Showing 1 - 10 of 111
We propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2-distance...
Persistent link: https://www.econbiz.de/10005835714
The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an instrumental variable framework using Monte Carlo analysis. Promising results were found for the two bootstrap estimators suggested in the paper.
Persistent link: https://www.econbiz.de/10005398697
Data Envelopment Analysis (DEA) is a widely applied nonparametric method for comparative evaluation of firms’ efficiency. A deficiency of DEA is that the efficiency scores assigned to each firm are sensitive to sampling variations, particularly when small samples are used. In addition, an...
Persistent link: https://www.econbiz.de/10011260496
This study employs various bootstrapped Malmquist indices and efficiency scores to investigate the effects of government regulation on the performance of the Iranian banking industry over the period 2003-2008. An alternative decomposition of the Malmquist index, introduced by Simar and Wilson...
Persistent link: https://www.econbiz.de/10011260807
We consider testing the significance of a subset of covariates in a nonparamet- ric regression. These covariates can be continuous and/or discrete. We propose a new kernel-based test that smoothes only over the covariates appearing under the null hypothesis, so that the curse of dimensionality...
Persistent link: https://www.econbiz.de/10011262943
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unied framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...
Persistent link: https://www.econbiz.de/10011265501
AMS classifications: 62G08, 62G10, 62G20, 62G30; 60F17.
Persistent link: https://www.econbiz.de/10011091096
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...
Persistent link: https://www.econbiz.de/10011094570
This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context...
Persistent link: https://www.econbiz.de/10011188929
We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the...
Persistent link: https://www.econbiz.de/10010730130