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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …
Persistent link: https://www.econbiz.de/10010298775
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Panel estimation of state dependent adjustment when the target is unobserved
von Kalckreuth, Ulf - 2008
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...
Persistent link: https://www.econbiz.de/10010295881
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Stochastic Dominance: Convexity and Some Efficiency Tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10010325820
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Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme
Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005
and a stochastic simulation model of enterprise development. The results show that the method used is superior to …
Persistent link: https://www.econbiz.de/10010269950
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Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - 2009
multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10010335297
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Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - 2005
simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10010494319
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Scenario sampling for large supermodular games
Graham, Bryan S.; Pelican, Andrin - 2023
This paper introduces a simulation algorithm for evaluating the log-likelihood function of a large supermodular binary … sampling algorithm which allows for accurate likelihood simulation with modest numbers of simulation draws. …
Persistent link: https://www.econbiz.de/10014480510
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Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …
Persistent link: https://www.econbiz.de/10010500222
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DEA problems under geometrical or probability uncertainties of sample data
Althaler, Karl S.; Slavova, Tatjana - 2000
This paper discusses the theoretical and practical aspects of new methods for solving DEA problems under real-life geometrical uncertainty and probability uncertainty of sample data. The proposed minimax approach to solve problems with geometrical uncertainty of sample data involves an...
Persistent link: https://www.econbiz.de/10010292786
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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
Liesenfeld, Roman; Richard, Jean-François - 2004
out ML-estimation of SV models as well as simulation smoothing where the latent volatilities are sampled at once. Based on … this EIS simulation smoother a Bayesian Markov Chain Monte Carlo (MCMC) posterior analysis of the parameters of SV models …
Persistent link: https://www.econbiz.de/10010296235