Showing 1 - 10 of 29
Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to...
Persistent link: https://www.econbiz.de/10005119201
When production functions are estimated as frontier functions, the deviations from the frontier can be interpreted as individual inefficiency estimates. Unfortunately, it has recently been shown that efficiency differences across individuals are very often statistically insignificant. In this...
Persistent link: https://www.econbiz.de/10005758280
This paper develops a consistent bootstrap estimation procedure to obtain confidence intervals for nonparametric measures of productive efficiency. Although the methodology is illustrated in terms of technical efficiency measured by output distance functions, the technique can be easily extented...
Persistent link: https://www.econbiz.de/10005042969
Several semiparametric estimators recently developed in the econometrics literature are based on the rank correlation between the dependent and explanatory variables. Examples include the maximum rank correlation estimator (MRC) of Han [1987], the monotone rank estimator (MR) of Cavanagh and...
Persistent link: https://www.econbiz.de/10005616974
This paper presents the main improvements carried out to the macroeconometric model MZE since its creation in 2003. We have back-calculated the series over the period 1980-1995, in order to make the model more stable. To our knowledge, this paper is the first application of Kllians (1998) method...
Persistent link: https://www.econbiz.de/10009364398
Value-at-Risk (VaR) has been adopted as the cornerstone and common language of risk management by virtually all major financial institutions and regulators. However, this risk measure has failed to warn the market participants during the financial crisis. In this paper, we show this failure may...
Persistent link: https://www.econbiz.de/10011201797
This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...
Persistent link: https://www.econbiz.de/10010942993
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...
Persistent link: https://www.econbiz.de/10010427054
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...
Persistent link: https://www.econbiz.de/10010772306
The Blinder Oaxaca decomposition method for defining discrimination from the wage equations of two groups has had a wide degree of application. However, the implication of this measure can very dramatically depending on the definition of the non-discriminatory wage chosen for comparison. This...
Persistent link: https://www.econbiz.de/10005578938