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.     

Forced to work and liberated from work

The work-welfare nexus is essential in all social policy regimes. The question is in what situations individuals should be entitled to social welfare benefits and in which situations they should be obliged to work. Social welfare law and administrative practices define mechanisms that separate the deserving poor from people able to work. This article analyses the functions and character of these "separation mechanisms" in Sweden during three periods in history: a) in rural society in the late 19th century; b) in industrial society during the successful years of the Swedish model from World War II until the late 1970s; and c) the present, including the period of welfare retrenchment and reconsideration since the early 1980s. The conclusion is that Swedish social policy has always been strongly work-oriented, but the specific form and content of the work ethic has varied under the influence of different ideologies and handled in different social policy institutions. Under specific conditions the work line has been either generous or restrictive and it has been based on structural attempts to improve the opportunities to work as well as on attempts to strongly pressure the individual to work. The work line of today is seen as an interesting attempt to combine an effort to create good work through improved work conditions and an effort to reinforce elements of work enforcement in the social insurance system.     

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.     

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.     

Lumpers and Splitters: The Public Opinion Information that Politicians Collect and Use

Are the decisions of American policymakers informed by generaltrends in the public’s ideology or by the public’spolicy-specific preferences? In this article we discuss twoexplanations for the types of public opinion information thatpoliticians collect and use. Using a unique data set of privatepolls from the White House of Richard Nixon, we find that whenopinion data on specific policies were available, the presidentrelied on them and not on general ideology data. On less importantissues, however, we find that the president often chose notto collect policy-specific data and instead relied on generalideology data. The differential collection and use of informationby policymakers reflect varying strategic calculations. Theyalso have profound implications for representative democracyand the demands placed on citizens and governors.     

Why Did House Members Vote for H.R. 4437?1

This article examines why members of the U.S. House of Representatives voted for H.R. 4437, the controversial 2005 bill to construct a 700‐mile immigration barrier along the U.S.‐Mexican border and to criminalize illegal presence and aid to undocumented immigrants. Logit analysis suggests that being a first‐term House member or a Republican and representing a district that was in the South or the West or heavily blue‐collar substantially boosted the odds of supporting H.R. 4437. If a member's district was disproportionately Asian, Latino, or, especially, African American, he or she was instead more likely to oppose the measure.