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The main goal when fitting GARCH models to conditionally heteroscedastic time series is to estimate the underlying volatilities. It is well known that outliers affect the estimation of the GARCH parameters. However, little is known about their effects when estimating volatilities. In this paper,...
Persistent link: https://www.econbiz.de/10005731210
outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive …
Persistent link: https://www.econbiz.de/10005731384
regressions, and correcting for the endogeneity of schooling decisions using a control function approach. Our proposal enables us …
Persistent link: https://www.econbiz.de/10009399782
In this paper we study how the Huber estimator can be adapted to the presence of endogeneity in a two stage equations … useful alternative to 2SLS and 2SLAD in cases of two-stage estimation to deal with endogeneity when there are concerns for … both robustness and efficiency. …
Persistent link: https://www.econbiz.de/10005515919
We present the asymptotic properties of double-stage quantile regression estimators with random regressors, where the first stage is based on quantile regressions with the same quantile as in the second stage, which ensures robustness of the estimation procedure. We derive invariance properties...
Persistent link: https://www.econbiz.de/10005212564
Many studies have examined the impact of various characteristics of the board of directors on firm value. However, little attention has been paid to the impact of female board membership on firm value, with the exception of a number of U.S. studies. The aim of this paper is to investigate this...
Persistent link: https://www.econbiz.de/10005731179
). Rather than accounting for the endogeneity of schooling through the use of instrumental variables we employ a parametric …. Accounting for endogeneity increases the estimate of the return to education by 5 percentage points, from 7.6% to 12.7%. …
Persistent link: https://www.econbiz.de/10005731251
exploit the feature of the transmissionmechanism responsible for its endogeneity. More explicitly, we assume …
Persistent link: https://www.econbiz.de/10005731418
The aim of this study is to analyse the efficiency of companies forming collective brands in the experience goods … sector. The central hypothesis is that collective brands have a positive impact on the efficiency of their member companies … itself. The methodology applied to test these hypotheses is based on Data Envelopment Analysis (DEA) to estimate efficiency …
Persistent link: https://www.econbiz.de/10010615141
In this work a non parametric approach is used in order to evaluate the relative efficiency of a sample of firms …
Persistent link: https://www.econbiz.de/10008602600