Data Envelopment Analysis (DEA) is a widely applied nonparametric method for comparative evaluation of firms’ efficiency. A deficiency of DEA is that the efficiency scores assigned to each firm are sensitive to sampling variations, particularly when small samples are used. In addition, an...

This study employs various bootstrapped Malmquist indices and efficiency scores to investigate the effects of government regulation on the performance of the Iranian banking industry over the period 2003-2008. An alternative decomposition of the Malmquist index, introduced by Simar and Wilson...

In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar andWilson (2008). We assess the finite sample performance...

The paper develops the bootstrap theory and extends the asymptotic theory of rank estimators, such as the Maximum Rank Correlation Estimator (MRC) of Han (1987), Monotone Rank Estimator (MR) of Cavanagh and Sherman (1998) or Pairwise-Difference Rank Estimators (PDR) of Abrevaya (2003). It is...

Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive- based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs....

We propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2-distance...

This paper analyzes the measurement of credit risk capital requirements under the new Basel Accord (Basel II): the Internal Rating Based approach (IRB). It focuses in the analytical formula for its calculation, since its derivation to the main assumptions behind it. We also estimate the credit...

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of...

In Portugal, as worldwide, especially in the past decades, crime has become an issue of increasing interest both for society and researchers. The global growth of criminality had several repercussions in the prison system. The most direct one was the overcrowding of prisons. This situation...

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimmed moments (GMTM) estimator introduced by Cížek (2008, 2009),and compare...