Narrow search
Showing 1 - 10 of 90
Cover Image
Bootstrap DEA and hypothesis testing
Tziogkidis, Panagiotis - 2012
requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …
Persistent link: https://www.econbiz.de/10010288774
Cover Image
Monte Carlo experiments on bootstrap DEA
Tziogkidis, Panagiotis - 2012
Since the introduction of bootstrap DEA there is a growing literature on applications which use this method, mainly for … hypothesis testing. It is therefore important to establish the consistency and evaluate the performance of bootstrap DEA. The few … coverage probabilities are not a good tool of assessment. In our study we evaluate the performance of bootstrap DEA using the …
Persistent link: https://www.econbiz.de/10010288834
Cover Image
Bootstrap DEA and Hypothesis Testing
Tziogkidis, Panagiotis - Economics Section, Cardiff Business School - 2012
This paper has been removed for revision
Persistent link: https://www.econbiz.de/10010678636
Cover Image
Simulating stock returns under switching regimes: A new test of market efficiency
Meenagh, David; Minford, Patrick; Peel, David - 2006
A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.
Persistent link: https://www.econbiz.de/10010322769
Cover Image
Do real interest rates converge? Evidence from the European Union
Arghyrou, Michael G.; Gregoriou, Andros; Kontonikas, … - 2007
We test for real interest rate convergence in the EU25 area. Our contribution is twofold: first, we account for the previously overlooked effects of structural breaks on real interest rate differentials. Second, we test for convergence against the EMU average. For the majority of our sample...
Persistent link: https://www.econbiz.de/10010322794
Cover Image
The confidence interval of the cross-sectional distribution of durations
Dixon, Huw; Tian, Maoshan - 2022
Tian and Dixon (2022) derived the variance of the estimator of cross-sectional distribution of durations (CSD). In this paper, we apply both Fieller's method and the Delta method to derive confidence interval of CSD using this variance formula. (CSD) is a new estimator derived by Dixon (2012)....
Persistent link: https://www.econbiz.de/10014480505
Cover Image
The dynamics of trading duration, volume and price volatility: A vector MEM model
Xu, Yongdeng - 2013
We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure research, by allowing interdependence among the variables...
Persistent link: https://www.econbiz.de/10010397723
Cover Image
A DSGE Model of China
Dai, Li; Minford, Patrick; Zhou, Peng - 2014
We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...
Persistent link: https://www.econbiz.de/10010504443
Cover Image
How robust is the R&D-productivity relationship? Evidence from OECD countries
Luintel, Kul B.; Khan, Mosahid; Theodoridis, Konstantinos - 2010
scrutinized through extensive bootstrap simulations and sensitivity checks. R&D and human capital emerge robust in all …
Persistent link: https://www.econbiz.de/10010288754
Cover Image
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Li, Guangjie - 2009
In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....
Persistent link: https://www.econbiz.de/10010288764