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AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION

Upadhyay, Bharat M.; Young, Douglas L. - EconWPA - 2004

Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk … inter-year financial risk than other commonly used criteria. Results revealed that speed of adoption influenced the … greater chance of transition success. Slow acreage expansion with a custom or rental drill reduces risk until a no-till yield …

Persistent link: https://www.econbiz.de/10005407764

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

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

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

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Gutierrez, Luciano - EconWPA - 2003

This paper deals with the finite sample performance of a set of unit root tests for cross correlated panels. As is well known, univariate tests are not powerful to reject the null of a unit root for the usual economic variables while panel tests, by exploiting the large number of cross-section...

Persistent link: https://www.econbiz.de/10005407993

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better...

Persistent link: https://www.econbiz.de/10005413169

Risk Analysis in Investment Appraisal

Savvides, Savvakis C. - EconWPA - 2004

as applied in the evaluation of investment projects to analyse and assess risk. The first part of the paper highlights … the importance of risk analysis in investment appraisal. The second part presents the various stages in the application of … the risk analysis process. The third part examines the interpretation of the results generated by a risk analysis …

Persistent link: https://www.econbiz.de/10005561672

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Modeling the risk process in the XploRe computing environment

Burnecki, Krzysztof; Weron, Rafal - EconWPA - 2005

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe … empirical analysis for Danish ﬁre losses for the years 1980-90 is conducted and the best fitting of the risk process to the data …

Persistent link: https://www.econbiz.de/10005124987