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Locationally varying production technology and productivity : the case of Norwegian farming
Kumbhakar, Subal; Zhang, Jingfang; Lien, Gudbrand - In: Econometrics : open access journal 11 (2023) 3, pp. 1-20
investment bankers to include 'realized' versions of CAPM betas in their dashboard of indicators for portfolio risk estimation …
Persistent link: https://www.econbiz.de/10014425693
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 … mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the US and China's two markets; thus …
Persistent link: https://www.econbiz.de/10011296721
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A spatial-filtering zero-inflated approach to the estimation of the gravity model of trade
Metulini, Rodolfo; Patuelli, Roberto; Griffith, Daniel A. - In: Econometrics : open access journal 6 (2018) 1, pp. 1-15
Nonlinear estimation of the gravity model with Poisson-type regression methods has become popular for modelling … estimation strategy to a cross-section of bilateral trade flows between a set of 64 countries for the year 2000, we find that our …
Persistent link: https://www.econbiz.de/10011823271
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Bayesian treatments for panel data stochastic frontier models with time varying heterogeneity
Liu, Junrong; Sickles, Robin C.; Tsionas, Efthymios G. - In: Econometrics : open access journal 5 (2017) 3, pp. 1-21
This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of...
Persistent link: https://www.econbiz.de/10011711007
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Bayesian approach to disentangling technical and environmental productivity
Malikov, Emir; Kumbhakar, Subal; Tsionas, Efthymios G. - In: Econometrics : open access journal 3 (2015) 2, pp. 443-465
the traditional (desirable-output-oriented) technical productivity and the undesirable-output-oriented environmental, or … so-called "green", productivity. To measure the latter, we derive a Solow-type Divisia environmental productivity index … which, unlike conventional productivity indices, allows crediting the ceteris paribus reduction in undesirable outputs. Our …
Persistent link: https://www.econbiz.de/10011297619
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Racial/ethnic health disparity in the U.S. : a decomposition analysis
Lahiri, Kajal; Pulungan, Zulkarnain - In: Econometrics : open access journal 9 (2021) 2, pp. 1-14
Following recent econometric developments, we use self-assessed general health on a Likert scale conditioned by several objective determinants to measure health disparity between non-Hispanic Whites and minority groups in the United States. A statistical decomposition analysis is conducted to...
Persistent link: https://www.econbiz.de/10012547444
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Semiparametric estimation of a corporate bond rating model
Jiang, Yixiao - In: Econometrics : open access journal 9 (2021) 2, pp. 1-20
This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on risk attributes through a semiparametric...
Persistent link: https://www.econbiz.de/10012547446
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Testing for a structural break in a spatial panel model
Sengupta, Aparna - In: Econometrics : open access journal 5 (2017) 1, pp. 1-17
We consider the problem of testing for a structural break in the spatial lag parameter in a panel model (spatial autoregressive). We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. The limiting distribution of the test is...
Persistent link: https://www.econbiz.de/10011654172
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Parametric and nonparametric frequentist model selection and model averaging
Ullah, Aman; Wang, Huansha - In: Econometrics : open access journal 1 (2013) 2, pp. 157-179
the context of nonparametric models. In applications, estimation and inference are often conducted under the selected …
Persistent link: https://www.econbiz.de/10010237107
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Functional-coefficient spatial Durbin models with nonparametric spatial weights : an application to economic growth
Koroglu, Mustafa; Sun, Yiguo - In: Econometrics : open access journal 4 (2016) 1, pp. 1-16
nonparametric two-stage least squares (or 2SLS) estimation method. To further improve estimation accuracy, we also construct a …
Persistent link: https://www.econbiz.de/10011504611