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Inference on breakdown frontiers
Masten, Matthew A.; Poirier, Alexandre - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 41-111
Given a set of baseline assumptions, a breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value...
Persistent link: https://www.econbiz.de/10012202176
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Inference on semiparametric multinomial response models
Khan, Shakeeb; Ouyang, Fu; Tamer, Elie T. - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 743-777
We explore inference on regression coefficients in semiparametric multinomial response models. We consider cross-sectional, and both static and dynamic panel settings where we focus throughout on inference under sufficient conditions for point identification. The approach to identification uses...
Persistent link: https://www.econbiz.de/10012598502
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Maximum pseudo-likelihood estimation of copula models and moments of order statistics
Dias, Alexandra - In: Risks : open access journal 12 (2024) 1, pp. 1-26
It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...
Persistent link: https://www.econbiz.de/10014480997
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Improved inference on the rank of a matrix
Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824
This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form . The problem is of first‐order importance because the previous literature focuses on by implicitly assuming away , which...
Persistent link: https://www.econbiz.de/10012202917
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Identification and inference with ranking restrictions
Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39
We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...
Persistent link: https://www.econbiz.de/10012432770
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On the improvement of paired ranked set sampling to estimate population mean
Rehman, Syed Abdul; Shabbir, Javid - In: Statistics in transition : an international journal of … 22 (2021) 3, pp. 193-205
In ecological and environmental sampling the quantification of units is either difficult or overly demanding in terms of the time, money, workload, it requires. For this reason efficient and cost-effective sampling methods need to be devised for data collecting. The most commonly used method for...
Persistent link: https://www.econbiz.de/10012664738
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Parameter estimation of exponentiated exponential distribution under selective ranked set sampling
Hassan, Amal S.; Elshaarawy, Rasha S.; Nagy, Heba F. - In: Statistics in transition : an international journal of … 23 (2022) 4, pp. 37-58
Partial ranked set sampling (PRSS) is a cost-effective sampling method. It is a combination of simple random sample (SRS) and ranked set sampling (RSS) designs. The PRSS method allows flexibility for the experimenter in selecting the sample when it is either difficult to rank the units within...
Persistent link: https://www.econbiz.de/10014287878
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Extropy and entropy estimation based on progressive Type-I interval censoring
Qubbaj, Huda H.; Bayoud, Husam A.; Hilow, Hisham M. - In: Statistics in transition : an international journal of … 25 (2024) 3, pp. 83-102
This paper proposes nonparametric estimates for the two information measures extropy and entropy when a progressively Type-I interval censored data is available. Different nonparametric approaches are used for deriving the estimates, including: moments of the empirical cumulative distribution...
Persistent link: https://www.econbiz.de/10015127216
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a …
Persistent link: https://www.econbiz.de/10012322368
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Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia
Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …
Persistent link: https://www.econbiz.de/10013489691