On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study

ABSTRACT

There is a widespread perception that standard unit-root tests have poor discriminatory power when they are applied to time series with nonlinear dynamics. Via Monte Carlo simulations this study re-examines the finite sample properties of selected univariate tests for unit-root and stationarity under a broad class of nonlinear dynamic models. Our simulation experiments produce a couple of interesting findings. First, performance of tests is driven by the degree of underlying persistence rather than the nonlinear dynamics per se. Tests under study exhibit reasonable performance for nonlinear models with mild persistence, while the accuracy of inference deteriorates substantially when the models are highly persistent regardless of the linearity. Second, when it comes to deciding which one to identify first between linearity and stationarity, our results suggest to conduct linearity test first to enhance the reliability of test inference.     

Estimating LAD Regression Coefficients with Best Subset Points

We propose a simple algorithm for estimating LAD (least-sum of absolute deviations) regression coefficients. The algorithm finds the best subset points to use to obtain the global optimizer in the series of a backtracking process by narrowing down the search space. Hence, the computational complexity reduces to a practical level. To evaluate the performance of the algorithm for LAD regression, we conducted simulation studies. The results showed that the algorithm is very competitive in terms of computation times required to get the same or similar results in comparison with other methods even when heavy censoring is given. Moreover, because the algorithm is quite simple and easy to understand, it can be implemented easily for various objective functions that are the variations of LAD.     

RESERVE PRICE EFFECTS IN AUCTIONS: ESTIMATES FROM MULTIPLE REGRESSION‐DISCONTINUITY DESIGNS

We present evidence from 260,000 online auctions of second‐hand cars to identify the impact of public reserve prices on auction outcomes. We exploit multiple discontinuities in the relationship between reserve prices and vehicle characteristics to present causal regression‐discontinuity estimates of reserve price impacts. We find an increase in reserve price decreases the number of bidders, increases the likelihood the object remains unsold, and increases expected revenue conditional on sale. We then combine these estimates to calibrate the reserve price effect on the auctioneer's ex ante expected revenue. This reveals the auctioneer's reserve price policy to be locally optimal. (JEL D44, L11, L62)     

Social work intervention with wife assaults

This article presents data from a national survey on social work intervention in cases of wife assaults in Singapore. The survey was conducted from March to July 1992 among 510 citizens, educated and over 17 years old. Trained interviewers during a 20-minute interview used a structured questionnaire divided into six major sections. Respondents were asked to choose from the four possible responses, namely: 1) work together with couple to solve their problems; 2) help the wife find another place to stay; 3) help the wife obtain a court order; and 4) help the wife get a divorce. Demographic variables are included in the analysis. About 92.4% of the respondents indicated that social workers should limit their intervention to ?work with the couple? in dealing with cases of minor assault occurring for the first time. About 35.8% opted to help the wife obtain a court order, and 22.3% chose separation or divorce in minor assaults. Majority suggested that social workers should help the wife obtain a court order and separation on major assaults. Findings suggest that social services in Singapore should focus their programs on battered women solely on conciliatory services outside the legal system.     

A robust support vector machine for labeling errors

Support vector machine (SVM) is sparse in that its classifier is expressed as a linear combination of only a few support vectors (SVs). Whenever an outlier is included as an SV in the classifier, the outlier may have serious impact on the estimated decision function. In this article, we propose a robust loss function that is convex. Our learning algorithm is more robust to outliers than SVM. Also the convexity of our loss function permits an efficient solution path algorithm. Through simulated and real data analysis, we illustrate that our method can be useful in the presence of labeling errors.     

Marriage‐Market Constraints and Mate‐Selection Behavior: Racial,Ethnic, and Gender Differences in Intermarriage

Despite theoretical consensus that marriage markets constrain mate‐selection behavior, few studies directly evaluate how local marriage‐market conditions influence intermarriage patterns. Using data from the American Community Survey, the authors examine what aspects of marriage markets influence mate selection, assess whether the associations between marriage‐market conditions and intermarriage are uniform by gender and across pan‐ethnic groups, and investigate the extent to which marriage‐market conditions account for group differences in intermarriage patterns. Relative group size is the most salient and consistent determinant of intermarriage patterns across pan‐ethnic groups and by gender. Marriage‐market constraints typically explain a larger share of pan‐ethnic differences in intermarriage rates than individual traits, suggesting that scarcity of co‐ethnic partners is a key reason behind decisions to intermarry. When faced with market constraints, men are more willing or more successful than women in crossing racial and ethnic boundaries in marriage.     

The Buffering Effects of Social Capital on Inequalities in Subjective Well-Being Among Older People

Social Indicators Research - Empirical evidence regarding the buffering effects of community social capital on health inequality is limited. This study aims to examine the moderating effects of a...     

Influence of advertising on acceptance of press releases

To analyze the influence of advertising on the acceptance of press releases, this study examined two national and two local newspapers. The results of this study show that journalists and editors partially consider advertisers while selecting press releases. Specifically, local newspapers give more consideration to advertisers than national newspapers. However, when journalists and editors select press releases, they consider not only advertisers but the newsworthiness of the press releases.