A generalization of histogram type estimators

We introduce simple nonparametric density estimators that generalize theclassical histogram and frequency polygon. The new estimators are expressed as linear combination of density functions that are piecewisepolynomials, where the coefficients are optimally chosen in order to minimize the integrated square error of the estimator. We establish the asymptotic behaviour of the proposed estimators, and study theirperformance in a simulation study.

Subsampling the mean of heavy-tailed dependent observations

We establish the validity of subsampling confidence intervals for themean of a dependent series with heavy-tailed marginal distributions.Using point process theory, we study both linear and nonlinear GARCH-liketime series models. We propose a data-dependent method for the optimalblock size selection and investigate its performance by means of asimulation study.

The effects of a universal child benefit

I study the impact of a universal child benefit on fertility and family well-being. I exploitthe unanticipated introduction of a new, sizeable, unconditional child benefit in Spain in2007, granted to all mothers giving birth on or after July 1, 2007. The regressiondiscontinuity-type design allows for a credible identification of the causal effects. I find thatthe benefit did lead to a significant increase in fertility, as intended, part of it coming froman immediate reduction in abortions. On the unintended side, I find that families whoreceived the benefit did not increase their overall expenditure or their consumption ofdirectly child-related goods and services. Instead, eligible mothers stayed out of the laborforce significantly longer after giving birth, which in turn led to their children spending lesstime in formal child care and more time with their mother during their first year of life. Ialso find that couples who received the benefit were less likely to break up the year afterhaving the child, although this effect was only short-term. Taken together, the resultssuggest that child benefits of this kind may successfully increase fertility, as well asaffecting family well-being through their impact on maternal time at home and familystability.

A simple permutation test for clusteredness

Hierarchical clustering is a popular method for finding structure in multivariate data,resulting in a binary tree constructed on the particular objects of the study, usually samplingunits. The user faces the decision where to cut the binary tree in order to determine the numberof clusters to interpret and there are various ad hoc rules for arriving at a decision. A simplepermutation test is presented that diagnoses whether non-random levels of clustering are presentin the set of objects and, if so, indicates the specific level at which the tree can be cut. The test isvalidated against random matrices to verify the type I error probability and a power study isperformed on data sets with known clusteredness to study the type II error.

Construyendo las bases para una comparación fiable: la Encuesta Social Europea

Surveys are a valuable instrument to find out about the social and politicalreality of our context. However, the work of researchers is often limitedby a number of handicaps that are mainly two. On one hand, the samples areusually low technical quality ones and the fieldwork is not carried out inthe finest conditions. On the other hand, many surveys are not especiallydesigned to allow their comparison, a precisely appreciated operation inpolitical research. The article presents the European Social Survey andjustifies its methodological bases. The survey, promoted by the EuropeanScience Foundation and the European Commission, is born from the collectiveeffort of the scientific community with the explicit aim to establishcertain quality standards in the sample design and in the carrying out ofthe fieldwork so as to guarantee the quality of the data and allow eachcomparison between countries.

The contributions of rare objects in correspondence analysis

Correspondence analysis, when used to visualize relationships in a table of counts(for example, abundance data in ecology), has been frequently criticized as being too sensitiveto objects (for example, species) that occur with very low frequency or in very few samples. Inthis statistical report we show that this criticism is generally unfounded. We demonstrate this inseveral data sets by calculating the actual contributions of rare objects to the results ofcorrespondence analysis and canonical correspondence analysis, both to the determination ofthe principal axes and to the chi-square distance. It is a fact that rare objects are oftenpositioned as outliers in correspondence analysis maps, which gives the impression that theyare highly influential, but their low weight offsets their distant positions and reduces their effecton the results. An alternative scaling of the correspondence analysis solution, the contributionbiplot, is proposed as a way of mapping the results in order to avoid the problem of outlying andlow contributing rare objects.

The effects of employment uncertainty and wealth shocks on the labor supply and claiming behavior of older American workers

Unemployment rates in developed countries have recently reached levels not seenin a generation, and workers of all ages are facing increasing probabilities of losingtheir jobs and considerable losses in accumulated assets. These events likely increasethe reliance that most older workers will have on public social insurance programs,exactly at a time that public finances are suffering from a large drop in contributions.Our paper explicitly accounts for employment uncertainty and unexpectedwealth shocks, something that has been relatively overlooked in the literature, butthat has grown in importance in recent years. Using administrative and householdlevel data we empirically characterize a life-cycle model of retirement and claimingdecisions in terms of the employment, wage, health, and mortality uncertainty facedby individuals. Our benchmark model explains with great accuracy the strikinglyhigh proportion of individuals who claim benefits exactly at the Early RetirementAge, while still explaining the increased claiming hazard at the Normal RetirementAge. We also discuss some policy experiments and their interplay with employmentuncertainty. Additionally, we analyze the effects of negative wealth shocks on thelabor supply and claiming decisions of older Americans. Our results can explainwhy early claiming has remained very high in the last years even as the early retirementpenalties have increased substantially compared with previous periods, andwhy labor force participation has remained quite high for older workers even in themidst of the worse employment crisis in decades.

