A Hausman test for Brownian motion

New tests are proposed for the specification of the intraday price process of a risky asset, based on open, high, low, and close prices. Under the null of a Brownian process we derive two stochastically independent, unbiased volatility estimators. For a Hausman specification test we prove its equivalence with an F-test, consider its robustness against variation in drift and volatility, and analyze the power against an Ornstein–Uhlenbeck process, as well as a random walk with alternative distributions.     

“FOI POR ACASO”*:

Everyone knows that most of the things that happen to them happen “by accident,” and this is particularly true of the things that are most important to us, like our choice of a career or a mate. Yet social science theory looks for determinate causal relationships, which do not give an adequate account of this thing that “everyone knows.” If we take the idea of “it happened by chance” seriously, we need a quite different kind of research and theory than we are accustomed to.     

REMARKS ON OPTIMAL INFERENCE FOR MARKOV BRANCHING PROCESSES: A SEQUENTIAL APPROACH

Use of a suitable stopping rule yields exact uniformly most powerful tests and minimum variance unbiased estimators of various parameters of a Markov branching model with or without immigration. The population model discussed includes the pure birth, simple epidemic, immigration-death, M/M/ 1 queue, linear birth-death and a branching diffusion process, among others, as special cases.     

Energy interdependence in the economy of the Federal Republic of Germany

The paper reports an input-output analysis of energy flows in the Federal Republic of Germany (FRG) economy which includes a capital flows matrix. Results include a quantification of the interdependence of energy with other manufacturing resources, and an estimate of energy and energy-related costs of commodities. An approximate method of estimating the effects of changes in technical coefficients and primary input costs is assessed.     

Estimating the completeness of under-5 death registration in Egypt

To evaluate the completeness of registration of infant and child deaths in Egypt, reinterviews were conducted with families who had reported a death of a child under age 5 in the five years before the survey for two national surveys recently conducted in Egypt: the United Nations PAPCHILD survey of1990-1991 and the Egyptian Demographic and Health Survey (EDHS) of 1992. The survey instrument included questions regarding notification of the death at the local health bureau. If the family said the death had been notified, separate employees searched the health bureau records for the registration. Overall 57% of infant deaths were reported as notified and 68% of those death reports were found; the corresponding figuresfor child deaths were 89% and 74%. Using the percentage reported as notified as an estimate for completeness of registration, we adjusted upward the national infant and child mortality rates from registration data, giving values of 73 per 1,000 for infant mortality and 99 for ₅q₀ for the period 1987-1990. These values are approximately 20% above the corresponding direct estimates from the PAPCHILD and EDHS surveys.     

The effects of user-generated design modifications in a general hospital

The present study investigated the effects of relatively minor design modifications in one wing of a local hospital on the organizational climate of the institution and the behavior of various user groups. Results showed that the changes had positive effects for patients and staff members on mood and morale and on the perceived quality of health care, while visitors reacted negatively to the modifications. Use of the more public areas of the experimental ward increased as a result of the alterations, especially in the evenings when more visitors were present. The positive effects occasionally spread to other wards as well.The research reported in this paper was funded by Grant SOC7508784 from the National Science Foundation.