Data Envelopment Analysis (DEA) is a widely applied nonparametric method for comparative evaluation of firms’ efficiency. A deficiency of DEA is that the efficiency scores assigned to each firm are sensitive to sampling variations, particularly when small samples are used. In addition, an...

The purpose of the System Dynamics method is to study the relationship between structure and behavior in non-linear, dynamic systems. In such systems, the significance of various structural components to the behavior pattern exhibited, changes as the behavior unfolds. Changes in structural...

Classical univariate and multivariate time series models have problems to deal with the high variability of hourly electricity spot prices. We propose to model alternatively the daily mean electricity supply functions using a dynamic factor model. And to derive, subsequently, the hourly...

We propose a theoretical approach to bandwidth choice for continuous-time Markov processes. We do so in the context of stationary and nonstationary processes of the recurrent kind. The procedure consists of two steps. In the first step, by invoking local Gaussianity, we suggest an automated...

We investigate the size of the Durbin-Wu-Hausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap...

In many statistical problems there is the need to analyze the structure of an unknown n-dimensional array given its marginal distributions. The usual method utilized to solve the problem is linear programming, which involves a large amount of computational time when the original array is large....

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

Multiple fractional response variables have two features. Each response is between zero and one, and the sum of the responses is one. In this paper, I develop an estimation method not only accounting for these two features, but also allowing for endogeneity. It is a two step estimation method...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

This paper proposes a unifying theory of forecasting in the form of a Golden Rule of Forecasting. The Golden Rule is to be conservative. A conservative forecast is consistent with cumulative knowledge about the present and the past. To be conservative, forecasters must seek all knowledge...