Tests for an end-of-sample bubble in financial time series

ABSTRACT

In this paper, we examine the issue of detecting explosive behavior in economic and financial time series when an explosive episode is both ongoing at the end of the sample and of finite length. We propose a testing strategy based on a subsampling method in which a suitable test statistic is calculated on a finite number of end-of-sample observations, with a critical value obtained using subsample test statistics calculated on the remaining observations. This approach also has the practical advantage that, by virtue of how the critical values are obtained, it can deliver tests which are robust to, among other things, conditional heteroskedasticity and serial correlation in the driving shocks. We also explore modifications of the raw statistics to account for unconditional heteroskedasticity using studentization and a White-type correction. We evaluate the finite sample size and power properties of our proposed procedures and find that they offer promising levels of power, suggesting the possibility for earlier detection of end-of-sample bubble episodes compared to existing procedures.     

Bandwidth selection for kernel density estimation with length-biased data

Length-biased data are a particular case of weighted data, which arise in many situations: biomedicine, quality control or epidemiology among others. In this paper we study the theoretical properties of kernel density estimation in the context of length-biased data, proposing two consistent bootstrap methods that we use for bandwidth selection. Apart from the bootstrap bandwidth selectors we suggest a rule-of-thumb. These bandwidth selection proposals are compared with a least-squares cross-validation method. A simulation study is accomplished to understand the behaviour of the procedures in finite samples.     

Maternal singing of lullabies during pregnancy and after birth: Effects on mother–infant bonding and on newborns’ behaviour. Concurrent Cohort Study

Background

Mother–infant bonding is of great importance for the development and the well-being of the baby. The aim of this Concurrent Cohort Study was to investigate the effects of mothers singing lullabies on bonding, newborns’ behaviour and maternal stress.

Measuring Human Recognition for Women in Malawi using the Alkire Foster Method of Multidimensional Poverty Counting

Social Indicators Research - Policy indicators rarely account for the contribution of societal inter- and intra-personal interactions to economic development. We propose an index of...     

Editorial: special edition on probabilistic numerics

Statistics and Computing -     

Incorporating Price and Replacement Purchases in New Product Diffusion Models for Consumer Durables*

The article presents theoretical and empirical research findings which incorporate price and replacement purchases in new product diffusion models. On the theoretical side, this paper characterizes, qualitatively, optimum pricing policies for new products. Possible entry of rivals is not considered, but repeat sales, cost learning dynamics and discounting of future profit streams are allowed. Theoretical research findings suggest that the inclusion of repeat purchases in the diffusion model significantly changes the derived optimal pricing policy even if replacements were not price dependent. On the empirical side, alternative first purchase and repeat purchase models have been estimated and compared using nonlinear procedures. The diffusion data analyzed is related to nine consumer durables. Empirical research findings suggest that, for the considered product categories, diffusion is basically an imitative process, price can affect first and replacement purchases, and unit production cost is a decreasing function of cumulative first purchases. Managerial implications of the research findings are also discussed.     

Urban forest biomass estimates: is it important to use allometric relationships developed specifically for urban trees?

Many studies have analyzed the benefits, costs, and carbon storage capacity associated with urban trees. These studies have been limited by a lack of research on urban tree biomass, such that estimates of carbon storage in urban systems have relied upon allometric relationships developed in traditional forests. As urbanization increases globally, it is becoming important to more accurately evaluate carbon dynamics in these systems. Our goal was to understand the variability and range of potential error associated with using allometric relationships developed outside of urban environments. We compared biomass predictions from allometric relationships developed for urban trees in Fort Collins, Colorado to predictions from allometric equations from traditional forests, at both the individual species level and entire communities. A few of the equations from the literature predicted similar biomass to the urban-based predictions, but the range in variability for individual trees was over 300%. This variability declined at increasingly coarse scales, reaching as low as 60% for a street tree community containing 11 tree species and 10, 551 trees. When comparing biomass estimates between cities that implement various allometric relationships, we found that differences could be a function of variability rather than urban forest structure and function. Standardizing the methodology and implementing averaged equations across cities could be one potential solution to reducing variability; however, more accurate quantification of biomass and carbon storage in urban forests may depend on development of allometric relationships specifically for urban trees.     

Migration,Motherhood, Marriage: Cross‐Cultural Adaptation of North American Immigrant Mothers in Israel

This study probes the cross‐cultural adaptation patterns of North American women who immigrated to Israel with their Israeli‐born husbands (or married there) and are mothers in their new country. In order to undertake a cultural analysis of the interplay between immigration, motherhood and bicultural marriage, we examine: the effects of motherhood and North American culture of origin on cross‐cultural adaptation; the effects of immigration to Israel on motherhood and childrearing; the influence of family of origin on the immigrant motherhood experience; and the role of Israeli husbands and their families in the women’s cross‐cultural adaptation process. We study patterns for the entire group as well as bringing out individual differences. Our main finding is that motherhood serves as the principal social link to the Israeli host society. The high status of North American culture and English proficiency facilitate cross‐cultural adaptation in Israel. Our findings reveal transnationalist tendencies co‐existing with various adaptation strategies. We propose an expansion of previous acculturation models to accommodate this dual modus vivendi.