Refined Inference on Long Memory in Realized Volatility

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about d by higher order theory. Standard asymptotic theory has an O(n^-1/2) error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of o(n^-1/2). The new formula is independent of unknown parameters, is simple to calculate and user-friendly. The method is applied to test whether the reported long memory parameter estimates of Andersen et al. (2001) and Martens et al. (2004) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory, and generally confirms earlier findings.     

The econometrics of female labor supply and children

This is a survey of applied econometric research on the effects of children on female labor supply. Reasons for interest in the topic, and a basic model and terminology, are reviewed. Concerns are raised about the possible endogeneity of child status variables, and about the instrumental variables approach for dealing with this problem. Alternative ways of conceptualizing and estimating child status effects are considered, together with selected empirical evidence. Relevant developments from the household demand literature are summarized. Basic issues of model choice are also discussed.     

Issues in applying recent CPMP ‘Points to Consider’ and FDA guidance documents with biostatistical implications

The International Conference on Harmonisation guideline ‘Statistical Principles for Clinical Trials’ was adopted by the Committee for Proprietary Medicinal Products (CPMP) in March 1998, and consequently is operational in Europe. Since then more detailed guidance on selected topics has been issued by the CPMP in the form of ‘Points to Consider’ documents. The intent of these was to give guidance particularly to non‐statistical reviewers within regulatory authorities, although of course they also provide a good source of information for pharmaceutical industry statisticians. In addition, the Food and Drug Administration has recently issued a draft guideline on data monitoring committees. In November 2002 a one‐day discussion forum was held in London by Statisticians in the Pharmaceutical Industry (PSI). The aim of the meeting was to discuss how statisticians were responding to some of the issues covered in these new guidelines, and to document consensus views where they existed. The forum was attended by industry, academic and regulatory statisticians. This paper outlines the questions raised, resulting discussions and consensus views reached. It is clear from the guidelines and discussions at the workshop that the statistical analysis strategy must be planned during the design phase of a clinical trial and carefully documented. Once the study is complete the analysis strategy should be thoughtfully executed and the findings reported. Copyright © 2003 John Wiley & Sons, Ltd.     

Ninth-Grade Students' Attitudes Toward Nontraditional Occupations

This study explored how students choose careers, their attitudes toward vocational education, and whether or not they would consider enrolling in a nontraditional vocational education program.     

Partner Choice and the Differential Retreat From Marriage

The contemporary retreat from marriage in the United States has had a differential impact across socioeconomic and racial groups. Here, 1990 marriage rates and propensities for Virginia, North Carolina, and Wisconsin are analyzed regarding (a) the likelihood that persons in different groups ever marry and (b) patterns of partner choice with respect to race and educational level. Marriage remains strong in most race‐education groups but is substantially lower among Blacks and among those with less than 12 years of education. Patterns of partner choice have shifted to show greater symmetry between the educational levels of brides and grooms. Changes have been modest with regard to the level and pattern of interracial (Black‐White) marriage. Marriage is increasingly a union of equals, but a union chosen more by Whites than by Blacks and more by the well educated than by the poorly educated.     

刻意创新

我们大多数人都认同创新是成长的关键途径。问题是如何创新?许多企业依靠突发机遇。也就是说,他们指望某个人提出产品或服务方面的点子,然后从中获利。然而有些时候,企业必须发掘比以往更多的创意,并先于竞争对手将创意化为切实可行的产品与服务。此时,企业便不能再依靠机缘巧合了。我们需要可持续、可重复的创新方法。     

＂Inspire Confidence, Stay Relevant＂

(Continued from the last issue)However,I did not feel I had made the right choice and the next time I saw her I apologized.She said to me I had done nothing wrong and said "it’s not your fault teacher,it’s my fault my English is too poor." But I still insisted that I had made a mistake.Yes,I had corrected her,but at what cost? The experience obviously embarrassed her,and her peers by the third time she repeated the word incorrectly had been shaking their heads.She may have left the classroom being able to pronounce the word correctly but what about the damage to her confidence? I thought about it for literally hours.I feared that perhaps next time she might not want to stand up,or shout out the answer in class in case she might be humiliated again.In her mind it was her own incompetence but for me it was my own ignorance.     

LIMITED ASSET MARKET PARTICIPATION AND THE EURO AREA CRISIS: AN EMPIRICAL DSGE MODEL

We estimate a medium‐scale dynamic stochastic general equilibrium model for the Euro area with limited asset market participation (LAMP). Our results suggest that in the recent European Monetary Union years LAMP is particularly sizable (39% during 1993–2012) and important to understand business cycle features. The Bayes factor and the forecasting performance show that the LAMP model is preferred to its representative household counterpart. In the representative agent model the risk premium shock is the main driver of output volatility in order to match consumption correlation with output. In the LAMP model this role is played by the investment‐specific shock, because non‐Ricardian households introduce a Keynesian multiplier effect and raise the correlation between consumption and investments. We also detect the contractionary role of monetary policy shocks during the post‐2007 years. In this period consumption of non‐Ricardian households fell dramatically, but this outcome might have been avoided by a more aggressive policy stance. (JEL C11, C13, C32, E21, E32, E37)