Martins-Filho and Yao as well as of our first paper, where estimation of the same frontier model requires three stages under different versions for the second stage. We study asymptotic properties showing consistency andNirtnin, asymptotic normality of our proposed estimator under standard assumptions. In the third paper we propose a semiparametric variation of the frontier model studied in the second paper. We rewrite that model allowing for estimating the production frontier and efficiency of production units in a multiple input context without suffering the curse of dimensionality. Our approach places that model within the framework of additive models based on assumptions regarding the way inputs combine in production. In particular, we consider the cases of additive and multiplicative inputs, which are widely considered in economic theory and applications. Monte Carlo studies are performed in all papers to shed light on the finite sample properties of the proposed estimators. Furthermore a real data study is carried out in all papers, from which we rank efficiency within a sample of USA Law Enforcement agencies using USA crime data.