Detecting parameter shift in garch models

This paper applies recent theories of testing for parameter constancy to the conditional variance in a GARCH model. The supremum Lagrange multiplier test for conditional Gaussian GARCH models and its robustified variants are discussed. The asymptotic null distribution of the test statistics are derived from the weak convergence of the scores, and the critical values from the hitting probability of squared Bessel process.

Monte Carlo studies on the finite sample size and power performance of the supremum LM tests are conducted. Applications of these tests to S&P 500 indicate that the hypothesis of stable conditional variance parameters can be rejected.     

The availability of personal and external coping resources: Thier impact on job stress and employee attitudes during organizational restructuring

This study examines the relationships among personal coping resources, social support, external coping resources, job stressors and job strains in a sample of 110 American Telephone and Telegraph employees undergoing a major organizational restructuring. The study expanded on a model suggested by Ashford (1988) by defining another category of coping resources that employees may draw upon to deal with the stressors and strains which occur during major organizational changes. External coping resources were defined as those which provided employees with a sense of 'vicarious control' in stressful situations. Results indicated that personal coping resources, social support and external coping resources had a direct effect upon job stressor and strain levels. No 'buffering' effect of these coplng resources was found. Hierarchical regression analyses indicated that external coping resources added to the prediction of job stressors and strains even when pertonal coping resources and social support were entered first into the prediction questions.     

Making ends meet: perceptions of poverty in Sweden

During the era after the Second World War, Sweden has built a welfare system based on labor market participation and income maintenance. Low unemployment and decent wages are supposed to guarantee people a labor market income or income maintenance, which in turn should provide a proper standard for everyone. However, a rapid increase in unemployment and economic problems have made the future of the Swedish welfare state more uncertain than ever. These circumstances have, among other things, led to the suggestion that Sweden should abandon the income maintenance policy and create a social policy system with the more limited ambition of guaranteeing everyone a minimum income. In that case, one central question must be answered: what constitutes a decent minimum income in today's Sweden? Where should we draw the poverty line under which people will not be forced to live? These questions are central in the current debate. The consensual poverty line method is used in this article to derive a poverty line relevant for today's Sweden. The results shows that more than every fifth household has an income below the consensual poverty line. That is, they have an income that most Swedes would argue is too low to make ends meet. The level of the consensual poverty line was compared with the National Board of Health and Welfare's guidelines for social assistance. The consensual poverty line was shown to be more generous to small households and the norm for social assistance was more generous to larger households. Finally, the expenditure for guaranteeing all Swedish household a minimum income equal to the consensual poverty line was estimated: more than SEK 25 billion per year. The results in the article casts serious doubt on the ability of the Swedish welfare state to secure a decent income to all citizens.     

A Tabu Search Heuristic for the Location of Multi-Type Protection Devices on Electrical Supply Tree Networks

The problem of determining the number of multi-type protection devices and their locations on electrical supply tree networks with subtree dependency is investigated. The aim is to reduce the amount of inconvenience caused to customers that are affected by any given fault on the networks. An appropriate implementation of tabu search is proposed. We exploit a variable neighborhood and a soft aspiration level, and we embed a data structure and reduction tests into the search to speed up the process. Computational tests are performed on randomly generated electrical tree networks varying in size and branch complexity with encouraging results.     

A modified false discovery rate multiple-comparisons procedure for discrete data, applied to human immunodeficiency virus genetics

Summary.  To help to design vaccines for acquired immune deficiency syndrome that protect broadly against many genetic variants of the human immunodeficiency virus, the mutation rates at 118 positions in HIV amino-acid sequences of subtype C versus those of subtype B were compared. The false discovery rate (FDR) multiple-comparisons procedure can be used to determine statistical significance. When the test statistics have discrete distributions, the FDR procedure can be made more powerful by a simple modification. The paper develops a modified FDR procedure for discrete data and applies it to the human immunodeficiency virus data. The new procedure detects 15 positions with significantly different mutation rates compared with 11 that are detected by the original FDR method. Simulations delineate conditions under which the modified FDR procedure confers large gains in power over the original technique. In general FDR adjustment methods can be improved for discrete data by incorporating the modification proposed.     

Significance of the Dermal Route of Exposure to Risk Assessment

The skin is a route of exposure that needs to be considered when conducting a risk assessment. It is necessary to identify the potential for dermal penetration by a chemical as well as to determine the overall importance of the dermal route of exposure as compared with inhalation or oral routes of exposure. The physical state of the chemical, vapor or liquid, the concentration, neat or dilute, and the vehicle, lipid or aqueous, is also important. Dermal risk is related to the product of the amounts of penetration and toxicity. Toxicity involves local effects on the skin itself and the potential for systemic effects. Dermal penetration is described in large part by the permeability constant. When permeability constants are not known, partition coefficients can be used to estimate a chemical's potential to permeate the skin. With these concepts in mind, a tiered approach is proposed for dermal risk assessment. A key first step is the determination of a skin-to-air or skin-to-medium partition coefficient to estimate a potential for dermal absorption. Building a physiologically-based pharmacokinetic (PBPK) model is another step in the tiered approach and is useful prior to classical in vivo toxicity tests. A PBPK model can be used to determine a permeability constant for a chemical as well as to show the distribution of the chemical systemically. A detailed understanding of species differences in the structure and function of the skin and how they relate to differences in penetration rates is necessary in order to extrapolate animal data from PBPK models to the human. A study is in progress to examine anatomical differences for four species.     

EVALUATING CHANGES IN THE DISTRIBUTION OF CAPITAL WEALTH

A small-scale general equilibrium model in which the distribution of capital wealth is a key parameter is employed to examine the potential economic consequences of greater capital wealth equality. Every performance indicator examined – aggregate income, consumption equality, social welfare in the sum-of-utilities sense, and aggregate saving –is improved by greater capital wealth equality. However, the bottom-line social welfare gain, relative to the present high-inequality situation – even from the maximum achievable level of complete equality in capital wealth distribution – would be numerically rather modest.