Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions

In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for possibly non-linear hypotheses on the coefficients of MLR and SURE systems.

Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard geometric Brownian motion while the transitory component is a stationary Ornstein-Uhlenbeck process. The discrete time representation of the beta depends on the sampling interval and two components labelled \"permanent and transitory betas\". We show that if no transitory component is present in stock prices, then no sampling interval effect occurs. However, the presence of a transitory component implies that the beta is an increasing (decreasing) function of the sampling interval for more (less) risky assets. In our framework, assets are labelled risky if their \"permanent beta\" is greater than their \"transitory beta\" and vice versa for less risky assets. Simulations show that our theoretical results provide good approximations for the means and standard deviations of estimated betas in small samples. Our results can be perceived as indirect evidence for the presence of a transitory component in stock prices, as proposed by Fama and French (1988) and Poterba and Summers (1988).

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways: first, by allowing for MC tests based on exchangeable possibly discrete test statistics; second, by generalizing the method to statistics whose null distributions involve nuisance parameters (maximized MC tests, MMC). Simplified asymptotically justified versions of the MMC method are also proposed and it is shown that they provide a simple way of improving standard asymptotics and dealing with nonstandard asymptotics (e.g., unit root asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general validity properties of the latter).

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rationalexpectations assumption, and a modification to the latter which consists in using survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behavior, and (ii) the frequency of price adjustments. Overall, we find that there is some support for the hybrid NKPC for the U.S., whereas the model is not suited to Canada. Our findings underscore the need for employing identificationrobust inference methods in the estimation of expectations-based dynamic macroeconomic relations.

Parametric and Nonparametric Approaches to Price and Tax Reform.

In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax-induced price changes affect quantities supplied and demanded. in this paper, we present various econometric procedures for estimating how taxes affect demand.

Habitat variability and the individual variability of juvenile Atlantic salmon (Salmo salar)

La variabilité spatiale et temporelle de l’écoulement en rivière contribue à créer une mosaïque d’habitat dynamique qui soutient la diversité écologique. Une des questions fondamentales en écohydraulique est de déterminer quelles sont les échelles spatiales et temporelles de variation de l’habitat les plus importantes pour les organismes à divers stades de vie. L’objectif général de la thèse consiste à examiner les liens entre la variabilité de l’habitat et le comportement du saumon Atlantique juvénile. Plus spécifiquement, trois thèmes sont abordés : la turbulence en tant que variable d’habitat du poisson, les échelles spatiales et temporelles de sélection de l’habitat et la variabilité individuelle du comportement du poisson. À l’aide de données empiriques détaillées et d’analyses statistiques variées, nos objectifs étaient de 1) quantifier les liens causaux entre les variables d’habitat du poisson « usuelles » et les propriétés turbulentes à échelles multiples; 2) tester l’utilisation d’un chenal portatif pour analyser l’effet des propriétés turbulentes sur les probabilités de capture de proie et du comportement alimentaire des saumons juvéniles; 3) analyser les échelles spatiales et temporelles de sélection de l’habitat dans un tronçon l’été et l’automne; 4) examiner la variation individuelle saisonnière et journalière des patrons d’activité, d’utilisation de l’habitat et de leur interaction; 5) investiguer la variation individuelle du comportement spatial en relation aux fluctuations environnementales. La thèse procure une caractérisation détaillée de la turbulence dans les mouilles et les seuils et montre que la capacité des variables d’habitat du poisson usuelles à expliquer les propriétés turbulentes est relativement basse, surtout dans les petites échelles, mais varie de façon importante entre les unités morphologiques. D’un point de vue pratique, ce niveau de complexité suggère que la turbulence devrait être considérée comme une variable écologique distincte. Dans une deuxième expérience, en utilisant un chenal portatif in situ, nous n’avons pas confirmé de façon concluante, ni écarté l’effet de la turbulence sur la probabilité de capture des proies, mais avons observé une sélection préférentielle de localisations où la turbulence était relativement faible. La sélection d’habitats de faible turbulence a aussi été observée en conditions naturelles dans une étude basée sur des observations pour laquelle 66 poissons ont été marqués à l’aide de transpondeurs passifs et suivis pendant trois mois dans un tronçon de rivière à l’aide d’un réseau d’antennes enfouies dans le lit. La sélection de l’habitat était dépendante de l’échelle d’observation. Les poissons étaient associés aux profondeurs modérées à micro-échelle, mais aussi à des profondeurs plus élevées à l’échelle des patchs. De plus, l’étendue d’habitats utilisés a augmenté de façon asymptotique avec l’échelle temporelle. L’échelle d’une heure a été considérée comme optimale pour décrire l’habitat utilisé dans une journée et l’échelle de trois jours pour décrire l’habitat utilisé dans un mois. Le suivi individuel a révélé une forte variabilité inter-individuelle des patrons d’activité, certains individus étant principalement nocturnes alors que d’autres ont fréquemment changé de patrons d’activité. Les changements de patrons d’activité étaient liés aux variables environnementales, mais aussi à l’utilisation de l’habitat des individus, ce qui pourrait signifier que l’utilisation d’habitats suboptimaux engendre la nécessité d’augmenter l’activité diurne, quand l’apport alimentaire et le risque de prédation sont plus élevés. La variabilité inter-individuelle élevée a aussi été observée dans le comportement spatial. La plupart des poissons ont présenté une faible mobilité la plupart des jours, mais ont occasionnellement effectué des mouvements de forte amplitude. En fait, la variabilité inter-individuelle a compté pour seulement 12-17% de la variabilité totale de la mobilité des poissons. Ces résultats questionnent la prémisse que la population soit composée de fractions d’individus sédentaires et mobiles. La variation individuelle journalière suggère que la mobilité est une réponse à des changements des conditions plutôt qu’à un trait de comportement individuel.

