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What explains the technical efficiency of banks in Tunisia? : evidence from a two-stage data envelopment analysis
Jelassi, Mohamed Mehdi; Delhoumi, Ezzeddine - In: Financial innovation : FIN 7 (2021), pp. 1-26
In this study we examine the potential determinants of technical efficiency for the Tunisian commercial banking sector over the period of 1995-2017. First, we estimate banking technical efficiency with a radial and non-radial bootstrap data envelopment analysis. For the radial technique, we use...
Persistent link: https://www.econbiz.de/10012617389
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The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
Nishiyama, Yoshihiko; Robinson, Peter M. - London School of Economics (LSE) - 2005
In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric … estimates of semiparametric index models. Approaches to bias-reduction are discussed. We also develop a higher order expansion … sample performance of the methods is investigated by means of Monte Carlo simulations from a Tobit model. …
Persistent link: https://www.econbiz.de/10010745614
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The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
Nishiyama, Yoshihiko; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2005
In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric … estimates of semiparametric index models. Approaches to bias-reduction are discussed. We also develop a higher order expansion … sample performance of the methods is investigated by means of Monte Carlo simulations from a Tobit model. …
Persistent link: https://www.econbiz.de/10005797507
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On testing equality of distributions of technical efficiency scores
Simar, Leopold; Zelenyuk, Valentin - Volkswirtschaftliche Fakultät, … - 2004
The challenge of the econometric problem in production efficiency analysis is that the very efficiency scores to be analyzed are unobserved. Recently, statistical properties have been discovered for a class of estimators popular in the literature, known as data envelopment analysis (DEA)...
Persistent link: https://www.econbiz.de/10008794662
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Testing for Stochastic Dominance Efficiency
Scaillet, Olivier; Topaloglou, Nikolas - Swiss Finance Institute - 2005
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...
Persistent link: https://www.econbiz.de/10005771790
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010
with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk ….r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is …
Persistent link: https://www.econbiz.de/10010270732
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
de Gooijer, Jan G.; Yuan, Ao - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the …
Persistent link: https://www.econbiz.de/10010325868
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk ….r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is …
Persistent link: https://www.econbiz.de/10008476278
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the …
Persistent link: https://www.econbiz.de/10008838604
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the …
Persistent link: https://www.econbiz.de/10011255547