Search Results - subject:"Monte‐Carlo simulation"

EVALUATION OF A TAXI SECTOR REFORM: A REAL OPTIONS APPROACH

Llobet, Gerard; Albertí, Meritxell; León, Ángel - Centro de Estudios Monetarios y Financieros (CEMFI) - 2003

This paper applies the real options methodology to estimate the impact of the restructuring measures in the taxi sector in Barcelona in 1995. These measures included among other things the establishment of a fixed price for the license as a way to reduce the uncertainty on the future performance...

Persistent link: https://www.econbiz.de/10005168667

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...

Persistent link: https://www.econbiz.de/10005263898

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10005263948

Testing constancy of the error covariance matrix in vector models

Eklund, Bruno; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2003

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...

Persistent link: https://www.econbiz.de/10005190819

A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators

Min, Insik; Sheu, Sheng jang; Wang, Zijun - In: Annals of Economics and Finance 4 (2003) 1, pp. 125-136

This paper compares recently developed semiparametric estimators of Type-3 Tobit model using Monte Carlo simulations. In particular, we examine the finite sample performance of the recently proposed method by Li and Wooldridge and compare it to some alternative semiparametric estimators....

Persistent link: https://www.econbiz.de/10009144540

PRESENCE OF STOCHASTIC ERRORS IN THE INPUT DEMANDS: ARE DUAL AND PRIMAL ESTIMATIONS EQUIVALENT?

Bittencourt, Maurício Vaz Lobo - Agricultural and Applied Economics Association - AAEA - 2003

created through Monte Carlo simulation and used to estimate econometrically the primal and dual functions associated to the …

Persistent link: https://www.econbiz.de/10005330695

Difficulties Detecting Fraud? The Use of Benford’s Law on Regression Tables

Bauer, Johannes; Groß, Jochen - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 5-6, pp. 733-748

Summary The occurrence of scientific fraud damages the credibility of science. An instrument to discover deceit was proposed with Benford’s law, a distribution which describes the probability of significant digits in many empirical observations. If Benford-distributed digits are expected and...

Persistent link: https://www.econbiz.de/10014609370

Risk management models for supply chain: a scenario analysis of outsourcing to China

Olson, David L.; Wu, Desheng - In: Supply Chain Management: An International Journal 16 (2011) 6, pp. 401-408

demonstrate the use of DEA, followed by a DEA simulation model and also a Monte Carlo simulation using a risk‐adjusted cost …

Persistent link: https://www.econbiz.de/10015008673

Retesting the CCAPM Euler equations

Azar, Samih - In: International Journal of Managerial Finance 7 (2011) 4, pp. 324-346

Purpose – This paper seeks to reconsider the Euler equation of the Consumption Capital Asset Pricing Model (CCAPM), to derive a regression‐based model to test it, and to present evidence that the model is consistent with reasonable values for the coefficient of relative risk aversion (CRRA)....

Persistent link: https://www.econbiz.de/10014785337

Simulation‐based excess return model for real estate development : A practical Monte Carlo simulation‐based method for quantitative risk management and project valuation for real e...

Gimpelevich, David - In: Journal of Property Investment & Finance 29 (2011) 2, pp. 115-144

is based on Monte Carlo simulation combined with DCF analysis. The methodology presented here will have value for real … simulation‐based excess return model (SERM) is an original methodology developed based on an application of Monte Carlo … simulation to project risk assessment combined with the widely practiced DCF modeling. A case study is provided where results of …

Persistent link: https://www.econbiz.de/10014898290