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On the impact of serial dependence on penalized regression methods

Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022

This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized … cross-correlations caused by serial dependence. In this respect, we study analytically the density of sample cross …

Persistent link: https://www.econbiz.de/10013432937

Permutation tests on returns to scale and common production frontiers in nonparametric models

Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

Persistent link: https://www.econbiz.de/10013346916

Panel stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: International Econometric Review (IER) 13 (2021) 2, pp. 24-40

). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and … balanced panel case, several models describing the evolution of the inefficiency over time and the dependence between the two … error terms. The inefficiency and noise terms being dependent, a copula function which reflects the dependence between them …

Persistent link: https://www.econbiz.de/10014518980

The wrong skewness problem in stochastic frontier models: A new approach

Manner, Hans; Hafner, Christian; Simar, Leopold - 2015

skewness, whereas a negative one is expected under the model, which leads to estimated full efficiencies of all firms. We … stochastic frontier model allows the sample data to have the wrong skewness while estimating well-defined and non … bias than those of the classical model even if the population skewness has the correct sign. Finally, we apply the model to …

Persistent link: https://www.econbiz.de/10011301408

Econometric Estimation of the "Constant Elasticity of Substitution" Function in R: Package micEconCES

Henningsen, Arne; Henningsen, Géraldine - 2011

The Constant Elasticity of Substitution (CES) function is popular in several areas of economics, but it is rarely used in econometric analysis because it cannot be estimated by standard linear regression techniques. We discuss several existing approaches and propose a new grid-search approach...

Persistent link: https://www.econbiz.de/10012100970

Estimating the Impact of Alternative Multiple Imputation Methods on Longitudinal Wealth Data

Grabka, Markus; Westermeier, Christian - 2014

Statistical Analysis in surveys is often facing missing data. As case-wise deletion and single imputation prove to have undesired properties, multiple imputation remains as a measure to handle this problem. In a longitudinal study, where for some missing values past or future data points might...

Persistent link: https://www.econbiz.de/10010396687

Closed form solution of correlation in doubly truncated or censored sample of bivariate log-normal distribution

Vilmunen, Jouko; Palmroos, Peter - 2013

In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, where the underlying log-normal distribution is potentially truncated and censored at both tails. Throughout the analysis we further assume that the...

Persistent link: https://www.econbiz.de/10012148188

Beyond Inequality: A Novel Measure of Skewness and its Properties

Kraemer, Walter; Dette, Holger - 2016

distributions can be viewed as an abstract measure of skewness. We develop some of its properties and apply it to the US …

Persistent link: https://www.econbiz.de/10011522472

Productive efficiency analysis of quantitative economics journals through stochastic frontier analysis using panel data

Gavilan Ruiz, José Manuel; Ortega Irizo, Francisco Javier - In: Revista de Métodos Cuantitativos para la Economía y … 30 (2020), pp. 297-311

The main goal of a scientific journal is to diffuse new knowledge. The number of citations received by a journal can be considered as a measure of this objective and, in turn, as a measure of productivity in relation to the production process in which the journals are involved. In order to...

Persistent link: https://www.econbiz.de/10014494407

Testing productivity change, frontier shift, and efficiency change

Asmild, Mette; Kronborg, Dorte; Rønn-Nielsen, Anders - 2018

Inference about productivity change over time based on data envelopment (DEA) has focused primarily on the Malmquist index and is based on asymptotic properties of the index. In this paper we propose a novel set of significance tests for DEA based productivity change measures based on...

Persistent link: https://www.econbiz.de/10012101069