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Assessing the level of happiness across countries: A robust frontier approach
Cordero, Jose M.; Salinas-Jiménez, Javier; … - Volkswirtschaftliche Fakultät, … - 2014
nonparametric robust approach which allows us to consider a mixed set of individual and institutional variables that can affect the …
Persistent link: https://www.econbiz.de/10011109972
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Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation
Qiu, Yumou; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for...
Persistent link: https://www.econbiz.de/10011259723
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Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks
Dechert, Andreas - Volkswirtschaftliche Fakultät, … - 2012
the last decade. The aim of this paper is to study the nonparametric variance ratio approach suggested by Nielsen for the …
Persistent link: https://www.econbiz.de/10011113446
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A practical test for the choice of mixing distribution in discrete choice models
Fosgerau, Mogens; Bierlaire, Michel - Volkswirtschaftliche Fakultät, … - 2007
The choice of a specific distribution for random parameters of discrete choice models is a critical issue in transportation analysis. Indeed, various pieces of research have demonstrated that an inappropriate choice of the distribution may lead to serious bias in model forecast and in the...
Persistent link: https://www.econbiz.de/10011114386
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Does causality technique matter to savings-growth nexus in Malaysia?
Tang, Chor Foon - Volkswirtschaftliche Fakultät, … - 2009
The intention of this study was to investigate whether the causal inference between savings and economic growth in Malaysia is sensitive to the particular causality tests employed to ascertain the causal relationship. This study covered quarterly data from 1991:Q1 to 2006:Q3. The results...
Persistent link: https://www.econbiz.de/10011114503
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Real Time Changes in Monetary Policy
Chauvet, Marcelle; Tierney, Heather L. R. - Volkswirtschaftliche Fakultät, … - 2007
This paper investigates potential changes in monetary policy over the last decades using a nonparametric vector … autoregression model. In the proposed model, the conditional mean and variance are time-dependent and estimated using a nonparametric …
Persistent link: https://www.econbiz.de/10005039957
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Financial Integration of North Africa Stock Markets
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2009
This paper investigates long-term relationship that links stock prices of three major North African stock markets: Egypt, Morocco, and Tunisia . The paper shows, there is strong evidence of multivariate and bivariate nonlinear long-term relationship between stock prices of these markets....
Persistent link: https://www.econbiz.de/10004961494
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Alternative Tilts for Nonparametric Option Pricing
Walker, Todd B; Haley, M. Ryan - Volkswirtschaftliche Fakultät, … - 2009
This paper generalizes the nonparametric approach to option pricing of Stutzer (1996) by demonstrating that the … the clean analytic structure of imposing moment restrictions to price options, yet demonstrates that the nonparametric …
Persistent link: https://www.econbiz.de/10005059107
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Technology Adoption And Pest Control Strategies Among UK Cereal Farmers: Evidence from Parametric and Nonparametric Count Data Models
Sharma, Abhijit; Bailey, Alastair; Fraser, Iain - Volkswirtschaftliche Fakultät, … - 2009
determinants of technology adoption in relation to pest management. Our preferred model specification is nonparametric which makes …This paper examines technology adoption and integrated pest management strategies employed by UK farmers, using both … parametric and nonparametric methods. We employ a unique survey data set collected from UK cereal farmers to assess the …
Persistent link: https://www.econbiz.de/10005020497
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Deconvoluting preferences and errors: a model for binomial panel data
Fosgerau, Mogens; Nielsen, Søren Feodor - Volkswirtschaftliche Fakultät, … - 2007
Let U be an unobserved random variable with compact support and let e_t be unobserved i.i.d. random errors also with compact support. Observe the random variables V_t, X_t, and Y_t = 1{U +d X_t+e_t V_t}, t = T, where d is an unknown parameter. This type of model is relevant for many stated...
Persistent link: https://www.econbiz.de/10005623369