An Improved Test for Continuous Local Martingales

We present a new test for the “continuous martingale hypothesis”. That is, a test for the hypothesis that observed data are from a process which is a continuous local martingale. The basis of the test is an embedded random walk at first passage times, obtained from the well-known representation of a continuous local martingale as a continuous time-change of Brownian motion. With a variety of simulated diffusion processes our new test shows higher power than existing tests using either the crossing tree or the quadratic variation, including the situation where non-negligible drift is present. The power of the test in the presence of jumps is also explored with a variety of simulated jump diffusion processes. The test is also applied to two sequences of high-frequency foreign exchange trade-by-trade data. In both cases the continuous martingale hypothesis is rejected at times less than hourly and we identify significant dependence in price movements at these small scales.     

Modeling bivariate survival data using shared inverse Gaussian frailty model

ABSTRACT

The shared frailty models are often used to model heterogeneity in survival analysis. The most common shared frailty model is a model in which hazard function is a product of a random factor (frailty) and the baseline hazard function which is common to all individuals. There are certain assumptions about the baseline distribution and the distribution of frailty. In this paper, we consider inverse Gaussian distribution as frailty distribution and three different baseline distributions, namely the generalized Rayleigh, the weighted exponential, and the extended Weibull distributions. With these three baseline distributions, we propose three different inverse Gaussian shared frailty models. We also compare these models with the models where the above-mentioned distributions are considered without frailty. We develop the Bayesian estimation procedure using Markov Chain Monte Carlo (MCMC) technique to estimate the parameters involved in these models. We present a simulation study to compare the true values of the parameters with the estimated values. A search of the literature suggests that currently no work has been done for these three baseline distributions with a shared inverse Gaussian frailty so far. We also apply these three models by using a real-life bivariate survival data set of McGilchrist and Aisbett (1991 McGilchrist, C.A., Aisbett, C.W. (1991). Regression with frailty in survival analysis. Biometrics 47:461–466.[Crossref], [PubMed], [Web of Science ®] , [Google Scholar]) related to the kidney infection data and a better model is suggested for the data using the Bayesian model selection criteria.     

On Energy Policy Models

Many energy models cannot be relied upon in forecasting or policy analysis. The quality of the data is often poor, and the theoretical underpinnings tend to be inadequate. These points are illustrated by example.     

Oiling the wheels? Flexible labour markets and the migration industry

ABSTRACT

The growing commercialisation of migration, often through a multiplicity of labour market intermediaries, is an issue of increasing academic interest. We seek to contribute to an emerging research agenda on the migration industries by exploring how one of the key actors that constitutes it, recruitment agencies, sits at the nexus between flexible labour market structures and migrant labour. Interviews with U.K. labour providers and low-wage employers form the evidence base for an analysis of the strategies developed by recruiters to derive commercial gain from connecting the so-called ‘supply’ and ‘demand’ sides of the flexible international labour market. We seek to contribute to understandings of the analytical categories within migration systems by illustrating how the migration industry interacts with other key stakeholders to structure international migration.     

Human capital,family structure and religiosity shaping British Muslim women’s labour market participation

Economic activity among Muslim women in the UK remains considerably lower and their unemployment rate significantly higher than among the majority group even after controlling for qualifications and other individual characteristics. This study utilises two data sets to explore possible factors underlying these differences, such as overseas qualifications, language skills and religiosity. It reveals that while religiosity is negatively associated with labour market participation among British Christian-White women, economic activity among Muslim women are not negatively affected by high religiosity. Furthermore, family structure and the presence of dependent children were among the most important factors explaining the latter’s labour market participation, although these relationships were moderated by qualifications. More women with higher qualifications were economically active even if married and with children, although some of them experienced greater unemployment, probably due to discrimination in recruiting practices and choices and preferences on religious grounds.     

Reexamining the ethnic hierarchy of locational attainment: Evidence from Los Angeles

Because of a lack of data, the locational attainment literature has not incorporated documentation status into models examining group differences in neighborhood quality. I fill this void by using the Los Angeles Family and Neighborhood Survey, which permits the identification of undocumented respondents, allowing a reexamination of the ethnic structure of locational attainment in this important immigrant-receiving city. Results first suggest that while undocumented Latinos live in the poorest quality communities, blacks live in neighborhoods that are similar to native-born Latinos and better than foreign-born Asians and Latinos. Second, the effects of education are strongest for blacks, allowing the highly educated an opportunity to reside in communities that are of better quality than educated Latinos and Asians. Thus, undocumented Latinos replace blacks at the bottom of the locational attainment hierarchy, allowing educated blacks in Los Angeles to reside in better neighborhoods than blacks in the nation at large.     

Perceived social standing among Asian immigrants in the US: Do reasons for immigration matter?

We investigate the association between a subjective measure of social status and the reasons for immigration among Asian immigrants in the US. We use data from the National Latino and Asian American Study to test several hypotheses about this association. Our analyses show the positive effect on perceived social standing of migrating for better education, the negative effect of migrating to seek employment, and the negative impact of refugee status. Migrating for family reunification can be associated with various circumstances, which lead to differing outcomes. The results suggest that the notion that immigrants arrive in the US with limited resources and few skills and move slowly up the socioeconomic ladder must be reassessed in light of the complex social context and factors such as ethnicity, gender, divergent immigration paths, and a range of associated circumstances.     

Difficult Data: Boundary Dynamics,Public Engagement and Bridging Technologies in a Science/Policy Controversy

In 2001, the New Zealand Ministry of Health (MoH) contracted the Institute of Environmental Science and Research Ltd. (ESR) to undertake a serum dioxin study to determine exposure (current and historical) to dioxins for residents living in close proximity to the former Ivon Watkins Dow chemical plant in Paritutu, New Plymouth. In the years that the plant had operated, a number of activist groups had organised in the community to ask the government to respond to their concerns about possible exposure and any links to adverse health effects. The members of these groups were angry and frustrated. They distrusted industry and the various government agencies involved, and felt that previous scientific studies had marginalised their concerns. This paper explores the processes that enabled ESR to work with the community to produce a robust scientific study. Key dynamics, lessons, methods and mechanisms critical to the success of this intervention are appraised. This paper offers theoretical reflection on boundary work between science, policy and community and focuses on the challenges in including local knowledge to produce ‘useable knowledge’ in this case.