Characteristics of Upper Troposphere and Lower Stratosphere in Relation to Asian Summer Monsoon

The present work is an attempt to understand the characteristics of the upper troposphere and lower stratosphere over the Asian summer monsoon region, more specifically over the Indian subcontinent. Mainly three important parameters are taken such as zonal wind, temperature and ozone over the UT/LS of the Asian summer monsoon region. It made a detailed study of its interannual variability and characteristics of theses parameters during the Indian summer monsoon period. Monthly values of zonal wind and temperature from the NCEP/NCAR reanalysis for the period 1960-2002 are used for the present study. Also the daily overpass total ozone data for the 12 Indian stations (from low latitude to high latitudes) from the TOMS Nimbus 7 satellite for the period 1979 to 1992 were also used to understand the total ozone variation over the Indian region. The study reveals that if QBO phases in the stratosphere is easterly or weak westerly then the respective monsoon is found to be DRY or below Normal . On the other hand, if the phase is westerly or weak easterly the respective Indian summer monsoon is noted as a WET year. This connection of stratospheric QBO phases and Indian summer monsoon gives more insight in to the long-term predictions of Indian summer monsoon rainfall. Wavelet analysis and EOF methods are the two advanced statistical techniques used in the present study to explore more information of the zonal wind that from the smaller scale to higher scale variability over the Asian summer monsoon region. The interannual variability of temperature for different stratospheric and tropospheric levels over the Asian summer monsoon region have been studied. An attempt has been made to understand the total ozone characteristics and its interannual variablilty over 12 Indian stations spread from south latitudes to north latitudes. Finally it found that the upper troposphere and lower stratosphere contribute significantly to monsoon variability and climate changes. It is also observed that there exists a link between the stratospheric QBO and Indian summer monsoon

Re-engineering and Re-defining University Libraries in the context of modern Information and Communication Technologies: a study with special reference to the University Libraries in Kerala

