Inference for nonparametric high-frequency estimators with an application to time variation in betas

We consider the problem of conducting inference on nonparametric high-frequency estimators without knowing their asymptotic variances. We prove that a multivariate subsampling method achieves this goal under general conditions that were not previously available in the literature. We suggest a procedure for a data-driven choice of the bandwidth parameters. Our simulation study indicates that the subsampling method is much more robust than the plug-in method based on the asymptotic expression for the variance. Importantly, the subsampling method reliably estimates the variability of the Two Scale estimator even when its parameters are chosen to minimize the finite sample Mean Squared Error; in contrast, the plugin estimator substantially underestimates the sampling uncertainty. By construction, the subsampling method delivers estimates of the variance-covariance matrices that are always positive semi-definite. We use the subsampling method to study the dynamics of financial betas of six stocks on the NYSE. We document significant variation in betas within year 2006, and find that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. To capture this variation we estimate a simple dynamic model for betas. The variance estimation is also important for the correction of the errors-in-variables bias in such models. We find that the bias corrections are substantial, and that betas are more persistent than the naive estimators would lead one to believe.

Harmful or helpful : perceived solicitous and facilitative partner responses are differentially associated with pain and sexual satisfaction in women with provoked vestibulodynia.

Introduction.  Provoked vestibulodynia (PVD) is a highly prevalent vulvovaginal pain condition that negatively affects women's emotional, sexual, and relationship well-being. Recent studies have investigated the role of interpersonal variables, including partner responses. Aim.  We examined whether solicitous and facilitative partner responses were differentially associated with vulvovaginal pain and sexual satisfaction in women with PVD by examining each predictor while controlling for the other. Methods.  One hundred twenty-one women (M age = 30.60, SD = 10.53) with PVD or self-reported symptoms of PVD completed the solicitous subscale of the spouse response scale of the Multidimensional Pain Inventory, and the facilitative subscale of the Spouse Response Inventory. Participants also completed measures of pain, sexual function, sexual satisfaction, trait anxiety, and avoidance of pain and sexual behaviors (referred to as “avoidance”). Main Outcome Measures.  Dependent measures were the (i) Pain Rating Index of the McGill Pain Questionnaire with reference to pain during vaginal intercourse and (ii) Global Measure of Sexual Satisfaction Scale. Results.  Controlling for trait anxiety and avoidance, higher solicitous partner responses were associated with higher vulvovaginal pain intensity (β = 0.20, P = 0.03), and higher facilitative partner responses were associated with lower pain intensity (β = −0.20, P = 0.04). Controlling for sexual function, trait anxiety, and avoidance, higher facilitative partner responses were associated with higher sexual satisfaction (β = 0.15, P = 0.05). Conclusions.  Findings suggest that facilitative partner responses may aid in alleviating vulvovaginal pain and improving sexual satisfaction, whereas solicitous partner responses may contribute to greater pain.