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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...
Persistent link: https://www.econbiz.de/10010298775
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Identification of the covariance structure of earnings using the GMM estimator
Doris, Aedín; O'Neill, Donal; Sweetman, Olive - 2010
In this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of...
Persistent link: https://www.econbiz.de/10010269863
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333
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Social capital and the labor market
2015
Persistent link: https://www.econbiz.de/10014306504
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
small depending on the shape of the copula of child and parent incomes. Second, we derive a general asymptotic theory for … asymptotic theory to other regressions involving ranks that have been used in empirical work. Finally, we apply our new inference …
Persistent link: https://www.econbiz.de/10014480485
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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
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Which model for the Italian interest rates?
Gentile, Monica; Renò, Roberto - 2002
In the recent years, di usion models for interest rates became very popular. In this paper, we try to do a selection of a suitable diffusion model for the Italian interest rates. Our data set is given by the yields on three-month BOT, from 1981 to 2001, for a total of 470 observations. We...
Persistent link: https://www.econbiz.de/10010328402
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...
Persistent link: https://www.econbiz.de/10010293028