Likelihood-based inference for a class of multivariate diffusions with unobserved paths

This paper presents a Markov chain Monte Carlo algorithm for a class of multivariate diffusion models with unobserved paths. This class is of high practical interest as it includes most diffusion driven stochastic volatility models. The algorithm is based on a data augmentation scheme where the paths are treated as missing data. However, unless these paths are transformed so that the dominating measure is independent of any parameters, the algorithm becomes reducible. The methodology developed in Roberts and Stramer [2001a. On inference for partial observed nonlinear diffusion models using the metropolis-hastings algorithm. Biometrika 88(3); 603–621] circumvents the problem for scalar diffusions. We extend this framework to the class of models of this paper by introducing an appropriate reparametrisation of the likelihood that can be used to construct an irreducible data augmentation scheme. Practical implementation issues are considered and the methodology is applied to simulated data from the Heston model.     

Prior distributions for variance parameters in a sparse-event meta-analysis of a few small trials

In rare diseases, typically only a small number of patients are available for a randomized clinical trial. Nevertheless, it is not uncommon that more than one study is performed to evaluate a (new) treatment. Scarcity of available evidence makes it particularly valuable to pool the data in a meta-analysis. When the primary outcome is binary, the small sample sizes increase the chance of observing zero events. The frequentist random-effects model is known to induce bias and to result in improper interval estimation of the overall treatment effect in a meta-analysis with zero events. Bayesian hierarchical modeling could be a promising alternative. Bayesian models are known for being sensitive to the choice of prior distributions for between-study variance (heterogeneity) in sparse settings. In a rare disease setting, only limited data will be available to base the prior on, therefore, robustness of estimation is desirable. We performed an extensive and diverse simulation study, aiming to provide practitioners with advice on the choice of a sufficiently robust prior distribution shape for the heterogeneity parameter. Our results show that priors that place some concentrated mass on small τ values but do not restrict the density for example, the Uniform(−10, 10) heterogeneity prior on the log(τ²) scale, show robust 95% coverage combined with less overestimation of the overall treatment effect, across varying degrees of heterogeneity. We illustrate the results with meta-analyzes of a few small trials.     

Differences in the job satisfaction of high-paid and low-paid workers across Europe

Data from six waves of the European Community Household Panel (1996–2001) in 11 countries suggest that low-paid employees are significantly less satisfied with their job than the high-paid in southern Europe, but not in the northern countries. Proxying job satisfaction for job quality, the authors show that while low-paid employment does not necessarily mean low-quality employment, workers in some countries suffer the double penalty of low pay and low job quality. Such dualism across European labour markets, they argue, reflects different country-level approaches to the trade-off between flexibility and security, calling for a policy focus on the latter to enhance job quality.     

The effect of delaying motherhood on the second childbirth in Europe

We examine the effect of delaying motherhood on the transition to the second childbirth across European countries. There exist two opposite forces of delaying the first birth: biological and socio-cultural factors producing a postponement effect and career-related factors leading to a catch-up effect. Estimating a multistate duration model that addresses the endogeneity of age at first birth, we find a catch-up effect in countries where the career effect is large and a postponement effect in countries where the opportunity cost of childbearing is relatively high due to the lack of family friendly institutions and cultural influences, which may discourage late childbearing.     

Différences de satisfaction au travail entre les travailleurs à salaire élevé et à bas salaires en Europe

Les données de six vagues d'enquětes du Panel européen des ménages (1996–2001) collectées dans onze pays indiquent que les travailleurs à bas salaire de l'Europe du Sud sont, contrairement à ceux de l'Europe du Nord, nettement moins satisfaits de leur emploi que les travailleurs à salaire élevé. En calculant par approximation la satisfaction au travail pour évaluer la qualité de l'emploi, les auteurs montrent que, si bas salaire ne rime pas nécessairement avec emploi de mauvaise qualité, les travailleurs de certains pays sont néanmoins doublement pénalisés: ils sont mal rémunérés et ont un travail de mauvaise qualité. Selon les auteurs, ce dualisme des marchés du travail en Europe correspond à des approches différentes au niveau national du compromis entre flexibilité et sécurité, cette dernière devant ětre privilégiée au plan politique pour améliorer la qualité de l'emploi.     

