HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

Population constraints on pooled surveys in demographic hazard modeling

In non-experimental research, data on the same population process may be collected simultaneously by more than one instrument. For example, in the present application, two sample surveys and a population birth registration system all collect observations on first births by age and year, while the two surveys additionally collect information on women’s education. To make maximum use of the three data sources, the survey data are pooled and the population data introduced as constraints in a logistic regression equation. Reductions in standard errors about the age and birth-cohort parameters of the regression equation in the order of three-quarters are obtained by introducing the population data as constraints. A halving of the standard errors about the education parameters is achieved by pooling observations from the larger survey dataset with those from the smaller survey. The percentage reduction in the standard errors through imposing population constraints is independent of the total survey sample size.     

Causal inference with generalized structural mean models

Summary.  We estimate cause–effect relationships in empirical research where exposures are not completely controlled, as in observational studies or with patient non-compliance and self-selected treatment switches in randomized clinical trials. Additive and multiplicative structural mean models have proved useful for this but suffer from the classical limitations of linear and log-linear models when accommodating binary data. We propose the generalized structural mean model to overcome these limitations. This is a semiparametric two-stage model which extends the structural mean model to handle non-linear average exposure effects. The first-stage structural model describes the causal effect of received exposure by contrasting the means of observed and potential exposure-free outcomes in exposed subsets of the population. For identification of the structural parameters, a second stage 'nuisance' model is introduced. This takes the form of a classical association model for expected outcomes given observed exposure. Under the model, we derive estimating equations which yield consistent, asymptotically normal and efficient estimators of the structural effects. We examine their robustness to model misspecification and construct robust estimators in the absence of any exposure effect. The double-logistic structural mean model is developed in more detail to estimate the effect of observed exposure on the success of treatment in a randomized controlled blood pressure reduction trial with self-selected non-compliance.     

How Welfare Policies Affect Adolescents' School Outcomes: A Synthesis of Evidence From Experimental Studies

Using data from 8 random assignment studies and employing meta‐analytic techniques, this article provides systematic evidence that welfare and work policies targeted at low‐income parents have small adverse effects on some school outcomes among adolescents ages 12 to 18 years at follow‐up. These adverse effects were observed mostly for school performance outcomes and occurred in programs that required mothers to work or participate in employment‐related activities and those that encouraged mothers to work voluntarily. The most pronounced negative effects on school outcomes occurred for the group of adolescents who had a younger sibling, possibly because of the increased home and sibling care responsibilities they assumed as their mothers increased their employment.     

Family Cap and Nonmarital Fertility: The Racial Conditioning of Policy Effects

Using an experimental design, this research examines the effect of the nation's first family cap on the births, abortions, and contraception use of over 8,000 women receiving public assistance in New Jersey. The family cap denies additional cash benefits to children conceived while the mother is receiving public assistance. Our research shows that a targeted welfare benefit manipulation does influence fertility behavior; however, the effect is conditioned by race. We find that Black women in the experimental group have a 21% lower birth rate and a 32% higher abortion rate than Black women in the control group. We do not find a birth effect for Hispanic or White women. We discuss the policy implications of the effects of a segmented family cap.     

Foster parenting: A developmental model

This paper proposes a developmental framework for foster parents and outlines four distinct growth stages. Such a framework can be of value to program administrators who are required to assess foster parent development during the crucial matching process. To draw a distinction between each developmental stage, specific instrumental tasks and indicators are outlined.     

Psychological Control and Autonomy Granting: Opposite Ends of a Continuum or Distinct Constructs?

This article explores the relationship between parental psychological control and parental autonomy granting, and the relations between these constructs and indicators of adolescent psychosocial functioning, in a sample of 9,564 adolescents from grades 9 to 12. Participants completed a comprehensive parenting questionnaire as well as several measures of psychosocial adjustment. Confirmatory factor analyses of the parenting items revealed discrete factors for psychological control and autonomy granting, suggesting that these are distinct parenting constructs rather than opposite ends of a parental control continuum. Moreover, structural equation modeling showed that these factors were weakly correlated and differentially related to adolescent internalizing symptoms. Findings have implications for future conceptualization and measurement of psychological control and autonomy granting, and for research examining their effects on adolescent development.     

Farming Patterns,Rural Restructuring,and Poverty: A Comparative Regional Analysis1

Abstract This study examines the contentions of two recent perspectives on rural economic organization and their implications for poverty. Building from (1) agrarian political economy and (2) the rural restructuring literatures, we present a comparative regional analysis of how farming patterns and other aspects of economic organization differentially affect poverty in rural areas. Data are based on 2,349 nonmetropolitan U.S. counties for the 1970–1980 period. Nonhired labor-dependent, family-operated farming (smaller and larger family farming) has relatively similar cross-regional effects on rural poverty. The effects of industrialized farming are more spatially variant, suggesting that this type of farming is integrated into regional political economies in different ways than are simple commodity units. However, farming patterns have only a small effect on rural poverty relative to other factors, such as the local employment structure, characteristics of the population, and geographic location. The results of this study highlight the need to move beyond the farm sector to understand both the dynamics of this sector and the socioeconomic consequences of rural restructuring. More broadly, the study underscores the importance of testing general sociological relationships under different spatial (e.g., regional) contexts.     

Ethnic preferences and perceptions among Asian and White British middle school children

Asian and White middle school children were shown photographs of unknown Afro-Caribbean, Asian, and White individuals of approximately the same age as themselves, and asked which one wax most like them, which one they would prefer to be, which ones they would prefer to engage in various activities with, and finally, to allocate positive and negative traits to the three groups or to nobody. A similar majority of both Asian and While children selected an own-race photograph as being most like them, but only about a half selected the own-race photograph as the one they would most like to he. For sharing activities, children showed a strong own-tender preference, followed by an own-race preference. White children stated a greater preference for sharing activities with White children, then with Afro-Caribbean children, and least with Asian children. Asian children preferred Asian and White children the most, Afro-Caribbean the least. On a stereotypes test, similar trends were obtained; White children evaluated While children highest and Asian lowest; Asian children tended to evaluate Asian children highest but to a nonsignificant extent. The relative proportion of Asian/White children in school appeared to have little systematic influence on the results, thus arguing against the contact hypothesis of prejudice reduction in its simple form.     

Socioeconomic Status and Early Adolescent Self-Esteem*

This study is a replication of a recent assessment of the relationship between social class and self-esteem, and the variables that intervene on this relationship. The purpose is to replicate the methods used to explore further this relationship by attempting to replicate the findings reported by Demo and Savin-Williams (1983) in another population. Only one of the four hypotheses tested received support thereby indirectly supporting the null relationship theory of no relationship between socioeconomic status and self-esteem. Implications of the findings also are addressed.