Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method

Seasonal fractional ARIMA (ARFISMA) model with infinite variance innovations is used in the analysis of seasonal long-memory time series with large fluctuations (heavy-tailed distributions). Two methods, which are the empirical characteristic function (ECF) procedure developed by Knight and Yu [The empirical characteristic function in time series estimation. Econometric Theory. 2002;18:691–721] and the Two-Step method (TSM) are proposed to estimate the parameters of stable ARFISMA model. The ECF method estimates simultaneously all the parameters, while the TSM considers in the first step the Markov Chains Monte Carlo–Whittle approach introduced by Ndongo et al. [Estimation of long-memory parameters for seasonal fractional ARIMA with stable innovations. Stat Methodol. 2010;7:141–151], combined with the maximum likelihood estimation method developed by Alvarez and Olivares [Méthodes d'estimation pour des lois stables avec des applications en finance. Journal de la Société Française de Statistique. 2005;1(4):23–54] in the second step. Monte Carlo simulations are also used to evaluate the finite sample performance of these estimation techniques.     

The k-factor GARMA Process with Infinite Variance Innovations

In this article, we develop the theory of k-factor Gegenbauer Autoregressive Moving Average (GARMA) process with infinite variance innovations which is a generalization of the stable seasonal fractional Autoregressive Integrated Moving Average (ARIMA) model introduced by Diongue et al. (2008 Diongue, A.K., Guégan, D. (2008). Estimation of k-Factor GIGARCH Process: A Monte Carlo Study. Communications in Statistics-Simulation and Computation 37:2037–2049.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). Stationarity and invertibility conditions of this new model are derived. Conditional Sum of Squares (CSS) and Markov Chains Monte Carlo (MCMC) Whittle methods are investigated for parameter estimation. Monte Carlo simulations are also used to evaluate the finite sample performance of these estimation techniques. Finally, the usefulness of the model is corroborated with the application to streamflow data for Senegal River at Bakel.     

A new behavioural model for fertility schedules

Modelling age-specific fertility rates is of great importance in demography because of their influence on population growth. Although we have a variety of fertility models in the demographic literature, most of them do not have any demographic interpretation for their parameters. It is generally expected that models with behavioural interpretation are more universal than those without any interpretation. Even though the famous Gompertz model has some behavioural interpretation it suffers from other drawbacks. In the present work, we propose a new fertility model, which has its genesis in the generalization of logistic law. The proposed model has good behavioural interpretation, alongside having nice parameter interpretations.     

Investigating the Dynamics of Migration and Health in Australia: A Longitudinal Study

There have been few longitudinal studies investigating the immigrant health and changes in their health with longer residency in the host country. Additionally, the pathways and mechanisms by which transition of health over time occurs are poorly understood, limiting the ability to implement policies that will result in improved health for all, including immigrants. We assessed differences in health outcomes among foreign-born people from English speaking countries and non-English speaking countries relative to native-born Australians over a 10-year period using a large representative longitudinal dataset. We also explored English language proficiency, socio-economic factors and health behaviour factors as possible mechanisms through which health outcomes change over time post-migration. Conventional multilevel mixed and hybrid regression models were used to evaluate health outcomes in 9558 native-born and 3067 foreign-born people from the Household, Income and Labour Dynamics in Australia survey. There were clear differences in physical health, mental health and self-assessed health between foreign-born subgroups in comparison with native-born Australians. Foreign-born people from English speaking countries typically had a health advantage relative to native-born people, and foreign-born people from non-English speaking countries had a health disadvantage with respect to native-born people for all health outcomes. There was no evidence that these differences changed by duration of residence except for self-assessed health amongst foreign-born people from non-English speaking countries when duration of residence exceeded 20 years. English language proficiency mediated the relationship between duration of residence and health for foreign-born people from non-English speaking countries.     

Quasi stable outcomes in the assignment game

There is a great deal of literature on matching, theoretical, and empirical, concerning stable assignments and mechanisms that achieve them. The starting point of this study is an interesting question about assignment procedures: given a situation where some agents (the senior workers) on one side have a priority status, which changes the classical theory. The core of game may not be stable. We prove the existence of a quasi stable constrained core. This constrained core may not be a lattice but it is a finite and disjoint union of complete lattices that check the properties of the core’s classical assignment game. We study the manipulability questions that derive.     

Estimation of long-memory parameters for seasonal fractional ARIMA with stable innovations

We carry out finite sample size parameter estimation methods for long-memory parameters of the class of seasonal fractional ARIMA with stable innovations. In particular, we consider the semiparametric method studied in Reisen et al. (2006) [27] and two Whittle approaches: the classical Whittle method and a method based on a Markov Chains Monte Carlo (MCMC) procedure. The performance of the methods is discussed using a Monte Carlo simulation.     

Measuring labour absorption problems in developing countries: Limitations of the concept of unemployment

The “standard” unemployment rate is often criticized for omitting large numbers of people who are classified as employed or as not economically inactive, when in fact their situation amounts to unemployment. The author discusses the limitations of this standard definition for developing countries. After reviewing the methodological and statistical problems posed by the standard rate, he looks at the reality behind the words in contexts where the labour market is highly segmented. He shows that the standard unemployment rate underestimates excess labour supply and is a poor indicator of the Decent Work deficit, and considers its limitations in guiding economic policy.     

Mesurer les difficultés d'absorption de la force de travail dans les pays en développement: les limites du concept de taux de chômage

Le concept de chômage «standard» est souvent critiqué parce qu'il omet de nombreuses personnes classées comme travaillant ou inactives, alors qu'elles sont de fait dans une situation équivalant au chômage. L'auteur examine les limites de ce concept dans les pays en développement. Il commence par les problèmes méthodologiques et statistiques associés à la définition type du taux de chômage, puis s'interroge sur sa signification lorsque l'emploi est très hétérogène. Il montre ensuite que ce taux tend à sous‐estimer l'excès d'offre de travail et qu'il est un mauvais indicateur du déficit de travail décent. Il conclut sur les limites de ce taux en tant que guide de la politique économique.