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Identifiability of the Stochastic Frontier Models
Bandyopadhyay, Debdas; Das, Arabinda - Volkswirtschaftliche Fakultät, … - 2007
This paper examines the identifiability of the standard single-equation stochastic frontier models with uncorrelated and correlated error components giving, inter alia, mathematical content to the notion of “near-identifiability” of a statistical model. It is seen that these models are at...
Persistent link: https://www.econbiz.de/10005621989
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - Volkswirtschaftliche Fakultät, … - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10005015592
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On the Use of Formative Measurement Specifications in Structural Equation Modeling: A Monte Carlo Simulation Study to Compare Covariance-Based and Partial Least Squares Model Estim...
Ringle, Christian M.; Götz, Oliver; Wetzels, Martin; … - Volkswirtschaftliche Fakultät, … - 2009
The broader goal of this paper is to provide social researchers with some analytical guidelines when investigating structural equation models (SEM) with predominantly a formative specification. This research is the first to investigate the robustness and precision of parameter estimates of a...
Persistent link: https://www.econbiz.de/10004992028
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Selection of weak VARMA models by modified Akaike's information criteria
Boubacar Mainassara, Yacouba - Volkswirtschaftliche Fakultät, … - 2010
This article considers the problem of order selection of the vector autoregressive moving-average models and of the sub-class of the vector autoregressive models under the assumption that the errors are uncorrelated but not necessarily independent. We propose a modified version of the AIC...
Persistent link: https://www.econbiz.de/10008685162
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Towards Understanding the Normalization in Structural VAR Models
Kociecki, Andrzej - Volkswirtschaftliche Fakultät, … - 2013
integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the …
Persistent link: https://www.econbiz.de/10011260080
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Bayesian Approach and Identification
Kociecki, Andrzej - Volkswirtschaftliche Fakultät, … - 2013
The paper aims at systematic placement of identification concept within Bayesian approach. Pointing to some … deficiencies of the standard Bayesian language to describe identification problem we propose several useful characterizations that … them. Moreover we introduce the concepts of uniform, marginal and faithful identification. We argue that all these concepts …
Persistent link: https://www.econbiz.de/10011112950
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Estimation of Inefficiency using a Firm-specific Frontier Model
Das, Arabinda - Volkswirtschaftliche Fakultät, … - 2013
It has been argued that the deterministic frontier approach in inefficiency measurement has a major limitation as inefficiency is mixed with measurement error (statistical noise) in this approach. The result is that inefficiency is contaminated with noise. Later stochastic frontier approach...
Persistent link: https://www.econbiz.de/10011114275
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Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...
Persistent link: https://www.econbiz.de/10011107278
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Maximum Likelihood Estimator for Spatial Stochastic Frontier Models
Pavlyuk, Dmitry - Volkswirtschaftliche Fakultät, … - 2012
This research is devoted to analysis of efficiency estimation in presence of spatial relationships and spatial heterogeneity in data. We presented a general specification of the spatial stochastic frontier model, which includes spatial lags, spatial autoregressive disturbances and spatial...
Persistent link: https://www.econbiz.de/10011114293
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Regional Tourism Competition in the Baltic States: a Spatial Stochastic Frontier Approach
Pavlyuk, Dmitry - Volkswirtschaftliche Fakultät, … - 2010
This paper aimed at a statistical analysis of competition for tourists between regions within Baltic states (Estonia, Latvia, Lithuania) and estimation relative efficiency levels of regions. We apply a modern approach called Spatial Stochastic Frontier and corresponded to spatial modification of...
Persistent link: https://www.econbiz.de/10008642666