Caffeine intake is not associated with serum testosterone levels in adult men: cross-sectional findings from the NHANES 1999–2004 and 2011–2012

Objective: The association of caffeine intake with testosterone remains unclear. We evaluated the association of caffeine intake with serum testosterone among American men and determined whether this association varied by race/ethnicity and measurements of adiposity.

Methods: Data were analyzed for 2581 men (≥20?years old) who participated in the cycles of the NHANES 1999–2004 and 2011–2012, a cross-sectional study. Testosterone (ng/mL) was measured by immunoassay among men who participated in the morning examination session. We analyzed 24-h dietary recall data to estimate caffeine intake (mg/day). Multivariable weighted linear regression models were conducted.

Results: We identified no linear relationship between caffeine intake and testosterone levels in the total population, but there was a non-linear association (p_nonlinearity?p_nonlinearity?≤?.03 both) and only among men with waist circumference <102?cm and body mass index <25?kg/m² (p_nonlinearity?Conclusion: No linear association was identified between levels of caffeine intake and testosterone in US men, but we observed a non-linear association, including among racial/ethnic groups and measurements of adiposity in this cross-sectional study. These associations are warranted to be investigated in larger prospective studies.     

Individual vs. group decision-making: an experiment on dynamic choice under risk and ambiguity

This paper focuses on the comparison of individual and group decision-making, in a stochastic inter-temporal problem in two decision environments, namely risk and ambiguity. Using a consumption/saving laboratory experiment, we investigate behaviour in four treatments: (1) individual choice under risk; (2) group choice under risk; (3) individual choice under ambiguity and (4) group choice under ambiguity. Comparing decisions within and between decision environments, we find an anti-symmetric pattern. While individuals are choosing on average closer to the theoretical optimal predictions, compared to groups in the risk treatments, groups tend to deviate less under ambiguity. Within decision environments, individuals deviate more when they choose under ambiguity, while groups are better planners under ambiguity rather than under risk. Our results extend the often observed pattern of individuals (groups) behaving more optimally under risk (ambiguity), to its dynamic dimension.

     

Modelling Labour Demand Dynamics beyond the Frictionless Environment

Abstract. In this study we develop a simple econometric model for labour demand dynamics by explicitly considering deviations from the standard frictionless economic environment. In particular, we explore the potential effect on labour demand of capital market imperfections, labour market institutional rigidities in the form of union power, and the impact of uncertainty. In addition, in the presence of uncertainty, adjustment costs and irreversibility emerge as an important factor that introduces an option value of waiting. According to our results, leverage exerts a direct negative impact on employment dynamics indicating that capital market imperfections are indeed present. Moreover, leverage is found to also affect the adjustment process of employment. Finally, we document asymmetric effects of frictions on labour demand across different size groups that imply a higher vulnerability of small and medium sectors with respect to debt levels. Uncertainty exerts a significantly negative impact on labour demand, which is compatible with presence of partial irreversibility of employment decisions. Finally, unions over and above their effect via higher wages are positively related to employment, a finding that is indicative of their pursue for job security.     

Social Support and Well-Being in Contemporary Greek Society: Examination of Multiple Indicators at Different Levels of Analysis

An extensive and coherent body of social and psychological research has identified social ties and supportive relationships as important predictors of well-being and quality of life. This paper examines the relationships between structural and functional indicators of supportive relations and well-being in Greece at different levels of analysis based on results from three studies: (a) the European Social Survey (Study 1); (b) a cross sectional community study in Greece (Study 2); and (c) a social interactions study in Greece and the UK using an event sampling methodology (Study 3). Structural indicators of social support and life satisfaction and happiness in the first study were moderately associated. This finding was partly supported by results from the second study which revealed connections between some structural aspects of social support and well-being (happiness, anxiety, irritability) but not others. Functional aspects of social support and psychological indicators of well-being (happiness, anxiety, mental health) at the individual (Study 2) and social interaction (Study 3) levels were not associated. Cross-cultural comparisons of structural indicators of social support in Studies 1 and 3 revealed low frequency of social interactions. Also functional aspects of social support in everyday social interactions in Greece showed significantly lower levels in comparison to the UK. These findings suggest that structural and functional aspects of social support in Greece may not have the same palliative role as usually observed in the international literature and are discussed with particular attention to the level of analysis, the method, and the aspect of well-being being assessed.