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On uniqueness of moving average representations of heavy-tailed stationary processes
Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...
Persistent link: https://www.econbiz.de/10011107938
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Asymptotic theory for partly linear models
Gao, Jiti - Volkswirtschaftliche Fakultät, … - 1994
This paper considers a partially linear model of the form y = x beta + g(t) + e, where beta is an unknown parameter vector, g(.) is an unknown function, and e is an error term. Based on a nonparametric estimate of g(.), the parameter beta is estimated by a semiparametric weighted least squares...
Persistent link: https://www.econbiz.de/10011112439
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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Chang, Jinyuan; Chen, Song Xi; Chen, Xiaohong - Volkswirtschaftliche Fakultät, … - 2014
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The...
Persistent link: https://www.econbiz.de/10011111343
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The treatment of housing co-operatives in a house price index
Evangelista, Rui; Santos, Daniel - Volkswirtschaftliche Fakultät, … - 2012
treated in the compilation of a house price index. An empirical bootstrap study, based on advertised co-operative flats in …
Persistent link: https://www.econbiz.de/10011258955
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Dealing with small samples and dimensionality issues in data envelopment analysis
Zervopoulos, Panagiotis - Volkswirtschaftliche Fakultät, … - 2012
cannot be considered as reliable measures. The DEA Bootstrap addresses this limitation of the DEA method as it provides the … efficiency scores with stochastic properties. However, the DEA Bootstrap is still inappropriate in the presence of small samples …. In this context, we introduce a new method that draws on random data generation procedures, unlike Bootstrap which is …
Persistent link: https://www.econbiz.de/10011260496
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Analysing Productivity Changes Using the Bootstrapped Malmquist Approach: The Case of the Iranian Banking Industry
Arjomandi, Amir; Valadkhani, Abbas; Harvie, Charles - Volkswirtschaftliche Fakultät, … - 2011
an adverse impact on the efficiency level of state-owned banks. The bootstrap approach demonstrates that the majority of …
Persistent link: https://www.econbiz.de/10011260807
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Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models
Jeong, Jinook - Volkswirtschaftliche Fakultät, … - 2006
This paper utilizes the bootstrap to construct tests using the measures for goodness-of-fit for nonnested regression … models. The bootstrap enables us to compute the statistical significance of the differences in the measures and to formally … test on nonnested regression models. The bootstrap tests that this paper proposes are expected to show better finite sample …
Persistent link: https://www.econbiz.de/10005260238
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When, where and how to perform efficiency estimation
Badunenko, Oleg; Henderson, Daniel J.; Kumbhakar, Subal C. - Volkswirtschaftliche Fakultät, … - 2011
In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar andWilson (2008). We assess the finite sample performance...
Persistent link: https://www.econbiz.de/10009322640
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Stochastic simulations on the Romanian macroeconomic model
Dobrescu, Emilian; Pauna, Bianca - Volkswirtschaftliche Fakultät, … - 2007
The paper presents the methodology for attaching probability distribution or intervals of variation to point forecasts. This methodology might prove significant for countries that have suffered deep structural transformations in their not very distant past. For these models, stability is more...
Persistent link: https://www.econbiz.de/10009401315
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Airport efficiency: a DEA two stage analysis of the Italian commercial airports
Gitto, Simone; Mancuso, Paolo - Volkswirtschaftliche Fakultät, … - 2010
In this paper we use a two stage procedure, based on bias corrected DEA, to evaluate the impacts of regulatory reforms on technical efficiency of 28 Italian airports during the period 2000–2006. We employ two different DEA models: physical and monetary. The first relies on the aeronautical...
Persistent link: https://www.econbiz.de/10009360280