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Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...
Persistent link: https://www.econbiz.de/10010288774
Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....
Persistent link: https://www.econbiz.de/10010288792
Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....
Persistent link: https://www.econbiz.de/10005036278
This paper has been removed for revision
Persistent link: https://www.econbiz.de/10010678636
In this short article we explain how to test an economic model using Indirect Inference. We then go on to show how you can use this test to estimate the model.
Persistent link: https://www.econbiz.de/10010397717
Let e and Σ be respectively the vector of shocks and its variance covariance matrix in a linear system of equations in reduced form. This article shows that a unique orthogonal variance decomposition can be obtained if we impose a restriction that maximizes the trace of A, a positive definite...
Persistent link: https://www.econbiz.de/10010288763
In this short article we explain how to test an economic model using Indirect Inference. We then go on to show how you can use this test to estimate the model.
Persistent link: https://www.econbiz.de/10010903802
Let e and Σ be respectively the vector of shocks and its variance covariance matrix in a linear system of equations in reduced form. This article shows that a unique orthogonal variance decomposition can be obtained if we impose a restriction that maximizes the trace of A, a positive definite...
Persistent link: https://www.econbiz.de/10005162732
We revisit the "puzzle" in open economy studies that evidence of international risk-sharing is hardly seen despite the completeness of the financial market. We reassess both risk-pooling via state-contingent bonds, and uncovered interest parity - both were believed to be different, and...
Persistent link: https://www.econbiz.de/10014480373
It has been an "empirical consensus" that data from developed economies generally do not support the hypothesis of international risk-sharing, either in the form of full risk-pooling via state-contingent assets or in the form of uncovered interest parity enforced by trading non-contingent...
Persistent link: https://www.econbiz.de/10014480413