LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

GPS接收机P(Y)直捕方法研究

GPS接收机P(Y)直捕算法是基于存储的滑动相关搜索,并利用FFT将时频二维联合搜索变成时域一维搜索。同时,考虑位同步点已知的条件,接收资源池只需存储一段接收序列,缩短了捕获时间且利于硬件实现。仿真结果表明,多普勒频移为±5kHz时,所带来的峰值衰减为2dB左右,本地信号与接收信号对齐时出现明显的相关峰,很好地实现了捕获功能;提出了用重叠分段补零FFT操作实现并行相关,成倍降低了捕获时间;提出了利用位同步信息,避免了码极性翻转可能引起的信噪比损耗;针对码相位漂移,提出了优化捕获策略,可在短时间内完成重捕。     

高校体育教育专业人才培养模式的现状与对策

文章对高校体育教育专业人才培养模式现状进行了分析,通过对修订培养目标、拓宽培养途径、优化课程设置、改革教学方法、提高师资力量等方面的研讨,进一步明确了高校体育教育专业人才培养模式改革的基本思路,以促进高校体育教育专业教学质量和人才质量的提高。     

Automobile prices and protection: The U.S.-Japan trade restraint

We examine the effects of the U.S.-Japan trade restraint on automobile prices and quality upgrading, for both Japanese imports and American small cars. From April 1981 to April 1984 the suggested retail price of all Japanese models increased by 15.8 percent, or 5.3 percent per year. We find that nearly the entire amount of this rise can be explained by the upgrading of individual models. This upgrading may benefit consumers who would purchase a luxury import in any case, but harms those who desire the basic imports. In addition to upgrading, we conclude that a second cost of the trade restraint has been to prevent the yen depreciation from being passed onto American consumers, in terms of lower imported auto prices. For U.S. small cars we find a 9.1 percent rise in the suggested retail price, or 3 percent per year, with a fraction of this amount due to model upgrading. If the yen depreciation had led to lower import prices without the trade restraint, then we expect that U.S. auto prices would have been lower, too.     

The analysis of incomplete data using stochastic covariates

In the development of many diseases there are often associated random variables which continuously reflect the progress of a subject towards the final expression of the disease (failure). At any given time these processes, which we call stochastic covariates, may provide information about the current hazard and the remaining time to failure. Likewise, in situations when the specific times of key prior events are not known, such as the time of onset of an occult tumour or the time of infection with HIV-1, it may be possible to identify a stochastic covariate which reveals, indirectly, when the event of interest occurred. The analysis of carcinogenicity trials which involve occult tumours is usually based on the time of death or sacrifice and an indicator of tumour presence for each animal in the experiment. However, the size of an occult tumour observed at the endpoint represents data concerning tumour development which may convey additional information concerning both the tumour incidence rate and the rate of death to which tumour-bearing animals are subject. We develop a stochastic model for tumour growth and suggest different ways in which the effect of this growth on the hazard of failure might be modelled. Using a combined model for tumour growth and additive competing risks of death, we show that if this tumour size information is used, assumptions concerning tumour lethality, the context of observation or multiple sacrifice times are no longer necessary in order to estimate the tumour incidence rate. Parametric estimation based on the method of maximum likelihood is outlined and is applied to simulated data from the combined model. The results of this limited study confirm that use of the stochastic covariate tumour size results in more precise estimation of the incidence rate for occult tumours.     

Almost Consistent Estimation of Panel Probit Models with “Small” Fixed Effects

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small Tand large N. The moments used are derived for each period from a first order approximation of the mean of the dependent variable conditional on explanatory variables and on the fixed effect. The estimators differ w.r.t. the choice of instruments and whether they use trimming to reduce the bias or not. In a Monte Carlo study, we compare these estimators with pooled probit and conditional logit estimators for different data generating processes. The results show that the proposed estimators outperform these competitors in several situations.     

Two point priors and Γ-minimax estimating in families of uniform distributions

It is shown that when a parameter lying in a sufficiently small interval is to be estimated in a family of uniform distributions, a two point prior is least favourable under squared error loss. The unique Bayes estimator with respect to this prior is minimax. The Γ-minimax estimator is derived for sets Γ of priors consisting of all priors that give fixed probabilities to two specified subintervals of the parameter space if a two point prior is least favourable in Γ.     

Analyzing mental health evaluation: moral and ethical dimensions

Now that evaluators have been sensitized to the importance of moral and ethical issues in their work, it is time to move beyond generalities and examine the moral and ethical implications of specific evaluation models in specific settings. This paper proposes a framework that can be used to examine moral and ethical dimensions of evaluation and illustrates it by analyzing a selected model of mental health evaluation. Such a systematic identification of moral issues can improve evaluation practice both proactively, by shaping the training of evaluators, and retrospectively, by contributing to meta-evaluation.     

Modeling household fertility decisions with generalized Poisson regression

This paper models household fertility decisions by using a generalized Poisson regression model. Since the fertility data used in the paper exhibit under-dispersion, the generalized Poisson regression model has statistical advantages over both standard Poisson and negative binomial regression models, and is suitable for analysis of count data that exhibit either over-dispersion or under-dispersion. The model is estimated by the method of maximum likelihood. Approximate tests for the dispersion and goodness-of-fit measures for comparing alternative models are discussed. Based on observations from the Panel Study of Income Dynamics of 1989 interviewing year, the empirical results support the fertility hypothesis of Becker and Lewis (1973). Received January 7, 1997 /Accepted April 3, 1997     

Correlates of honor ratings in a clinical clerkship employing a faculty forum evaluation system

5he purpose of this study was to determine whether or not suspected variables affected a surgery clerk's chances of being awarded an honor rating. Findings indicated a significant relationship between a student receiving an honor rating and his or her preceptor's predetermined level of student advocacy, the number of completed patient interview and physical examination write-ups, and final examination scores. There was no significant relationship found between honor ratings and the preceptor's status, the sequence in which the student was discussed or the length of time spent discussing the student at the final evaluation meeting, or the number of clinical faculty present at the meeting. These results lend support to the faculty forum evaluation approach, but suggest a need for further scrutiny of some influencing variables to ensure all students are fairly considered and honor ratings judiciously awarded.