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Confidence Statements for Efficiency Estimates from Stochastic Frontier Models

Horrace, William C.; Schmidt, Peter - EconWPA - 2002

This paper is an empirical study of the uncertainty associated with estimates from stochastic frontier models. We show how to construct confidence intervals for estimates of technical efficiency levels under different sets of assumptions ranging from the very strong to the relatively weak. We...

Persistent link: https://www.econbiz.de/10005062533

Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Nelson, Charles R.; Startz, Richard; Zivot, Eric - EconWPA - 1996

We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals perform poorly in that the probability they reject the null is far greater than their nominal size. In the worst case, Wald-based confidence intervals...

Persistent link: https://www.econbiz.de/10005407967

A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model

Sen, Liew Khim; Baharumshah, Ahmad Zubaidi; Chong, Choo Wei - EconWPA - 2003

Smooth Transition Autoregressive (STAR) model has been employed in a number of current studies dealing with non-linearities. The usefulness of this model has been documented in these studies. However, the population statistical properties of the parameters in this model remain unknown. This...

Persistent link: https://www.econbiz.de/10005408278

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Wang, Jiahui; Zivot, Eric - EconWPA - 1996

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Persistent link: https://www.econbiz.de/10005556384

Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model

Okunev, Pavel - EconWPA - 2005

We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model …

Persistent link: https://www.econbiz.de/10005126114

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Los, Cornelis A. - EconWPA - 2004

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an … insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and …

Persistent link: https://www.econbiz.de/10005413041

Stochastics for the worst case: distributions and risk measures for minimal returns

Mihai, Mihnea-Stefan - EconWPA - 2003

at Risk and coherent risk measures, as suggested by Artzner et al. (1997). …

Persistent link: https://www.econbiz.de/10005561067

The Changing Concept of Financial Risk

LOS, CORNELIS A. - EconWPA - 2004

financial risk based on asset classes only is ready for a epistemological change. Currently, the definition of financial risk … suffers from three major deficiencies: (1) financial risk is insufficiently measured by the conventional second - order … moments; (2) financial risk is assumed to be stable and all distribution moments are assumed to be time-invariant; and (3 …

Persistent link: https://www.econbiz.de/10005077030

Gains and losses: the same or different choices? A “non-ideal” economics approach.

Harin, Alexander - EconWPA - 2005

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

Persistent link: https://www.econbiz.de/10005124942

Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events

Harin, Alexander - EconWPA - 2004

The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.

Persistent link: https://www.econbiz.de/10005124993