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.     

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.     

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.     

Housing hardship and energy insecurity among native-born and immigrant low-income families with children in the United States

The costs for rent and utilities account for the largest share of living expenses, yet these two critical dimensions of material hardship have seldom been examined concurrently in population-based studies. This paper employs multivariate statistical analysis using American Community Survey data to demonstrate the relative risk ratio of low-income renter-occupied households with children experiencing ‘rent burden', ‘energy insecurity', or a ‘double burden’ as opposed to no burden. Findings suggest that low-income households are more likely to experience these economic hardships in general but that specific groups are disproportionately burdened in different ways. For instance, whereas immigrants are more likely to experience rental burden, they are less likely to experience energy insecurity and are also spared from the double burden. In contrast, native-born African Americans are more likely than all other groups to experience the double burden. These results may be driven by the housing stock available to certain groups due to racial residential segregation, decisions regarding the quality of housing low-income householders are able to afford, as well as home-country values, such as modest living and energy conservation practices, among immigrant families. This paper also points to important policy gaps in safety net benefits related to housing and energy targeting low-income households.     

Identifying Latent Structures in Panel Data

This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized techniques. We consider both linear and nonlinear models where the regression coefficients are heterogeneous across groups but homogeneous within a group and the group membership is unknown. Two approaches are considered—penalized profile likelihood (PPL) estimation for the general nonlinear models without endogenous regressors, and penalized GMM (PGMM) estimation for linear models with endogeneity. In both cases, we develop a new variant of Lasso called classifier‐Lasso (C‐Lasso) that serves to shrink individual coefficients to the unknown group‐specific coefficients. C‐Lasso achieves simultaneous classification and consistent estimation in a single step and the classification exhibits the desirable property of uniform consistency. For PPL estimation, C‐Lasso also achieves the oracle property so that group‐specific parameter estimators are asymptotically equivalent to infeasible estimators that use individual group identity information. For PGMM estimation, the oracle property of C‐Lasso is preserved in some special cases. Simulations demonstrate good finite‐sample performance of the approach in both classification and estimation. Empirical applications to both linear and nonlinear models are presented.     

Effects of a single-lesson tobacco prevention curriculum on knowledge, skill identification and smoking intention

One in five students report experimenting with tobacco before the age of 13 and most prevention efforts take place in the school setting. This study measures the effect of a single-lesson tobacco prevention curriculum, conducted by a health education center, focusing on knowledge of tobacco, ability to identify refusal techniques, and intent not to smoke. Data were collected, via electronic keypads, from students visiting a non-school, health education center in Michigan (n = 704 intervention and 85 comparison). Contingency table Chi-squared tests and t-tests demonstrated that a single lesson can improve general knowledge and ability to identify appropriate refusal techniques. Improvement in intent not to smoke was not significant because both groups had very high intent prior to implementation. Similar to results from other programs, multivariate logistic regression of gender, general knowledge, and skill identification revealed that only the skill variable was associated with intent not to smoke at pretest. Recommendations are given for further research and for designing more effective curricula or programs.     

A League of Gentlemen: The Institute of the Motor Industry

The article first examines how a Victorian discourse of gentlemanliness has been used by the professions to support a claim to moral and intellectual superiority. In Bourdieusian terms, this allowed an emerging professional class to accumulate a stock of cultural capital that differentiated them from entrepreneurship and commerce. However, there has been dramatic increase in occupational groups claiming professional status. This includes the use of signifiers of gentility and respectability such as charters, coats of arms and prestigious headquarters. The particular artefacts produced by the Institute of the Motor Industry (IMI), a professional body that represents car dealers and repair shops, are examined and related to Theodor Adorno’s concept of the culture industry wherein social markers have become manufactured effects that can be exchanged. They have thus been emptied out of meaning as a claim to gentlemanly status has been reduced to the possession of certain objects rather than a set of particular behaviours.