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Commuters' Preferences for Fast and Reliable Travel

Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013

We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …

Persistent link: https://www.econbiz.de/10011271951

The Estimation of Item Specific Intra and Inter Country Food Purchasing Power Parities with Application to Cross Country Comparisons of Food Expenditure: India, Indonesia and Vietn...

Ray, Ranjan; Sinha, Kompal; Majumder, Amita - Department of Econometrics and Business Statistics, … - 2013

This study introduces, for the first time, the concept of item specific purchasing power parity (PPP) between countries that marks a significant departure from exercises such as the International Comparison Program (ICP). The paper proposes a methodology for the estimation of the item specific...

Persistent link: https://www.econbiz.de/10010736876

A Unified Framework for the Estimation of Intra and Inter Country Food Purchasing Power Parities with Application to Cross Country Comparisons of Food Expenditure: India, Indonesia...

Ray, Ranjan; Majumder, Amita; Sinha, Kompal - Department of Econometrics and Business Statistics, … - 2014

This paper proposes a preference based methodology, analogous to the estimation of equivalence scales in the demographic demand literature, for the estimation of the item specific intra country PPPs (i.e. spatial prices) and inter country PPPs in a unified framework using unit records of...

Persistent link: https://www.econbiz.de/10011100034

An Improved Nonparametric Unit-Root Test

Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2012

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

Persistent link: https://www.econbiz.de/10010860412

Specification Testing in Structural Nonparametric Cointegration

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is...

Persistent link: https://www.econbiz.de/10010958939

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2014

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10010958948

A K-sample Homogeneity Test based on the Quantification of the p-p Plot

Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

Persistent link: https://www.econbiz.de/10011255562

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the Journal of Economic Dynamics & Control, 34(9), 1596-1609. We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...

Persistent link: https://www.econbiz.de/10011256012

An Improved Method for Bandwidth Selection when Estimating ROC Curves

Hall, Peter; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2002

The receiver operating characteristic (ROC) curve is used to describe the performance of a diagnostic test which classifies observations into two groups. We introduce a new method for selecting bandwidths when computing kernel estimates of ROC curves. Our technique allows for interaction between...

Persistent link: https://www.econbiz.de/10005149070

A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors

Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2011

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

Persistent link: https://www.econbiz.de/10009318804

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