Estimation in conditional first order autoregression with discrete support

We consider estimation in the class of first order conditional linear autoregressive models with discrete support that are routinely used to model time series of counts. Various groups of estimators proposed in the literature are discussed: moment-based estimators; regression-based estimators; and likelihood-based estimators. Some of these have been used previously and others not. In particular, we address the performance of new types of generalized method of moments estimators and propose an exact maximum likelihood procedure valid for a Poisson marginal model using backcasting. The small sample properties of all estimators are comprehensively analyzed using simulation. Three situations are considered using data generated with: a fixed autoregressive parameter and equidispersed Poisson innovations; negative binomial innovations; and, additionally, a random autoregressive coefficient. The first set of experiments indicates that bias correction methods, not hitherto used in this context to our knowledge, are some-times needed and that likelihood-based estimators, as might be expected, perform well. The second two scenarios are representative of overdispersion. Methods designed specifically for the Poisson context now perform uniformly badly, but simple, bias-corrected, Yule-Walker and least squares estimators perform well in all cases.     

Out of the Frying Pan into the Fire: Behavioral Reactions to Terrorist Attacks

A low-probability, high-damage event in which many people are killed at one point of time is called a dread risk. Dread risks can cause direct damage and, in addition, indirect damage mediated though the minds of citizens. I analyze the behavioral reactions of Americans to the terrorist attacks on September 11, 2001, and provide evidence for the dread hypothesis: (i) Americans reduced their air travel after the attack; (ii) for a period of one year following the attacks, interstate highway travel increased, suggesting that a proportion of those who did not fly instead drove to their destination; and (iii) for the same period, in each month the number of fatal highway crashes exceeded the base line of the previous years. An estimated 1,500 Americans died on the road in the attempt to avoid the fate of the passengers who were killed in the four fatal flights.     

Die Einführung des Euro

The Euro takes over far more than the monetary functions of the old national currencies. It creates a new collective consciousness. For the first time, the future European Federal State penetrates noticeably the everyday life of its citizens in terms of coins and notes. So far the European Union has been a distant bureaucracy that was mostly criticized by citizens and mass media alike. However, with any payment made in the future the Euro will literally show citizens that they live rather in Europe than in one of the receding national states. Yet the new presence of Europe in the public consciousness will be complemented by unpleasant topics. A uniform currency fosters an economic integration in which weaker regions will suffer losses. The monetary unification will therefore be joined by a unification of demands: Disadvantaged countries will demand redistribution at the European level. Therefore, critics of the monetary union have repeatedly claimed that the Euro will not unite Europeans but divide them in the end. It is argued that the opposite will be the case: The Euro will turn out to be the most efficient accelerator for building European institutions. Therefore, the real significance of the Euro does not lie in the standardization of monetary functions. Its impact can rather be found on a political level: in the expansion of the European citizenship. The Euro will, gradually but definitely, redirect the public attention to Brussels, Europe’s capital city.