Comparison of Within-Subject Covariance Matrices in 2 × 2 Crossover Trials with Multivariate Response

Abstract.  In a multivariate framework, it is shown how the two treatments in a 2 × 2 crossover trial with multivariate response can be compared with respect to mean vectors, i.e. fixed treatment effects, as well as within-subject covariance matrices, marginally and simultaneously. No distributional assumption is made about the between-subject variability, whereas multivariate normality is assumed for the within-subject variability. The proposed exact statistical inferences are valid even with few subjects. Data from a crossover trial with bivariate response are analysed with the proposed multivariate methods as well as with univariate methods.     

Efficient volatility estimation in a two-factor model

We statistically analyze a multivariate Heath-Jarrow-Morton diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process and an exponential function of time to maturity. This exponential term includes some real parameter measuring the rate of increase of the second factor as time goes to maturity. From historical data, we efficiently estimate the time to maturity parameter in the sense of constructing an estimator that achieves an optimal information bound in a semiparametric setting. We also nonparametrically identify the paths of the volatility processes and achieve minimax bounds. We address the problem of degeneracy that occurs when the dimension of the process is greater than two, and give in particular optimal limit theorems under suitable regularity assumptions on the drift process. We consistently analyze the numerical behavior of our estimators on simulated and real datasets of prices of forward contracts on electricity markets.     

Does Economic Advancement ‘Cause’ a Re-increase in Fertility? An Empirical Analysis for OECD Countries (1960–2007)

In the light of the recent reversal of fertility trends in several highly developed countries, we investigate the impact of economic development and its components on fertility in OECD countries from 1960 to 2007. We find that the strong negative correlation between GDP per capita does no longer hold for high levels of per capita economic output; the relation and fertility instead seems to turn into positive from a certain threshold level of economic development on. Survival of an inverse J-shaped association between GDP per capita and fertility is found when controlling for birth postponement, omitted variable bias, non-stationarity and endogeneity. However, gaps between actual and predicted fertility rates show implicitly the importance of factors influencing fertility above and over per capita income. By decomposing GDP per capita into several components, we identify female employment as co-varying factor for the fertility rebound that can be observed in several highly developed countries. Pointing out to important differences with regard to the compatibility between childbearing and female employment, our results suggest that fertility increases are likely to be small if economic development is not accompanied by institutional changes that improve parents’ opportunities to combine work and family life.     

Does the Representation of Household Behavior Matter for Welfare Analysis of Tax-benefit Policies? An Introduction

A widely shared intuition holds that individual control over money matters for the decision process within the household and the subsequent distribution of resources and welfare. As a consequence, there are good reasons to depart from the unitary model of the household and to explore the possibilities offered by models of the family accounting for several decision makers in the household and for the potential impact of tax reforms on the balance of power. This paper summarizes both the methodological and empirical findings presented in the next three papers of this special issue of the Review of the Economics of the Household. This series of contributions primarily entails a concrete comparison of the policy implications of the choice between the unitary and a particular multi-person representation: the collective representation. On the one hand, it suggests a methodology to implement the collective model of labor supply in a realistic context where participation is modeled together with working hours, and where the full tax-benefit system is accounted for. On the other hand, the empirical part relies on comprehensive simulations of tax reforms in Belgium, France, Germany, Italy, Spain, and the United Kingdom, and allows to quantify the distortions that may affect policy recommendations based on the unitary model.

Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

I introduce the notion of continuous invertibility on a compact set for volatility models driven by a stochastic recurrence equation. I prove strong consistency of the quasi‐maximum likelihood estimator (QMLE) when the quasi‐likelihood criterion is maximized on a continuously invertible domain. This approach yields, for the first time, the asymptotic normality of the QMLE for the exponential general autoregressive conditional heteroskedastic (EGARCH(1,1)) model under explicit but non‐verifiable conditions. In practice, I propose to stabilize the QMLE by constraining the optimization procedure to an empirical continuously invertible domain. The new method, called stable QMLE, is asymptotically normal when the observations follow an invertible EGARCH(1,1) model.     

Des « employeurs multiples » au « noyau dur » d'employeurs : relations d'emploi et concurrence sur le marché des comédiens intermittents

Managerial literature sometimes uses an ideal-type of contingent labor to describe what it imagines to be future changes in organizing work and labor. These changes would entail a shortening and, therefore, multiplication of labor contracts. Statistics on the intermittents du spectacle (an administrative category in France referring to performers as well as stagehands who work for the duration of a project in show business, television and the performing arts) are analyzed to show that the conception of work in the media industry, as reflected in the aforementioned writings, cannot account for the actual plurality of relations between these part-time employees and their employers. In the media industry labor market, two types of labor relations can be distinguished. The one is close to the ideal-type of an intermittent employee who has occasional relations with his employer, whereas the other is based on a “hard core” of employers with whom an employee has recurrent relations. This core significantly affects the number of engagements of these performing artists and contributes decisively to the stability of their careers.     

Construction d'un problème public autour du dopage et reconnaissance d'une spécialité médicale

The formation of a professional specialty — sports medicine — is described with emphasis on how drug abuse has become a public issue. This notion's itinerary is traced between 1955 and 1999 so as to show how doctors with different profiles and activities successively raised the issue of “doping”. The objectives of medicine, as it was being applied to sports, gradually changed. At the start, the intention was to cure, a view that celebrated the virtues of practicing a sport and it condemned using drugs. A new field of medical competence was opened with the “biological preparation of performances”, which, though presented as an alternative to using drugs, blurred the boundaries with doping. Medical positions became polarized: on the one side, a science of training took shape around the physiology of physical efforts, which made it possible to intensify activities while optimizing them thanks to rest periods; and on the other side, clinicians who, in closer contact with the everyday life of players, both understood the requirements ensuing from a continuous renewal of performances and tended to favor taking “products” for “curative” purposes. Sports medicine was legitimated as a medical specialty on two grounds: the one, obvious, sets doping at odds with health; and the other, aberrant from the viewpoint of health but nonetheless accepted, associates intensive sports with health.     

Matching Communities and Hierarchies within the Firm

This article, which draws on recent literature on organizational communities, raises the question of the coherence of the firm through the analysis of the dialectic interaction between hierarchies and Knowledge-Intensive Communities (KnICs) within the firm. Focusing on the cognitive dimension of the firm, we analyze the matching between hierarchies and KnICs and draw conclusions as to the coherence of the firm. Using two key elements (the frequency of interactions and the intensity of communication between communities), we draw a typology allowing a better understanding of the processes of coordination and knowledge creation within the firm. This revised version was published online in July 2006 with corrections to the Cover Date.