On the Testability of Identification in Some Nonparametric Models With Endogeneity

This paper examines three distinct hypothesis testing problems that arise in the context of identification of some nonparametric models with endogeneity. The first hypothesis testing problem we study concerns testing necessary conditions for identification in some nonparametric models with endogeneity involving mean independence restrictions. These conditions are typically referred to as completeness conditions. The second and third hypothesis testing problems we examine concern testing for identification directly in some nonparametric models with endogeneity involving quantile independence restrictions. For each of these hypothesis testing problems, we provide conditions under which any test will have power no greater than size against any alternative. In this sense, we conclude that no nontrivial tests for these hypothesis testing problems exist.     

RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX

This study investigates the information content of RBI’s monetary policy and macroeconomic announcements and its impact on the implied volatility index. The empirical findings suggest that implied volatility (VIX) increases prior to the scheduled macroeconomic announcements. This study takes into account the RBI’s (Reserve Bank of India) monetary policy in the form of monetary credit information review meeting days, consumer price index, wholesale/producers price index, index of industrial production, employment report, gross domestic product. The empirical result explains that investors regard the scheduled macroeconomic announcements in the valuation of their financial assets. More specifically study shows that investors jointly consider the MCIR and GDP reports for their financial planning. This study contributes in two ways; it is useful in the forecasting of short-term market volatility and pricing of Options.     

A Practical Two‐Step Method for Testing Moment Inequalities

This paper considers the problem of testing a finite number of moment inequalities. We propose a two‐step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A Bonferonni‐type correction is used to account for the fact that, with some probability, the moments may not lie in the confidence region. It is shown that the test controls size uniformly over a large class of distributions for the observed data. An important feature of the proposal is that it remains computationally feasible, even when the number of moments is large. The finite‐sample properties of the procedure are examined via a simulation study, which demonstrates, among other things, that the proposal remains competitive with existing procedures while being computationally more attractive.     

On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions

We show by example that empirical likelihood and other commonly used tests for moment restrictions are unable to control the (exponential) rate at which the probability of a Type I error tends to zero unless the possible distributions for the observed data are restricted appropriately. From this, it follows that for the optimality claim for empirical likelihood in Kitamura (2001) to hold, additional assumptions and qualifications are required. Under stronger assumptions than those in Kitamura (2001), we establish the following optimality result: (i) empirical likelihood controls the rate at which the probability of a Type I error tends to zero and (ii) among all procedures for which the probability of a Type I error tends to zero at least as fast, empirical likelihood maximizes the rate at which the probability of a Type II error tends to zero for most alternatives. This result further implies that empirical likelihood maximizes the rate at which the probability of a Type II error tends to zero for all alternatives among a class of tests that satisfy a weaker criterion for their Type I error probabilities.     

Interconnections among Homelessness,Family Separation,and Mental Health: Implications for Multi-Sectoral Social Services

This qualitative study explored the interconnections among the phenomena of homelessness, family separation, and mental health and substance abuse issues within the social services, geographic, and infrastructure context of northern Ontario. In-depth semi-structured interviews were conducted with thirteen participants. Findings revealed the effects of colonization in the form of poor and overcrowded housing conditions in the northern First Nations, difficulties in obtaining affordable and suitable housing in northern towns and cities, reliance on the scarce social services for survival, and valiant attempts to cope with the cold climate of northern Ontario. All participants reported multiple and intergenerational experiences of separation from family due to involvement of child welfare system, placement in residential schools, death of family member(s), flooding, and epidemics. Participants described their lifelong struggles with mental health and substance abuse issues. All three phenomena were tied together in various configurations of causes and consequences. The implications include the need for critical examination of the historical policies and practices, early intervention for mental health and substance abuse issues, greater support for youth transitioning out of care, creation of a continuum of housing options, collaboration across multiple social services sectors, and incorporation of Indigenous worldview and practices in the mainstream services.     

Investigating the effects of physical and cognitive demands on the quality of performance under different pacing levels

The study was undertaken to investigate the effects of pacing on aspects of performance at an assembly task and on the operators' responses related to work behaviour, perceived workload and perceived stress. A particular objective of the study was to investigate whether physical and cognitive demands may interact in their influences on these effects. An assembly task was simulated in the laboratory and the level of pacing imposed, work height and memory load within the task were all varied. The results showed that the type of pacing commonly imposed (as is common with a lean manufacturing Takt time system in industry) can significantly affect both performance and perceived workload and stress. Physical demands (through work height affecting posture) and mental demand (through memory load) were also found to have significant effects, as would be expected from the many studies of these in the literature. More importantly, some interactions were found between pacing and work height in their effects on quality of assembly and the operator's own rating of performance, and between work height and memory load in their effects on errors. These findings will need to be taken into account by companies when implementing Takt time systems.     

Inference for the Identified Set in Partially Identified Econometric Models

This paper provides computationally intensive, yet feasible methods for inference in a very general class of partially identified econometric models. Let P denote the distribution of the observed data. The class of models we consider is defined by a population objective function Q(θ, P) for θ∈Θ. The point of departure from the classical extremum estimation framework is that it is not assumed that Q(θ, P) has a unique minimizer in the parameter space Θ. The goal may be either to draw inferences about some unknown point in the set of minimizers of the population objective function or to draw inferences about the set of minimizers itself. In this paper, the object of interest is Θ₀(P)=argmin_θ∈ΘQ(θ, P), and so we seek random sets that contain this set with at least some prespecified probability asymptotically. We also consider situations where the object of interest is the image of Θ₀(P) under a known function. Random sets that satisfy the desired coverage property are constructed under weak assumptions. Conditions are provided under which the confidence regions are asymptotically valid not only pointwise in P, but also uniformly in P. We illustrate the use of our methods with an empirical study of the impact of top‐coding outcomes on inferences about the parameters of a linear regression. Finally, a modest simulation study sheds some light on the finite‐sample behavior of our procedure.     

Modified two‐sided normal tolerance intervals for batch acceptance of dose uniformity

We consider modified tolerance intervals for assessing content (dose) uniformity from one‐ and two‐stage designs. This work was motivated by a proposal from the International Pharmaceutical Aerosol Consortium on Regulation and Science (IPAC‐RS) to modify tolerance intervals to reduce their known conservatism away from the centre of the acceptance interval. IPAC‐RS's original proposal suffers from anti‐conservatism, but we find this is due to the choice of constants, not the form of the acceptance rule. We propose an alternative basis for choosing the constants in the acceptance rules and compare attained levels to those of other choices, including revised constants proposed by IPAC‐RS. These alternate choices of the constants lead to modified tolerance intervals that are either conservative at the sample sizes for which they were chosen or may have slight anti‐conservatism, within the limits of the simulations. Copyright © 2004 John Wiley & Sons, Ltd.     

Recreation Demand Choices and Revealed Values of Leisure Time

An approach to jointly estimating an endogenous marginal value of time function and a recreation budget share equation is developed. The specification requirements for the marginal value of time function, to ensure consistency with the maintained hypothesis of two binding constraints on choice, are articulated. The estimating model consistent with these requirements that nests several conventional treatments of the marginal value of time is highly significant. The general endogenous marginal value of time model outperforms other approaches and shows a more complex relationship between the marginal value of time and the individual's wage than has been used in previous work. (JEL J22 , Q26 )