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Specification testing of production in a stochastic frontier model

Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

Persistent link: https://www.econbiz.de/10011739112

Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk

Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10011348706

Forecasting regional labour market developments under spatial heterogeneity and spatial autocorrelation

Longhi, Simonetta; Nijkamp, Peter - 2005

Because of heterogeneity across regions, economic policy measures are increasingly targeted at the regional level. As a …

Persistent link: https://www.econbiz.de/10011343272

An econometric analysis of the mental-health effects of major events in the life of elderly individuals

Lindeboom, Maarten; Portrait, France; Berg, Gerard J. … - 2001

Major events in the life of an elderly individual, such as retirement, a significant decrease in income, death of the spouse, disability, and a move toa nursing home, may affect the mental health status of the individual. Forexample, the individual may enter a prolonged depression. We...

Persistent link: https://www.econbiz.de/10011318580

Parallelization experience with four canonical econometric models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using...

Persistent link: https://www.econbiz.de/10011441581

A multinomial and rank-ordered logit model with inter- and intraindividual heteroscedasticity

Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020

The heteroscedastic logit model is useful to describe choices of individuals when the randomness in the choice-making varies over time. For example, during surveys individuals may become fatigued and start responding more randomly to questions as the survey proceeds. Or when completing a ranking...

Persistent link: https://www.econbiz.de/10012427691

Panel data estimates of the production function and product and labor market imperfections

Dobbelaere, Sabien; Mairesse, Jacques - 2010

likely to vary even within industries, we also investigate firm-level heterogeneity in estimated mark-up and rent …-sharing parameters. To determine the degree of true heterogeneity in these parameters, we adopt the P.A. Swamy (1970) methodology … within-industry firm heterogeneity. We find that firm size, capital intensity, distance to the industry technology frontier …

Persistent link: https://www.econbiz.de/10011377461

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of...

Persistent link: https://www.econbiz.de/10011299983

The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of trade. Trade levels increase over time, and we show that this is not fully explained by the included regressors. Because the euro is only present at the end of the sample, this may...

Persistent link: https://www.econbiz.de/10011334328

Combining panel data sets with attrition and refreshment samples

Hirano, Keisuke; Imbens, Guido; Ridder, Geert; Rubin, … - 1998

With panel data important issues can be resolved that can not beaddressed with cross--sectional data. A major drawback is that paneldata suffer from more severe missing data problems. Adding a sampleconsisting of new units randomly drawn from the original populationas replacements for units who...

Persistent link: https://www.econbiz.de/10011283469