Refined Inference on Long Memory in Realized Volatility

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about d by higher order theory. Standard asymptotic theory has an O(n^-1/2) error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of o(n^-1/2). The new formula is independent of unknown parameters, is simple to calculate and user-friendly. The method is applied to test whether the reported long memory parameter estimates of Andersen et al. (2001) and Martens et al. (2004) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory, and generally confirms earlier findings.     

Academic economists behaving badly? A survey on three areas of unethical behavior

This article measures the degree to which academic economists have engaged in unethical behavior and the degree to which academic economists believe the profession as a whole engages in unethical behavior. Three main types of unethical behavior are examined: (1) falsification of research; (2) expropriation of graduate student research or including an undeserving co-author on a research paper; and (3) exchange of grades for gifts, money, or sex. Using a unique data set gathered at the 1998 American Economic Association (AEA) meetings, we find that there is a significant amount of misconduct, particularly in the second category.     

Approximate estimation in nonlinear panel data models

This paper is concerned with the estimation of a general class of nonlinear panel data models in which the conditional distribution of the dependent variable and the distribution of the heterogeneity factors are arbitrary. In general, exact analytical results for this problem do not exist. Here, Laplace and small-sigma appriximations for the marginal likelihood are presented. The computation of the MLE from both approximations is straightforward. It is shown that the accuracy of the Laplace approximation depends on both the sample size and the variance of the individual effects, whereas the accuracy of the small-sigma approximation is 0(1) with respect to the sample size. The results are applied to count, duration and probit panel data models. The accuracy of the approximations is evaluated through a Monte Carlo simulation experiment. The approximations are also applied in an analysis of youth unemployment in Australia.     

Clinical practice and the social issues of foster care

Issues of values and commitment to children affect social provisions. A brief review of the historical background of the placement of children suggests that many of the current problems of staffing, funding and legal provisions are perpetuation of neglect of the basic needs of children. this neglect often results in a need for placement that might have been prevented by appropriate preventive supports. Lack of money is not considered the problem. Rather, political issues, values, and little commitment to children determine how the nation allocates its money.Editor of the Child & Adolescent Social Work Journal.     

Children,adolescents and social work: A statement from the editor

Current social policy affects clinical social work with children, adolescents, and their families. As a result of inadequate funding, many resources that are needed for prevention and therapeutic work are not adequate for the needs of the client group. Gaps in resources affect the welfare of children and their families and often contribute to the causes of mental health problems. Other issues related to service systems and professional arrangements affect the identity and status of clinical social workers and interfere with optimal professional activities.     

The triangle: The worker,the client,the agency

The power of the agency and its ability to enhance or detract from therapeutic work is discussed in relation to therapeutic failures. Most commonly a triangle involving the worker, the client, and the agency confound the problem. The historical base of this problem and present day influences on worker and client are reviewed. Suggestions are made for system changes to increase the power of the worker and to improve therapeutic work.This article is a revised version of a paper presented at the annual meeting of the Illinois Society of Clinical Social Work, April 25, 1981.