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Monte Carlo experiments on bootstrap DEA

Tziogkidis, Panagiotis - 2012

Since the introduction of bootstrap DEA there is a growing literature on applications which use this method, mainly for … hypothesis testing. It is therefore important to establish the consistency and evaluate the performance of bootstrap DEA. The few … coverage probabilities are not a good tool of assessment. In our study we evaluate the performance of bootstrap DEA using the …

Persistent link: https://www.econbiz.de/10010288834

The confidence interval of the cross-sectional distribution of durations

Dixon, Huw; Tian, Maoshan - 2022

Tian and Dixon (2022) derived the variance of the estimator of cross-sectional distribution of durations (CSD). In this paper, we apply both Fieller's method and the Delta method to derive confidence interval of CSD using this variance formula. (CSD) is a new estimator derived by Dixon (2012)....

Persistent link: https://www.econbiz.de/10014480505

Resolving the public sector wage premium puzzle by indirect inference

Minford, Patrick; Wang, Yi; Zhou, Peng - 2017

This paper investigates the public sector wage premium in the UK using a microfounded eco-nomic model and indirect inference. The neoclassical wage determination model is tested and estimated without introducing any gap between the theoretical and empirical models. To test if the model is true,...

Persistent link: https://www.econbiz.de/10011787157

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …

Persistent link: https://www.econbiz.de/10010288774

Bootstrap DEA and Hypothesis Testing

Tziogkidis, Panagiotis - Economics Section, Cardiff Business School - 2012

This paper has been removed for revision

Persistent link: https://www.econbiz.de/10010678636

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, Patrick; Wickens, Michael - 2012

We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real business cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.

Persistent link: https://www.econbiz.de/10010288847

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, A. Patrick L.; Wickens, Michael R. - Economics Section, Cardiff Business School - 2012

Persistent link: https://www.econbiz.de/10010903797

Skewness and kurtosis ratio tests: With applications to multiperiod tail risk analysis

Wong, Woon K. - 2016

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their dependencies (under the IID assumption) are explicitly...

Persistent link: https://www.econbiz.de/10011787151

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

Persistent link: https://www.econbiz.de/10012876010

Vicious and Virtuous Circles - The Political Economy of Unemployment in Interwar UK and USA

Matthews, Kent Gerard; Minford, A. Patrick L.; … - Economics Section, Cardiff Business School - 2006

The 1930s in the UK and USA is remembered as the decade of mass unemployment. We develop a model of equilibrium unemployment based on the Meltzer and Richard (1981) model of redistribution financed by distortionary taxation. This model is extended to the UK and the US interwar period to provide...

Persistent link: https://www.econbiz.de/10005509756