Can portmanteau nonlinearity tests serve as general mis-specification tests?

A number of recent papers have employed the BDS test as a general test for mis-specification for linear and nonlinear models. We show that for a particular class of conditionally heteroscedastic models, the BDS test is unable to detect a common mis-specification. Our results also demonstrate that specific rather than portmanteau diagnostics are required to detect neglected asymmetry in volatility. However for both classes of tests reasonable power is only obtained using very large sample sizes.

The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test

This paper considers the effect of using a GARCH filter on the properties of the BDS test statistic as well as a number of other issues relating to the application of the test. It is found that, for certain values of the user-adjustable parameters, the finite sample distribution of the test is far-removed from asymptotic normality. In particular, when data generated from some completely different model class are filtered through a GARCH model, the frequency of rejection of iid falls, often substantially. The implication of this result is that it might be inappropriate to use non-rejection of iid of the standardised residuals of a GARCH model as evidence that the GARCH model ‘fits’ the data.

The psychology of containment: mis/representing emotional and behavioural difficulties in Australian schools

The number of students in special schools has increased at a rapid rate in some Australian states, due in part to increased enrolment under the categories of emotional disturbance (ED) and behaviour disorder (BD). Nonetheless, diagnostic distinctions between ED and BD are unclear. Moreover, despite international findings that students with particular backgrounds are over-represented in special schools, little is known about the backgrounds of students entering such settings in Australia. This study examined the government school enrolment data from New South Wales, the most populous of the Australian states. Linear and quadratic trends were used to describe the numbers and ages of students enrolled in special schools in the ED and BD categories. Changes between 1997 and 2007 were observed. Results showed an over-representation of boys that increased across the decade and a different pattern across age for boys and girls. Consistent with international findings, these results indicate that trends in special school placements are unrelated to disability prevalence in the population. Rather, it is suggested that schools act to preserve time and resources for others by removing their more challenging students: most typically, boys.

Late persistence of the Acheulian in southern Britain in an MIS 8 interstadial: evidence from Harnham, Wiltshire

This paper presents evidence of the discovery of a new Middle Pleistocene site in central southern England, with undisturbed evidence of hominin occupation well-dated to an interstadial towards the end of Marine Isotope Stage 8, c. 250,000 BP. The site consists of a preserved remnant of a river terrace and its alluvial floodplain overlain by chalk-rich bankside deposits, all abutting a Chalk bedrock riverbank. It preserves an area of occupation with activity focused on the riverbank, complemented by occasional activity on a palaeo-landsurface developed on the surface of the alluvial floodplain. Lithic technology at the site consists almost entirely of handaxe manufacture, allowing attribution to an Acheulian industrial tradition. Mammalian and other palaeo-environmental remains are present and associated with the occupation horizons, including large mammal bones showing signs of hominin interference. Dating was based on OSL determinations on the sediments and amino acid racemisation of molluscan remains, supported by biostratigraphic indications. Besides being a rare instance of an undisturbed Palaeolithic palaeo-landscape covering several hectares, the site contributes to wider Quaternary research concerns over the ability of Middle Pleistocene hominins to tolerate colder climatic episodes in higher latitudes, and over settlement history and changing lithic industrial traditions of northwest Europe in relation to climate change and British peninsularity. It is suggested that the Harnham evidence may represent an insular population that had persisted in southern Britain since MIS 10/9, which became locally extinct during the glacial maximum 8.2 marking the end of MIS 8.

Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.