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.     

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.     

Learning to negotiate network relations: social support among working mothers living in poverty

This study promotes our understanding of the complex and dynamic role that social support networks play in the everyday life of working mothers living in poverty, by focusing on the processes of negotiation involved in the creation, maintenance and mobilization of social ties. It is based on semi-structured interviews with 12 Israeli-Jewish working mothers who participated in an economic empowerment workshop. Findings indicate that the participants received much social support from relatives, friends and community activists. However, they further reveal the hard hidden work of negotiation and the process of learning involved in obtaining support. Particularly important in this context of poverty was the need to learn how to ask for support by overcoming feelings of shame and concerns about respectability, and to reduce social burdens by, among other things, refusing to participate in the ‘gift economy’ and limiting constraining social relationships. Finally, this study shows how the seemingly divergent interpretations of negotiation in social-exchange theory and symbolic interactionism (reaching an agreement that maximizes benefits versus preserving the relationship) often converge in everyday life situations.     

On the distribution of the maximum of bivariate normal random variables with general means and variances

A great amount of effort has been devoted to achieving exact expressions for moments of order statistics of independent normal random variables, as well as the dependent case with the same correlation coefficients, means and variances. It does not seem as if there are handy formulae for the order statistics of even the simple bivariate normal random variables when the means and variances are allowed to be different. In this paper we give an explicit formula for the Lanl ace-Stielties Transform of the maximum of bivariate normal random variables by which we obtain formulae for the first two moments in the standard way.     

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 Andersen , T. G. , Bollerslev , T. , Diebold , F. X. , Labys , P. ( 2001 ). The distribution of realized exchange rate volatility . Journal of the American Statistical Association 96 ( 453 ): 42 – 55 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]; Martens et al., 2004 Martnes , M. , Van Dijk , D. , De Pooter , M. ( 2004 ). Modeling and forecasting S&P 500 volatility: Long memory, structural breaks and nonlinearity. Tinbergen Institute Discussion Paper 2004-067/4 . [Google Scholar]). 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 Lieberman , O. , Phillips , P. C. B. ( 2004 ). Expansions for the distribution of the maximum likelihood estimator of the fractional difference parameter . Econometric Theory 20 ( 3 ): 464 – 484 . [Google Scholar], 2005 Lieberman , O. , Phillips , P. C. B. ( 2005 ). Expansions for approximate maximum likelihood estimators of the fractional difference parameter . The Econometrics Journal 8 : 367 – 379 . [Google Scholar]) 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 Andersen , T. G. , Bollerslev , T. , Diebold , F. X. , Labys , P. ( 2001 ). The distribution of realized exchange rate volatility . Journal of the American Statistical Association 96 ( 453 ): 42 – 55 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) and Martens et al. (2004 Martnes , M. , Van Dijk , D. , De Pooter , M. ( 2004 ). Modeling and forecasting S&P 500 volatility: Long memory, structural breaks and nonlinearity. Tinbergen Institute Discussion Paper 2004-067/4 . [Google Scholar]) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory, and generally confirms earlier findings.     

Individual and Familial Determinants of Married Arab Israeli Women's Labor Force Participation: Trends of Change and Stability

Although the Arab population in Israel has undergone important economic and social changes in the past decades, the labor force participation of Arab women, particularly married women, has remained limited. This study uses census data to learn about the individual and familial factors associated with the entry into paid work of married Arab women and examines the extent to which these factors have changed over time. A major advantage is that the study distinguishes between the Muslim, Christian, and Druze populations, who markedly differ in their demographic, social, and cultural characteristics. Results from logistic regression models and standardization analyses reveal that the growth in employment experienced by Arab women was associated with the increasing education of both wives and husbands. However, the returns to education significantly decreased over time, particularly among Druze women, suggesting it has become more difficult for highly educated women to find employment. Results further show that the growth in employment experienced by Muslim and Christian women was related both to a decline in fertility and to a decrease in the negative returns to having children. Overall, findings underscore the structural barriers that limit Arab Israeli women's employment opportunities and raise concerns about their future occupational prospects.     

The Socio-economic Integration of the Ethiopian Community in Israel

Using data from the 1995 Israeli Census of Population, this study examines the demographic, human capital, and labour force characteristics of the Ethiopian community in Israel and its determinants of employment. The results provide strong evidence for the overall disadvantaged socio‐economic status of the Ethiopian community and reveal substantial gaps in educational and occupational attainment between Ethiopian Israelis and members of other ethnic groups in Israeli society. Ethiopian Israelis have substantially lower levels of education, lower employment rates, and are more likely to have low‐skilled occupations. However, multivariate analyses show that the determinants of employment of Ethiopian Israelis are relatively similar to those of other ethnic groups. Education and veteran status are found to be especially important factors associated with increased odds of employment. Although the rates of return from education are lower among Israelis of Ethiopian origin compared to other ethnic groups, this study suggests that education constitutes the major avenue for upward mobility in the Ethiopian community. Nevertheless, considering their current disadvantaged position, the question of whether Ethiopian immigrants will manage in the long run to climb up the socio‐economic ladder and significantly improve their status, or whether they run the risk of becoming a marginalized ethnic group in Israeli society, remains a major concern. Implications for the formation of a new cleavage in Israeli society and the emergence of a stratification system based on race are discussed.     

Improved small sample inference in the mixed linear model: Bartlett correction and adjusted likelihood

The mixed linear model is a popular method for analysing unbalanced repeated measurement data. The classical statistical tests for parameters in this model are based on asymptotic theory that is unreliable in the small samples that are often encountered in practice. For testing a given fixed effect parameter with a small sample, we develop and investigate refined likelihood ratio (LR) tests. The refinements considered are the Bartlett correction and use of the Cox–Reid adjusted likelihood; these are examined separately and in combination. We illustrate the various LR tests on an actual data set and compare them in two simulation studies. The conventional LR test yields type I error rates that are higher than nominal. The adjusted LR test yields rates that are lower than nominal, with absolute accuracy similar to that of the conventional LR test in the first simulation study and better in the second. The Bartlett correction substantially improves the accuracy of the type I error rates with either the conventional or the adjusted LR test. In many cases, error rates that are very close to nominal are achieved with the refined methods.     

Bounds on the effect of heteroscedasticity on the chow test for structural change

This paper considers the effect of heteroscedastic regression errors on the size of the Chow test for structural stability. We show that bounds can be placed on the true size of this test in the light of such misspecification, and on the true critical value needed to achieve any desired significance level when using the test under various degrees of heteroscedasticity. These bounds are data-independent, and some cases are tabulated. Examples are given to illustrate the practical application of the critical value bounds.     

“IF YOU SIT AND CRY NO ONE WILL HELP YOU”: Understanding Perceptions of Worthiness and Social Support Relations among Low‐Income Women under a Neoliberal Discourse

Drawing on Wax's concept of “condition reciprocity,” this study draws on data from 35 in‐depth interviews to examine how low‐income women in Israel frame their reliance on personal networks for survival. Findings reveal that women used a similar rationale focusing on productivity with respect to their interpersonal relations. Consistent with the neoliberal principle of market citizenship, most women perceived themselves as worthy of support from personal networks based on their work commitment. By contrast, women who could not rely on a current, past, or future definition of productivity did not consider themselves as deserving support and experienced extreme social isolation.