Distribution of the cross-correlations of squared residuals in ARIMA models

ABSTRACT The distribution of the cross-correlations of squared residuals from Box-Jenkins models is considered in very general conditions, and the asymptotic distribution is derived. A test for a lagged relationship in volatility for economic time series under instantaneous causality is proposed, and its empirical behaviour is studied. An example involving the international stock market's volatility is studied, and an interesting result is observed.     

Ultrastructural elliptical models

Dolby's (1976) ultrastructural model with no replications is investigated within the class of the elliptical distributions. General asymptotic results are given for the sample covariance matrix S in the presence of incidental parameters. These results are used to study the asymptotic behaviour of some estimators of the slope parameter, unifying and extending existing results in the literature. In particular, under some regularity conditions they are shown to be consistent and asymptotically normal. For the special case of the structural model, some asymptotic relative efficiencies are also reported which show that generalized least squares and the method of moment estimators can be highly inefficient under nonnormality.     

Modelling the management of underground water assets

Central to the activities of any industry is the modernization of its assets. This paper describes the application of statistical methods to the asset management plan of a large water company. A model for the underground assets is given in detail, and the extensive computations required are illustrated. A Bayesian model shows the consequences of various policy options and provides realistic measures of the uncertainty connected with them.     

History of sexual abuse and parental alcohol misuse: Risk,outcomes and protective factors in adolescents

This study examined the school performance, suicidal involvement, disordered eating behaviors, pregnancy risk and chemical use of teenagers with a history of sexual abuse or parental alcohol misuse and found that they had higher rates of these adverse outcomes than among a comparison group of teenagers without such background risk factors. Adolescents with dual-risk background reported higher levels of suicide risk, disordered eating, sexual behaviors and chemical abuse than teenagers with only one background risk factor. Among index group members, protective factors against these adverse outcomes included a high degree of religiosity and the ability to discuss problems with family or friends. Risk factors that increased the likelihood of adverse outcomes included depression, perceived substance use in school and worries about family financial security.The first author was supported in the preparation of this article by a grant from the Lois and Samuel Silberman Fund of New York.     

ALTRUISM, MATCHING, AND NONMARKET INSURANCE

Incomplete market insurance gives rise to nonmarket arrangements for coinsurance. We find that the effort altruistically linked individuals take to avoid an accident increases with the degree of altruism. If the degree of altruism is sufficiently high, an economy with nonmarket insurance yields higher social welfare than an economy without nonmarket insurance. As altruism increases, the equilibrium level of effort approaches the second-best solution without the need for costly monitoring. Coinsurance is above (below) the socially optimal level if individuals place greater weight (less weight) on their own utility than on that of their partners.     

Relational Aggression, Relational Victimization, and Language Development in Preschoolers

We investigated language development, relational aggression, and relational victimization in ethnically, socioeconomically diverse preschoolers. Relational aggression was positively related to language development. Girls were more relationally aggressive than boys, and higher‐socioeconomic status (SES) children were more relationally aggressive and victimized than lower‐SES children. Neither gender nor SES conclusively moderated the relation between language and relational aggression, though some findings suggest the possibility of stronger relations among boys and lower‐SES children. Teachers agreed on ratings of relational aggression and relational victimization to a moderate extent.     

The Effect of Gender Context on Children's Social Behavior in a Limited Resource Situation: An Observational Study

Knowing when to compete and when to cooperate to maximize opportunities for equal access to activities and materials in groups is critical to children's social and cognitive development. The present study examined the individual (gender, social competence) and contextual factors (gender context) that may determine why some children are more successful than others. One hundred and fifty‐six children (M age=6.5 years) were divided into 39 groups of four and videotaped while engaged in a task that required them to cooperate in order to view cartoons. Children within all groups were unfamiliar to one another. Groups varied in gender composition (all girls, all boys, or mixed‐sex) and social competence (high vs. low). Group composition by gender interaction effects were found. Girls were most successful at gaining viewing time in same‐sex groups, and least successful in mixed‐sex groups. Conversely, boys were least successful in same‐sex groups and most successful in mixed‐sex groups. Similar results were also found at the group level of analysis; however, the way in which the resources were distributed differed as a function of group type. Same‐sex girl groups were inequitable but efficient whereas same‐sex boy groups were more equitable than mixed groups but inefficient compared to same‐sex girl groups. Social competence did not influence children's behavior. The findings from the present study highlight the effect of gender context on cooperation and competition and the relevance of adopting an unfamiliar peer paradigm when investigating children's social behavior.     

A Risk-Based Approach to Setting Priorities in Protecting Bridges Against Terrorist Attacks

This article presents an approach to the problem of terrorism risk assessment and management by adapting the framework of the risk filtering, ranking, and management method. The assessment is conducted at two levels: (1) the system level, and (2) the asset-specific level. The system-level risk assessment attempts to identify and prioritize critical infrastructures from an inventory of system assets. The definition of critical infrastructures offered by Presidential Decision Directive 63 was used to determine the set of attributes to identify critical assets--categorized according to national, regional, and local impact. An example application is demonstrated using information from the Federal Highway Administration National Bridge Inventory for the State of Virginia. Conversely, the asset-specific risk assessment performs an in-depth analysis of the threats and vulnerabilities of a specific critical infrastructure. An illustration is presented to offer some insights in risk scenario identification and prioritization, multiobjective evaluation of management options, and extreme-event analysis for critical infrastructure protection.     

School Size and the Interpersonal Side of Education: An Examination of Race/Ethnicity and Organizational Context*

Objectives. The purpose of this study was to extend research on the connection between school size and student outcomes by examining how school size was related to interpersonal processes and whether the interpersonal effects of school size varied by race/ethnicity. Methods. We applied multilevel modeling techniques to a sample of 14,966 students in 84 schools from the National Longitudinal Study of Adolescent Health. Results. Increasing school size was associated with decreasing student attachment to school and to teachers as well as extracurricular participation. Student attachment and teacher bonding diminished with increasing school size at a decreasing rate (reaching minimums in schools with between 1,700–2,000 students), but extracurricular participation dropped at a steady rate. These patterns did not differ substantially by race/ethnicity. Conclusions. The size of the educational institution influences interpersonal dynamics among actors in the institution and does so similarly across student groups. More generally, this research demonstrates the importance of organizational characteristics for social life.