Improving behaviour classification consistency: a technique from biological taxonomy

Quantitative behaviour analysis requires the classification of behaviour to produce the basic data. In practice, much of this work will be performed by multiple observers, and maximising inter-observer consistency is of particular importance. Another discipline where consistency in classification is vital is biological taxonomy. A classification tool of great utility, the binary key, is designed to simplify the classification decision process and ensure consistent identification of proper categories. We show how this same decision-making tool - the binary key - can be used to promote consistency in the classification of behaviour. The construction of a binary key also ensures that the categories in which behaviour is classified are complete and non-overlapping. We discuss the general principles of design of binary keys, and illustrate their construction and use with a practical example from education research.

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.