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Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics

Schmidt, Peter; Alvarez, Antonio; Amsler, Christine - Econometric Society - 2004

In this paper, we are interested in a stochastic frontier model in which observable characteristics of the firms affect their levels of technical inefficiency. Let u â‰¥ 0 be the one-sided error reflecting technical inefficiency, and let z be a set of variables that affect u. We write u as...

Persistent link: https://www.econbiz.de/10005342372

A simple and general test for white noise

Velasco, Carlos; Lobato, Ignacio N. - Econometric Society - 2004

This article considers testing that a time series is uncorrelated when it possibly exhibits some form of dependence. Contrary to the currently employed tests that require selecting arbitrary user-chosen numbers to compute the associated tests statistics, we consider a test statistic that is very...

Persistent link: https://www.econbiz.de/10005170248

Stopping Tests in the Sequential Estimation for Multiple Structural Breaks

Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004

In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....

Persistent link: https://www.econbiz.de/10005328868

Testing Distributional Assumptions: A GMM Approach

MEDDAHI, N.; BONTEMPS, C. - Econometric Society - 2004

In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and...

Persistent link: https://www.econbiz.de/10005328955

On the inadmissibility of classical tests in unit-root-type situations

Ploberger, Werner - Econometric Society - 2004

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...

Persistent link: https://www.econbiz.de/10005328960

Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity

Seo, Byeongseon - Econometric Society - 2004

The notion of cointegration was developed by Engle and Granger (1987), and since then has been considered important in … distribution theory for the cointegrating vector in the error correction model with conditional heteroskedasticity has not been … developed. This paper fills this gap in the literature by developing an asymptotic theory for the cointegrating vector estimator …

Persistent link: https://www.econbiz.de/10005328963

A Specification Test for Time Series Models by a Normality

Duan, Jin-Chuan - Econometric Society - 2004

A correctly specified time series model can be used to transform the data set to obtain an i.i.d. sequence of random variables, assuming that the true parameter values are known. In reality, however, one only has an estimated model and must therefore address the sampling error associated with...

Persistent link: https://www.econbiz.de/10005328968

Martingale Tests of Value-at-Risk

Christoffersen, Peter; Berkowitz, Jeremy - Econometric Society - 2004

We present a general framework for testing the accuracy of Value-at-Risk (VaR) forecasts. The approach is based on the observation that violations – the days on which portfolio losses exceed the VaR – should be unpredictable. Specifically, these violations form a martingale difference...

Persistent link: https://www.econbiz.de/10005328970

Small sample confidence intervals for multivariate impulse response functions at long horizons

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

presence of highly persistent processes. We do so by using alternative approximations based on local-to-unity asymptotic theory …

Persistent link: https://www.econbiz.de/10005329012

Confidence bounds for the extremum determined by a quadratic regression

Lye, Jenny; Hirschberg, Joe - Econometric Society - 2004

A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method...

Persistent link: https://www.econbiz.de/10005063624