In previous studies, measures of technical inefficiency derived from stochastic production frontiers have been estimated from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly heteroscedastic stochastic cost frontier suggested...

Little attention has been given to the effects of functional form mis-specification on the estimation of stochastic frontier models and to the possibility of using backpropagation neural netwok as a flexible functional form to approximate the production or cost functions. This paper has two main...

Mikhail (1972a) found that estimated 2SLS biases, obtained through simulation using antithetic variables and control variate methods, were closer to each other than to Nagar's bias approximation to order T-1. As remarked by Kiviet and Phillips (1996), this result represents one of a very small...

In simultaneous equation models the two stage least squares (2SLS) estimator of the coefficients, though consistent, is biased in general and the nature of this bias has given rise to a good deal of research. However, little if any attention has been given to the bias that arises when an...

This paper considers regression-based test criteria for the hypothesis of conditional variance nonstationary in the logarithmic family of GARCH processes. The tests are based on teh ARMA representations that appropriate nonlinear transformations of GARCH-type processes admit. Simulation...

The expectations hypothesis of the term structure of interest rates implies that the spread between short and long bond yields should forecast next period's change in the long yield. Regression based tests have systematically rejected the expectations hypothesis, with estimated coefficients far...

We show that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This unusual result is due to the effect of the initial sample observations that are typically neglected in theoretical asymptotoc analysis, in spite of their empirical relevance....

Testing for cointegration is now widespread in economics. Although the principle is sound, the practice has not always been so. In this note, an attempt is made to reveal flaws in some applied testing procedures. Incomplete nonstationary-null procedures make cointegration seem more likely than...

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...

We show that in a purely nonstationary Vector Autoregression (VAR), the biases of Maximum Likelihood and Least Squares Estimators are asymptotically proportional to the dimension of the system, even when the equations and regressors are generated independantly of each other. When some stable...