Distribution of the cross-correlations of squared residuals in ARIMA models

ABSTRACT The distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed.     

Nonparametric regression estimation at design poles and zeros

ABSTRACT In most treatments of nonparametric regression, it is assumed that the marginal density of the explanatory variables is strictly bounded away from zero and infinity. This note investigates the pointwise asymptotics for nonparametric regression when this assumption fails, that is, the marginal density of the explanatory variable has either an isolated zero or a pole at the point of interest.     

NEIGHBOUR ANALYSIS WITH ADJUSTMENT FOR INTERPLOT COMPETITION

In field experiments involving a large number of experimental plots, a neighbour analysis can be used to control environmental variation by estimating the trend within blocks. The effect of interplot competition is another important source of variation which has an influence on the estimation of treatment contrasts. To reduce the effect of the variation from these sources and to improve the precision of comparison between treatments, a spatial model is proposed for incorporating both trend effect and interplot competition. It is a modification to the residual maximum likelihood neighbour analysis of Gleeson & Cullis (1987) using the two neighbouring treatment effects to estimate interplot competition. A real example is used to illustrate this methodology. The results indicate that the extended model gives no appreciable difference in standard error of mean differences compared with the model taking into account the trend effect only. However, the rankings of estimated treatment means do differ. More research using both real and simulated data is required before such models that incorporate trend and competition effects can be confidently recommended.     

History of sexual abuse and parental alcohol misuse: Risk,outcomes and protective factors in adolescents

This study examined the school performance, suicidal involvement, disordered eating behaviors, pregnancy risk and chemical use of teenagers with a history of sexual abuse or parental alcohol misuse and found that they had higher rates of these adverse outcomes than among a comparison group of teenagers without such background risk factors. Adolescents with dual-risk background reported higher levels of suicide risk, disordered eating, sexual behaviors and chemical abuse than teenagers with only one background risk factor. Among index group members, protective factors against these adverse outcomes included a high degree of religiosity and the ability to discuss problems with family or friends. Risk factors that increased the likelihood of adverse outcomes included depression, perceived substance use in school and worries about family financial security.The first author was supported in the preparation of this article by a grant from the Lois and Samuel Silberman Fund of New York.     

Employee privacy and the “theory of the firm”

Bruce Kobayashi and Larry Ribstein apply the “theory of the firm” to worker privacy with specific application to the employer’s ability to monitor employee performance and behavior. They take the theory to drive toward a much reduced role for law in favor of regulation by contract. This essay unpacks their theory. It faults the theory for its failure to come to grips with the possibility of monopsony in the labor market, its failure to appreciate the “public goods” nature of privacy policies and the related assumption that the employer’s ability to adopt and apply privacyinvasive policies is invariably a product of a consensual armslength bargain. This essay is revised and expanded from the author’s Introduction to the 2003 Supplement to Matthew Finkin, Privacy in Employment Law (2d ed. 2003) 2003 Supplement.