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Dealing with small samples and dimensionality issues in data envelopment analysis

Zervopoulos, Panagiotis - Volkswirtschaftliche Fakultät, … - 2012

, particularly when small samples are used. In addition, an upward bias is present due to dimensionality issues when the sample size …

Persistent link: https://www.econbiz.de/10011260496

Sampling Variation, Monotone Instrumental Variables and the Bootstrap Bias Correction

Qian, Hang - Volkswirtschaftliche Fakultät, … - 2011

This paper discusses the finite sample bias of analogue bounds under the monotone instrumental variables assumption. By … analyzing the bias function, we first propose a conservative estimator which is biased downwards (upwards) when the analogue … estimator is biased upwards (downwards). Using the bias function, we then show the mechanism of the parametric bootstrap …

Persistent link: https://www.econbiz.de/10009203636

Performance evaluation using bootstrapping DEA techniques: Evidence from industry ratio analysis

Halkos, George; Tzeremes, Nickolaos - Volkswirtschaftliche Fakultät, … - 2010

In Data Envelopment Analysis (DEA) context financial data/ ratios have been used in order to produce a unified measure of performance metric. However, several scholars have indicated that the inclusion of financial ratios create biased efficiency estimates with implications on firms’ and...

Persistent link: https://www.econbiz.de/10008645117

Improved tests for spatial correlation

Robinson, Peter M.; Rossi, Francesca - Volkswirtschaftliche Fakultät, … - 2012

We consider testing the null hypothesis of no spatial autocorrelation against the alternative of first order spatial autoregression. A Wald test statistic has good first order asymptotic properties, but these may not be relevant in small or moderate-sized samples, especially as (depending on...

Persistent link: https://www.econbiz.de/10011107432

The drivers of downside equity tail risk

Moore, Kyle; Sun, Pengei; Vries, Casper G. de; Zhou, Chen - Volkswirtschaftliche Fakultät, … - 2013

We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...

Persistent link: https://www.econbiz.de/10011109466

Effects of gender on credit card usage among university students in Turkey.

Çankaya, Serkan; Ucal, Meltem; O'Neil, Mary - Volkswirtschaftliche Fakultät, … - 2011

In recent years, much has been written about credit card usage among university students. Despite a vast number of studies, little has been written about credit card usage among university students in developing countries. This research surveyed university students in Turkey in an attempt to...

Persistent link: https://www.econbiz.de/10011110412

Identifying observed factors in approximate factor models: estimation and hypothesis testing

Chen, Liang - Volkswirtschaftliche Fakultät, … - 2012

Despite their popularities in recent years, factor models have long been criticized for the lack of identification. Even when a large number of variables are available, the factors can only be consistently estimated up to a rotation. In this paper, we try to identify the underlying factors by...

Persistent link: https://www.econbiz.de/10011111251

Transmission of Government Default Risk in the Eurozone

Kohonen, Anssi - Volkswirtschaftliche Fakultät, … - 2012

The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....

Persistent link: https://www.econbiz.de/10011111566

A New Asymmetric GARCH Model: Testing, Estimation and Application

Hatemi-J, Abdulnasser - Volkswirtschaftliche Fakultät, … - 2013

Since the seminal work by Engle (1982), the autoregressive conditional heteroscedasticity (ARCH) model has been an important tool for estimating the time-varying volatility as a measure of risk. Numerous extensions of this model have been put forward in the literature. The current paper offers...

Persistent link: https://www.econbiz.de/10011112499

On detection of volatility spillovers in simultaneously open stock markets

Kohonen, Anssi - Volkswirtschaftliche Fakultät, … - 2012

Empirical research confirms the existence of volatility spillovers across national stock markets. However, the models in use are mostly statistical ones. Much less is known about the actual transmission mechanisms; theoretical literature is scarce, and so is empirical work trying to estimate...

Persistent link: https://www.econbiz.de/10011114147