Information and communication technologies are the tools that underpin the emerging “Knowledge Society”. Exchange of information or knowledge between people and through networks of people has always taken place. But the ICT has radically changed the magnitude of this exchange, and thus factors such as timeliness of information and information dissemination patterns have become more important than ever.Since information and knowledge are so vital for the all round human development, libraries and institutions that manage these resources are indeed invaluable. So, the Library and Information Centres have a key role in the acquisition, processing, preservation and dissemination of information and knowledge. ln the modern context, library is providing service based on different types of documents such as manuscripts, printed, digital, etc. At the same time, acquisition, access, process, service etc. of these resources have become complicated now than ever before. The lCT made instrumental to extend libraries beyond the physical walls of a building and providing assistance in navigating and analyzing tremendous amounts of knowledge with a variety of digital tools. Thus, modern libraries are increasingly being re-defined as places to get unrestricted access to information in many formats and from many sources.The research was conducted in the university libraries in Kerala State, India. lt was identified that even though the information resources are flooding world over and several technologies have emerged to manage the situation for providing effective services to its clientele, most of the university libraries in Kerala were unable to exploit these technologies at maximum level. Though the libraries have automated many of their functions, wide gap prevails between the possible services and provided services. There are many good examples world over in the application of lCTs in libraries for the maximization of services and many such libraries have adopted the principles of reengineering and re-defining as a management strategy. Hence this study was targeted to look into how effectively adopted the modern lCTs in our libraries for maximizing the efficiency of operations and services and whether the principles of re-engineering and- redefining can be applied towards this.Data‘ was collected from library users, viz; student as well as faculty users; library ,professionals and university librarians, using structured questionnaires. This has been .supplemented by-observation of working of the libraries, discussions and interviews with the different types of users and staff, review of literature, etc. Personal observation of the organization set up, management practices, functions, facilities, resources, utilization of information resources and facilities by the users, etc. of the university libraries in Kerala have been made. Statistical techniques like percentage, mean, weighted mean, standard deviation, correlation, trend analysis, etc. have been used to analyse data.All the libraries could exploit only a very few possibilities of modern lCTs and hence they could not achieve effective Universal Bibliographic Control and desired efficiency and effectiveness in services. Because of this, the users as well as professionals are dissatisfied. Functional effectiveness in acquisition, access and process of information resources in various formats, development and maintenance of OPAC and WebOPAC, digital document delivery to remote users, Web based clearing of library counter services and resources, development of full-text databases, digital libraries and institutional repositories, consortia based operations for e-journals and databases, user education and information literacy, professional development with stress on lCTs, network administration and website maintenance, marketing of information, etc. are major areas need special attention to improve the situation. Finance, knowledge level on ICTs among library staff, professional dynamism and leadership, vision and support of the administrators and policy makers, prevailing educational set up and social environment in the state, etc. are some of the major hurdles in reaping the maximum possibilities of lCTs by the university libraries in Kerala. The principles of Business Process Re-engineering are found suitable to effectively apply to re-structure and redefine the operations and service system of the libraries. Most of the conventional departments or divisions prevailing in the university libraries were functioning as watertight compartments and their existing management system was more rigid to adopt the principles of change management. Hence, a thorough re-structuring of the divisions was indicated. Consortia based activities and pooling and sharing of information resources was advocated to meet the varied needs of the users in the main campuses and off campuses of the universities, affiliated colleges and remote stations. A uniform staff policy similar to that prevailing in CSIR, DRDO, ISRO, etc. has been proposed by the study not only in the university libraries in kerala but for the entire country.Restructuring of Lis education,integrated and Planned development of school,college,research and public library systems,etc.were also justified for reaping maximum benefits of the modern ICTs.

Studies on exopolysaccharide production by probiotic Lactic acid bacteria

The thesis mainly discussed the isolation and identification of a probiotic Lactobacillus plantarum, fermentative production of exopolysaccharide by the strain, its purification, structural characterisation and possible applications in food industry and therapeutics. The studies on the probiotic characterization explored the tolerance of the isolated LAB cultures to acid, bile, phenol, salt and mucin binding. These are some of the key factors that could satisfy the criteria for probiotic strains . The important factors required for a high EPS production in submerged fermentation was investigated with a collection of statistical and mathematical approach. Chapter 5 of the thesis explains the structural elucidation of EPS employing spectroscopic and chromatographic techniques. The studies helped in the exploration of the hetero-polysaccharide sequence from L. plantarum MTCC 9510. The thesis also explored the bioactivities of EPS from L. plantarum. As majority of chemical compounds identified as anti-cancerous are toxic to normal cells, the discovery and identification of new safe drugs has become an important goal of research in the biomedical sciences. The thesis has explored the anti-oxidant, anti-tumour and immunomodulating properties of EPS purified from Lactobacillus plantarum. The presence of (1, 3) linkages and its molecular weight presented the EPS with anti-oxidant, anti-tumour and immunomodulating properties under in vitro conditions.