Do institutions and culture matter for business cycles?

We examine the relationship between institutions, culture and cyclical fluctuations for a sampleof 45 European, Middle Eastern and North African countries. Better governance is associated withshorter and less severe contractions and milder expansions. Certain cultural traits, such as lack ofacceptance of power distance and individualism, are also linked business cycle features. Businesscycle synchronization is tightly related to similarities in the institutional environment. Mediterraneancountries conform to these general tendencies.

Fuzzy coding in constrained ordinations

Canonical correspondence analysis and redundancy analysis are two methods of constrained ordination regularly used in the analysis of ecological data when several response variables (for example, species abundances) are related linearly to several explanatory variables (for example, environmental variables, spatial positions of samples). In this report I demonstrate the advantages of the fuzzy coding of explanatory variables: first, nonlinear relationships can be diagnosed; second, more variance in the responses can be explained; and third, in the presence of categorical explanatory variables (for example, years, regions) the interpretation of the resulting triplot ordination is unified because all explanatory variables are measured at a categorical level.

The role of awareness, information gathering and processing in school choice

This paper studies the determinants of school choice, focusing on the role of information. Weconsider how parents' search efforts and their capacity to process information (i.e., tocorrectly assess schools) affect the quality of the schools they choose for their children. Usinga novel dataset, we are able to identify parents' awareness of schools in their neighborhoodand measure their capacity to rank the quality of the school with respect to the officialrankings. We find that parents education and wealth are important factors in determiningtheir level of school awareness and information gathering. Moreover, these search effortshave important consequences in terms of the quality of school choice.

Calibration of stochastic volatility models via second order approximation: the Heston model case

Using a suitable Hull and White type formula we develop a methodology to obtain asecond order approximation to the implied volatility for very short maturities. Using thisapproximation we accurately calibrate the full set of parameters of the Heston model. Oneof the reasons that makes our calibration for short maturities so accurate is that we alsotake into account the term-structure for large maturities. We may say that calibration isnot "memoryless", in the sense that the option's behavior far away from maturity doesinfluence calibration when the option gets close to expiration. Our results provide a wayto perform a quick calibration of a closed-form approximation to vanilla options that canthen be used to price exotic derivatives. The methodology is simple, accurate, fast, andit requires a minimal computational cost.

On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

Asymptotic robustness in multi-sample analysis of multivariate linear relations

Standard methods for the analysis of linear latent variable models oftenrely on the assumption that the vector of observed variables is normallydistributed. This normality assumption (NA) plays a crucial role inassessingoptimality of estimates, in computing standard errors, and in designinganasymptotic chi-square goodness-of-fit test. The asymptotic validity of NAinferences when the data deviates from normality has been calledasymptoticrobustness. In the present paper we extend previous work on asymptoticrobustnessto a general context of multi-sample analysis of linear latent variablemodels,with a latent component of the model allowed to be fixed across(hypothetical)sample replications, and with the asymptotic covariance matrix of thesamplemoments not necessarily finite. We will show that, under certainconditions,the matrix $\Gamma$ of asymptotic variances of the analyzed samplemomentscan be substituted by a matrix $\Omega$ that is a function only of thecross-product moments of the observed variables. The main advantage of thisis thatinferences based on $\Omega$ are readily available in standard softwareforcovariance structure analysis, and do not require to compute samplefourth-order moments. An illustration with simulated data in the context ofregressionwith errors in variables will be presented.

Do Spanish informal caregivers come to the rescue of dependent people with formal care unmet needs?

This paper analyses the effect of unmet formal care needs on informal caregiving hours in Spain using the two wavesof the Informal Support Survey (1994, 2004). Testing for double sample selection from formal care receipt and theemergence of unmet needs provides evidence that the omission of either variable would causes underestimation of thenumber of informal caregiving hours. After controlling for these two factors the number of hours of care increaseswith both the degree of dependency and unmet needs. More importantly, in the presence of unmet needs, the numberof informal caregiving hours increases when some formal care is received. This result refutes the substitution modeland supports complementarity or task specificity between both types of care. For a given combination of formal careand unmet needs, informal caregiving hours increased between 1994 and 2004. Finally, in the model for 2004, theselection term associated with the unmet needs equation is larger than that of the formal care equation, suggestingthat using the number of formal care recipients as a quality indicator may be confounding, if we do not complete thisinformation with other quality indicators.