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Bayesian Stochastic Frontier Analysis Using WinBUGS

Griffin, Jim; Steel, Mark - EconWPA - 2005

Markov chain Monte Carlo (MCMC) methods have become a ubiquitous tool in Bayesian analysis. This paper implements MCMC methods for Bayesian analysis of stochastic frontier models using the WinBUGS package, a freely available software. General code for cross-sectional and panel data are presented...

Persistent link: https://www.econbiz.de/10005062542

Instrumental Variable Estimation for Duration Data: A Reappraisal of the Illinois Reemployment Bonus Experiment

Bijwaard, G.E. - EconWPA - 2002

We propose an Instrumental Variable method for Generalised Accelerated Failure Time (GAFT) models that adjust for possible endogeneity of the intervention of interest, without suffering the problems of the intention-to-treat method. We develop an estimatiom procedure that collapses to the linear...

Persistent link: https://www.econbiz.de/10005062568

Model Selection and Simplification Using Lattices

Antoch, Jaromir; Hanousek, Jan - EconWPA - 2001

This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a...

Persistent link: https://www.econbiz.de/10005407880

Inferring Strategies from Observed Actions: A Nonparametric Binary Tree Classification Approach

Engle-Warnick, Jim - EconWPA - 2000

This paper introduces a nonparametric binary classification tree approach to inferring unobserved strategies from the observed actions of economic agents. The strategies are in the form of possibly nested if- then statements. We apply our approach to experimental data from the repeated ultimatum...

Persistent link: https://www.econbiz.de/10005407882

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....

Persistent link: https://www.econbiz.de/10005407899

Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power

Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004

-range choice is also given. Second, a comparison with existing results of the controlled competition of Barnett et al. (1997) as … well as broad power tests on various nonlinear and chaotic data are provided. The results of the comparison strongly favor … our robust procedure and confirm the ability of the test in finding nonlinear dependencies. An empirical comparison of the …

Persistent link: https://www.econbiz.de/10005407903

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

can be used for volatility forecasting over longer horizons. A comparison between the GARCH(1,1) volatility forecasts and …

Persistent link: https://www.econbiz.de/10005407908

A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos

Barnett, William A.; Gallant, A. Ronald; Hinich, Melvin J. - EconWPA - 1996

This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...

Persistent link: https://www.econbiz.de/10005407944

Models of Firm Dynamics and the Hazard Rate of Exits: Reconciling Theory and Evidence using Hazard Regression Models

Bhattacharjee, Arnab - EconWPA - 2005

This paper considers empirical work relating to models of firm dynamics. We show that a hazard regression model for firm exits, with a modification to accommodate age-varying covariate effects, provides an empirical framework accommodating many of the features of interest in studies on firm...

Persistent link: https://www.econbiz.de/10005407957

Semiparametric Estimation of Willingness to Pay Distributions

An, Mark Yuying - EconWPA - 1996

Persistent link: https://www.econbiz.de/10005407977