A time series model with random coefficients

There are many time series applications where an experi­menter observes the simultaneous responses of several sub­systems over time. In these instances one is often not interested in the parameters of individual subsystems, but rather in an overall characterization of the system in question. Under the assumption that subsystems are independent and first order autoregressive, the present paper presents two methods for estimating the distribution of the subsystem coefficients.     

The measurement of capital utilisation rates

A strategy using spline function interpolation is developed f o r estimating capital utilisation rates . Cobb-Douglas, CES and translog functional forms are used in estimation. Tests for functional forms are conducted leading t o t h e s e l e c t i o n of the Cobb-Douglas form. Quarterly series of estimated utilisation rates and excess capacity measures are presented.     

Employed Rural,Low-Income,Single Mothers’ Family and Work Over Time

The purpose of this qualitative research study was to examine how low-income, single mothers manage their family and work lives. Analysis was based on longitudinal data collected from 28 rural, low-income, single mothers across 11 states who were continuously employed over three waves. Four main themes were identified: demands from family and work, resources the mothers used to maintain employment, work-family conflict, and strategies to retain employment. This study concludes that despite all the difficulties, mothers try to utilize their limited resources and adopt strategies for combining family and work life even though their demands and resources vary over time. Mothers employed in the same jobs receive consistent support from families. Implications for child care and leave policies are discussed.     

A New Approach to Social Assistance: Latin America's Experience with Conditional Cash Transfer Programmes

Conditional cash transfers are a departure from more traditional approaches to social assistance that represents an innovative and increasingly popular channel for the delivery of social services. Conditional cash transfers provide money to poor families contingent upon certain behaviour, usually investments in human capital such as sending children to school or bringing them to health centres on a regular basis. They seek both to address traditional short-term income support objectives and promote the longer-term accumulation of human capital by serving as a demand-side complement to the supply of health and education services. Evaluation results reveal that this innovative design has been quite successful in addressing many of the failures in delivering social assistance such as poor poverty targeting, disincentive effects and limited welfare impacts. There is clear evidence of success from the first generation of programmes in Brazil, Colombia, Mexico and Nicaragua in increasing enrolment rates, improving preventive healthcare and raising household consumption. Despite this promising evidence, many questions remain unanswered about conditional cash transfer programmes, including the replicability of their success under different     

Price bias and common practice in option pricing

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump intensity. A popular practice is to use an estimate of these latent factors to compute the option price. However, in many situations this plug-and-play approximation does not yield the appropriate price. This article examines this bias and quantifies its impacts. We decompose the bias into terms that are related to the bias on the unobservable factors and to the precision of their point estimators. The approximated price is found to be highly biased when only the history of the stock price is used to recover the latent states. This bias is corrected when option prices are added to the sample used to recover the states' best estimate. We also show numerically that such a bias is propagated on calibrated parameters, leading to erroneous values. The Canadian Journal of Statistics 48: 8–35; 2020 © 2019 Statistical Society of Canada     

On some analogues of lack of memory properties for the Gompertz distribution

We discuss some analogues of the lack of memory property, the strong lack of memory property and the almost lack of memory properties for the Gompertz distribution as applications of the integrated Cauchy functional equation.     

Estimation in a Multivariable Two-Phase Regression

A likelihood approach is considered for the problems of estimating the changepoint and other parameters in a multivariable two-phase regression.Methods for finding the maximum likelihood estimates are given for the cases when the covariance matrix is known, and unknown.The distribution of the usual likelihood ratio test statistic is Investigated using simulations, and a Monte-Carlo aporoach is suggested for testing for the existence of a change-point.Numerical1 Illistrute aie provided.     

Bias in transition-specific survival and movement probabilities estimated using capture-recapture data

Transition probabilities can be estimated when capture-recapture data are available from each stratum on every capture occasion using a conditional likelihood approach with the Arnason-Schwarz model. To decompose the fundamental transition probabilities into derived parameters, all movement probabilities must sum to 1 and all individuals in stratum r at time i must have the same probability of survival regardless of which stratum the individual is in at time i + 1. If movement occurs among strata at the end of a sampling interval, survival rates of individuals from the same stratum are likely to be equal. However, if movement occurs between sampling periods and survival rates of individuals from the same stratum are not the same, estimates of stratum survival can be confounded with estimates of movement causing both estimates to be biased. Monte Carlo simulations were made of a three-sample model for a population with two strata using SURVIV. When differences were created in transition-specific survival rates for survival rates from the same stratum, relative bias was <2% in estimates of stratum survival and capture rates but relative bias in movement rates was much higher and varied. The magnitude of the relative bias in the movement estimate depended on the relative difference between the transition-specific survival rates and the corresponding stratum survival rate. The direction of the bias in movement rate estimates was opposite to the direction of this difference. Increases in relative bias due to increasing heterogeneity in probabilities of survival, movement and capture were small except when survival and capture probabilities were positively correlated within individuals.