Where are the motives? A problem with evidence in the work of Richard Thaler

In this journal (Mackenzie, 1997. Economic Psychology 18(1), 123–135), Mackenzie argues that there is a problem with Thaler's work: in failing to provide evidence about motives, Thaler's claims are vulnerable. In this comment, I present a different view. Thaler merely pinpoints some stylized facts, such as the endowment effect. Models of economic behaviour should be able to account for these. Mackenzie's discussion of the wine owner anecdote gives ad hoc reasons for apparently irrational behaviour. Thaler's work focuses on systematic effects, which is a much more fruitful approach. Mackenzie fails to do justice to the work that has been done to document the endowment effect.     

Robust methods for the analysis of spatially autocorrelated data

In this paper we propose a new robust technique for the analysis of spatial data through simultaneous autoregressive (SAR) models, which extends the Forward Search approach of Cerioli and Riani (1999) and Atkinson and Riani (2000). Our algorithm starts from a subset of outlier-free observations and then selects additional observations according to their degree of agreement with the postulated model. A number of useful diagnostics which are monitored along the search help to identify masked spatial outliers and high leverage sites. In contrast to other robust techniques, our method is particularly suited for the analysis of complex multidimensional systems since each step is performed through statistically and computationally efficient procedures, such as maximum likelihood. The main contribution of this paper is the development of joint robust estimation of both trend and autocorrelation parameters in spatial linear models. For this purpose we suggest a novel definition of the elemental sets of the Forward Search, which relies on blocks of contiguous spatial locations.     

Analytic Hessian matrices and the computation of FIGARCH estimates

Long memory in conditional variance is one of the empirical features exhibited by many financial time series. One class of models that was suggested to capture this behavior is the so-called Fractionally Integrated GARCH (Baillie, Bollerslev and Mikkelsen 1996) in which the ideas of fractional integration originally introduced by Granger (1980) and Hosking (1981) for processes for the mean are applied to a GARCH framework. In this paper we derive analytic expressions for the second-order derivatives of the log-likelihood function of FIGARCH processes with a view to the advantages that can be gained in computational speed and estimation accuracy. The comparison is computationally intensive given the typical sample size of the time series involved and the way the likelihood function is built. An illustration is provided on exchange rate and stock index data. A preliminary version of this paper was presented at the conference S.Co. 2001 in Bressanone. We would like to thank Silvano Bordignon for being an insightful and constructive discussant and Luisa Bisaglia and Giorgio Calzolari for providing useful comments. We also thank Tim Bollerslev for providing the data on the DEM/USD exchange rate used in Baillie, Bollerslev and Mikkelsen (1996).     

Exact parametric causal mediation analysis for a binary outcome with a binary mediator

Statistical Methods & Applications - With reference to causal mediation analysis, a parametric expression for natural direct and indirect effects is derived for the setting of a binary outcome...     

Cooperation among competitors as status-seeking behavior: Network ties and status differentiation

Status-based affiliation represents a valuable resource in economic exchange. However, affiliation strategies introduce a status ordering paradox: whereas higher status actors seek to maintain status hierarchies, lower status actors strive to affiliate with more prestigious actors. In this paper, using original data on the network of social and professional ties among 72 hotel managers clustered in an Italian hotel district, we develop a theory of status-seeking behavior that involves the exchange of status for valued resources.     

Home is Another Country: Ethnic Identification in Philippine Homeland Tours

Using data based mainly on 29 in-depth interviews with participants from three Philippine homeland tours, I conceptualize the process of ethnic identification through homeland tourism more precisely as the adoption of strategies aimed at symbolically demarcating grounds for informants’ belonging in the Philippines as Americans. This conceptualization highlights ethnic identification as a problem, one that must be “worked on” insofar as claims to ethnic identity must be substantiated. It is also a problem insofar as this work of belonging is displaced and misrecognized. In working to establish a connection with the homeland, I argue that my informants are working out their belonging in America within the terms of distinction set by multiculturalism.     

Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Statistical Methods & Applications - Conditional Autoregressive Value-at-Risk and Conditional Autoregressive Expectile have become two popular approaches for direct measurement of market risk....     

The power of monitoring: how to make the most of a contaminated multivariate sample

Diagnostic tools must rely on robust high-breakdown methodologies to avoid distortion in the presence of contamination by outliers. However, a disadvantage of having a single, even if robust, summary of the data is that important choices concerning parameters of the robust method, such as breakdown point, have to be made prior to the analysis. The effect of such choices may be difficult to evaluate. We argue that an effective solution is to look at several pictures, and possibly to a whole movie, of the available data. This can be achieved by monitoring, over a range of parameter values, the results computed through the robust methodology of choice. We show the information gain that monitoring provides in the study of complex data structures through the analysis of multivariate datasets using different high-breakdown techniques. Our findings support the claim that the principle of monitoring is very flexible and that it can lead to robust estimators that are as efficient as possible. We also address through simulation some of the tricky inferential issues that arise from monitoring.     

On the Sensitivity Analysis of the IIM: A Rejoinder

In this note I reply to the comments by Haimes et al. on my paper on the sensitivity analysis of the inoperability input‐output model. I make the case for a moment‐independent sensitivity analysis.     

Study Engagement in Italian University Students: A Confirmatory Factor Analysis of the Utrecht Work Engagement Scale—Student Version

Social Indicators Research - This study aims to analyze the psychometric properties of the Italian translation of the short form of the Utrecht Work Engagement Scale—Student version...