The purpose of this study is to evaluate the performance of microfinance institutions in The MENA region over the period 2006-2009. Following Simar and Wilson (1998, 2000) we use a DEA-Bootstrapping methodology to drift appropriate measures of DEA efficiency scores. The estimated results show...

Based on a disaggregate cross-country analysis, we investigate the performance of 10 public Swiss universities and 77 public German universities from 2001-2007. During this period the universities in both countries have faced two major reforms aimed at improving efficiency and productivity in...

This paper studies the asymptotic validity of sieve bootstrap for nonstationary panel factor series. Two main results are shown. Firstly, a bootstrap Invariance Principle is derived pointwise in i, obtaining an upper bound for the order of truncation of the AR polynomial that depends on n and T....

The main contribution of this paper is to propose and theoretically justify bootstrap methods for regressions where some of the regressors are factors estimated from a large panel of data. We derive our results under the assumption that √T/N→c, where 0≤c<∞ (N and T are the cross-sectional and the time series dimensions, respectively), thus allowing for the possibility that factors estimation error enters the limiting distribution of the OLS estimator. We consider general residual-based bootstrap methods and provide a set of high level conditions on the bootstrap residuals and on the idiosyncratic errors such that the bootstrap distribution of the OLS estimator is consistent. We subsequently verify these conditions for a simple wild bootstrap residual-based procedure.Our main results can be summarized as follows. When c=0, as in Bai and Ng (2006), the crucial condition for bootstrap validity is the ability of the bootstrap regression scores to mimic the serial dependence of the original regression scores. Mimicking the cross sectional and/or serial dependence of the idiosyncratic errors in the panel factor model is asymptotically irrelevant in this case since the limiting distribution of the original OLS estimator does not depend on these dependencies. Instead, when c>0, a two-step residual-based...</∞>

In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean...

We present a simple procedure to construct credit curves by bootstrapping a hazard rate curve from observed CDS spreads. The hazard rate is assumed constant between subsequent CDS maturities. In order to link survival probabilities to market spreads, we use the JP Morgan model, a common market...

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish condi- tions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the...

This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...

This paper employs Data Envelopment Analysis (DEA) and bootstrap simulation to investigate the influence of some key financial ratios on technical efficiency performance of banks operating in Gulf Cooperation Council (GCC) countries. Our results indicate that the fall in technical efficiency of...