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SEMIPARAMETRIC ESTIMATION OF REGRESSION MODELS FOR PANEL DATA

Horowitz, Joel L.; Markatou, Marianthi - EconWPA - 1993

Linear models with error components are widely used to analyze panel data. Some applications of these models require …

Persistent link: https://www.econbiz.de/10005119172

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....

Persistent link: https://www.econbiz.de/10005407899

Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots

Silva, Ricardo Gonçalves - EconWPA - 2004

In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...

Persistent link: https://www.econbiz.de/10005407984

CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION

Fernandes, João - EconWPA - 2005

The literature on corporate credit risk modeling for privately-held firms is scarce. Although firms with unlisted equity or debt represent a significant fraction of the corporate sector worldwide, research in this area has been hampered by the unavailability of public data. This study is an...

Persistent link: https://www.econbiz.de/10005413176

A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange

Ekinci, Cumhur - EconWPA - 2003

This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility...

Persistent link: https://www.econbiz.de/10005561617

Value Creation and Profit Optimization

Winther, K. Tobias - EconWPA - 2002

The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...

Persistent link: https://www.econbiz.de/10005561773

Technical Efficiency of Australian Wool Production: Point and Confidence Interval Estimates

Fraser, Iain; Horrace, William C. - EconWPA - 2002

A balanced panel of data is used to estimate technical efficiency, employing a fixed-effects stochastic frontier …

Persistent link: https://www.econbiz.de/10005076575

Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming

Druska, Viliam; Horrace, William C. - EconWPA - 2002

We consider estimation of a panel data model where disturbances are spatially correlated in the cross … parameters may be consistently estimated. When the time dimension is small (the usual panel data case), we develop an estimator … to a panel of Indonesian rice farms where spatial correlations represent productivity shock spillovers, based on …

Persistent link: https://www.econbiz.de/10005062574

Bayesian Stochastic Frontier Analysis Using WinBUGS

Griffin, Jim; Steel, Mark - EconWPA - 2005

code for cross-sectional and panel data are presented and various ways of summarizing posterior inference are discussed …

Persistent link: https://www.econbiz.de/10005062542

A distribution dynamics approach to regional GDP convergence in reunified Germany

Falko, Juessen - EconWPA - 2005

This paper presents an empirical study of GDP per worker (and per capita) convergence across German labour market regions during 1992 to 2002 using nonparametric techniques. There is evidence for a tendency towards convergence during the observed period, i.e. regions that were less productive in...

Persistent link: https://www.econbiz.de/10005556201