An application of cartographic area interpolation to German administrative data

In many situations the applied researcher wishes to combine different data sources without knowing the exact link and merging rule. This paper considers different cartographic interpolation methods for interpolating attributes from German employment office districts to German counties and vice versa. In particular, we apply dasymetric weighting as an alternative to simple area weighting, both of which are based on estimated intersection areas. We also present conditions under which the choice of interpolation method does not matter and confirm the theoretical results with a simulation study. Our application to German administrative data suggests robustness of estimation results of interpolated attributes with respect to the choice of interpolation method. We provide weighting matrices for regional data sources of the two largest German data producers.     

Comparison of different estimation techniques for portfolio selection

The main problem in applying the mean-variance portfolio selection consists of the fact that the first two moments of the asset returns are unknown. In practice the optimal portfolio weights have to be estimated. This is usually done by replacing the moments by the classical unbiased sample estimators. We provide a comparison of the exact and the asymptotic distributions of the estimated portfolio weights as well as a sensitivity analysis to shifts in the moments of the asset returns. Furthermore we consider several types of shrinkage estimators for the moments. The corresponding estimators of the portfolio weights are compared with each other and with the portfolio weights based on the sample estimators of the moments. We show how the uncertainty about the portfolio weights can be introduced into the performance measurement of trading strategies. The methodology explains the bad out-of-sample performance of the classical Markowitz procedures.     

A structured variational learning approach for switching latent factor models

A data-driven approach for modeling volatility dynamics and co-movements in financial markets is introduced. Special emphasis is given to multivariate conditionally heteroscedastic factor models in which the volatilities of the latent factors depend on their past values, and the parameters are driven by regime switching in a latent state variable. We propose an innovative indirect estimation method based on the generalized EM algorithm principle combined with a structured variational approach that can handle models with large cross-sectional dimensions. Extensive Monte Carlo simulations and preliminary experiments with financial data show promising results.     

Statistical consulting at German universities: Results of a survey

The article presents the results of a survey on statistical consulting at German universities, where the survey focused on obtaining information on when, where and to whom statistical consulting is provided. We investigate the financial frame of the activity and question the advantages and disadvantages from a consultant’s point of view.     

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.     

Statistical consulting

The paper and the special issue focus on the activity of statistical consulting and its varieties. This includes academic consulting, consulting to and in industry as well as statistics in public media.     

Intersection of Ethnicity,Gender and Class: Oriental Faculty Women in Israel

Ethnicity, gender and class are the major factors of social inequality and have been studied extensively leading to a large literature pertaining to each one of them. The issue of the intersection of ethnicity, gender and class has been introduced into the social sciences by feminist critical theory. Intersection theory postulates that minority groups are discriminated against on the basis of more than one characteristic which are “inextricably tied” leading to complex forms of inequality in various social domains. This study examines the intertwined effects of these factors as they are experienced and narrated by Mizrachi women (19) who are employed in universities and colleges. Although the intersection approach is generally supported by the data it was found that under certain conditions ethnicity, gender and class may be separated. One type of decomposition is when one identity encroaches upon another or others; the second is the separation of diverse identities assigning them to different life areas. These change processes do not support stereotypical dichotomies between Ashkenazi and Mizrachi, women and men and so on, and enable the creation of new hybrid identities.

The Migrant Mortality Advantage: A 70 Month Follow-up of the Brussels Population

There is considerable evidence that first generation immigrants to developed countries tend to have lower mortality than does the population as a whole at their destination. This advantage is usually ascribed to a selection process which makes migrants more robust than the local population and/or an acculturation process whereby third-world migrants lose their natural healthy life style as they take on modern urban dietary and living habits. We investigate immigrant-local mortality differences using a 6-year follow-up of the complete Brussels population aged 25–55, as enumerated at the Belgian census, 1991. We show that adult migrants have lower mortality than their native-born counterparts, despite their often poorer living arrangements, work status and human capital. This effect differs by origin group. The effects of age on mortality are similar for all groups, with mortality increasing about 8% a year. This increase is slightly greater for the Belgian born than for immigrants, which makes the selectivity explanation unlikely. Years since migration does not significantly increase the mortality risk for most groups, contradicting the acculturation hypothesis. Thus, explanations ascribing immigrants' mortality advantage to migrant selectivity, pre-modern cultural practices, or an artefact of population recording practices are insufficient. We propose, instead, an explanation based on the meaning migration has for the immigrant, and the hope engendered in the move, particularly that from a lesser to a more developed country.