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Many estimation methods of truncated and censored regression models such as the maximum likelihood and symmetrically censored least squares (SCLS) are sensitive to outliers and data contamination as we document. Therefore, we propose a semiparametric general trimmed estimator (GTE) of truncated...
Persistent link: https://www.econbiz.de/10011052333
The paper is concerned with several kinds of stochastic frontier models whose likelihood function is not available in closed form. First, with output-oriented stochastic frontier models whose one-sided errors have a distribution other than the standard ones (exponential or half-normal). The...
Persistent link: https://www.econbiz.de/10010664702
We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures,...
Persistent link: https://www.econbiz.de/10011052286
Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while...
Persistent link: https://www.econbiz.de/10010709438
Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...
Persistent link: https://www.econbiz.de/10010703139
In production theory and efficiency analysis, we estimate the production frontier, the locus of the maximal attainable level of an output (the production), given a set of inputs (the production factors). In other setups, we estimate rather an input (or cost) frontier, the minimal level of the...
Persistent link: https://www.econbiz.de/10011052254
We propose a panel data approach to disentangle the impact of “one treatment” from the “other treatment” when the observed outcomes are subject to both treatments. We use the Great Hanshin-Awaji earthquake that took place on January 17, 1995 to illustrate our methodology. We find that...
Persistent link: https://www.econbiz.de/10011209284
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...
Persistent link: https://www.econbiz.de/10011190729
A common exercise in empirical studies is a “robustness check”, where the researcher examines how certain “core” regression coefficient estimates behave when the regression specification is modified by adding or removing regressors. If the coefficients are plausible and robust, this is...
Persistent link: https://www.econbiz.de/10011052317
We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by stratified sampling and the maintained assumption is that the aggregate shares are known.
Persistent link: https://www.econbiz.de/10010574067