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Panel stochastic frontier analysis with dependent error terms

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

In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...

Persistent link: https://www.econbiz.de/10012816131

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets

Lee, Hojin - In: East Asian Economic Review (EAER) 23 (2019) 4, pp. 333-351

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by...

Persistent link: https://www.econbiz.de/10015397881

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

Persistent link: https://www.econbiz.de/10012887711

Stationary vine copula models for multivariate time series

Nagler, Thomas; Krüger, Daniel; Min, Aleksey - In: Journal of econometrics 227 (2022) 2, pp. 305-324

Persistent link: https://www.econbiz.de/10013441987

On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests

Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...

Persistent link: https://www.econbiz.de/10004990816

A Specification Test For Nonparametric Instrumental Variable Regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Persistent link: https://www.econbiz.de/10005162958

The limiting properties of the QMLE in a general class of asymmetric volatility models

Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2008

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...

Persistent link: https://www.econbiz.de/10005198863

Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models

Parente, Paulo M. D. C.; Smith, Richard J. - 2019

This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of … model illustrates the efficacy of the kernel block bootstrap for quasi-maximum likelihood estimation. …

Persistent link: https://www.econbiz.de/10012146412

Improved Nonparametric Confidence Intervals in Time Series Regressions

Romano, Joseph P.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2006

Confidence intervals in econometric time series regressions suer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized...

Persistent link: https://www.econbiz.de/10005627884

Improved nonparametric confidence intervals in time series regressions

Romano, Joseph P.; Wolf, Michael - Department of Economics and Business, Universitat … - 2002

Condence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized...

Persistent link: https://www.econbiz.de/10005827510