A study of the information seeking bebavior of science and technology teachers and researchers of Cocbin University of Science and Technology and University of Kerala in the cbanged library environment

Information communication technology (IC T) has invariably brought about fundamental changes in the way in which libraries gather. preserve and disseminate information. The study was carried out with an aim to estimate and compare the information seeking behaviour (ISB) of the academics of two prominent universities of Kerala in the context of advancements achieved through ICT. The study was motivated by the fast changing scenario of libraries with the proliferation of many high tech products and services. The main purpose of the study was to identify the chief source of information of the academics, and also to examine academics preference upon the form and format of information source. The study also tries to estimate the adequacy of the resources and services currently provided by the libraries.The questionnaire was the central instrument for data collection. An almost census method was adopted for data collection engaging various methods and tools for eliciting data.The total population of the study was 957, out of which questionnaire was distributed to 859 academics. 646 academics responded to the survey, of which 564 of them were sound responses. Data was coded and analysed using Statistical Package for Social Sciences (SPSS) software and also with the help of Microsofl Excel package. Various statistical techniques were engaged to analyse data. A paradigm shift is evident by the fact that academies push themselves towards information in internet i.e. they prefer electronic source to traditional source and the very shift is coupled itself with e-seeking of information. The study reveals that ISB of the academics is influenced priman'ly by personal factors and comparative analysis shows that the ISB ofthc academics is similar in both universities. The productivity of the academics was tested to dig up any relation with respect to their ISB, and it is found that productivity of the academics is extensively related with their ISB. Study also reveals that the users ofthe library are satisfied with the services provided but not with the sources and in conjunction, study also recommends ways and means to improve the existing library system.

Service quality and reliability assessment of mobile communication infrastructure

The service quality of any sector has two major aspects namely technical and functional. Technical quality can be attained by maintaining technical specification as decided by the organization. Functional quality refers to the manner which service is delivered to customer which can be assessed by the customer feed backs. A field survey was conducted based on the management tool SERVQUAL, by designing 28 constructs under 7 dimensions of service quality. Stratified sampling techniques were used to get 336 valid responses and the gap scores of expectations and perceptions are analyzed using statistical techniques to identify the weakest dimension. To assess the technical aspects of availability six months live outage data of base transceiver were collected. The statistical and exploratory techniques were used to model the network performance. The failure patterns have been modeled in competing risk models and probability distribution of service outage and restorations were parameterized. Since the availability of network is a function of the reliability and maintainability of the network elements, any service provider who wishes to keep up their service level agreements on availability should be aware of the variability of these elements and its effects on interactions. The availability variations were studied by designing a discrete time event simulation model with probabilistic input parameters. The probabilistic distribution parameters arrived from live data analysis was used to design experiments to define the availability domain of the network under consideration. The availability domain can be used as a reference for planning and implementing maintenance activities. A new metric is proposed which incorporates a consistency index along with key service parameters that can be used to compare the performance of different service providers. The developed tool can be used for reliability analysis of mobile communication systems and assumes greater significance in the wake of mobile portability facility. It is also possible to have a relative measure of the effectiveness of different service providers.

Statistical modeling on (α, +∞)

Observations in daily practice are sometimes registered as positive values larger then a given threshold α. The sample space is in this case the interval (α,+∞), α > 0, which can be structured as a real Euclidean space in different ways. This fact opens the door to alternative statistical models depending not only on the assumed distribution function, but also on the metric which is considered as appropriate, i.e. the way differences are measured, and thus variability