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Mean and Bold?
Witte, Kristof De; Dijkgraaf, Elbert - Tinbergen Instituut - 2007
See also the article 'Mean and bold: on separating merger economies from structural efficiency gains in the drinking … benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly, merger activity arose. This paper develops … a tailored nonparametric model to dissect and distinguish the effects on efficiency of these two evolutions. In …
Persistent link: https://www.econbiz.de/10011255577
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Mean and Bold?
Witte, Kristof De; Dijkgraaf, Elbert - Tinbergen Institute - 2007
association started with a voluntary benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly … efficiency of these two evolutions. In particular, we adapt Free Disposal Hull (FDH) to estimate robust and conditional non …-oriented efficiency estimates. Parametric COLS (Fourier) tests show the robustness of the model with respect to the specification and its …
Persistent link: https://www.econbiz.de/10005504883
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 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/10011255640
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Institute - 1999
efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …
Persistent link: https://www.econbiz.de/10005144576
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Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10005137378
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 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/10005450790
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011256282
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Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Instituut - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011256642
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Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Blasques, Francisco - Tinbergen Instituut - 2012
This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...
Persistent link: https://www.econbiz.de/10011257412
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Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - Tinbergen Institute - 2010
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...
Persistent link: https://www.econbiz.de/10008838616