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Heteroskedasticity in one-way error component probit models

Moussa, Richard Kouamé - In: Econometrics 7 (2019) 3, pp. 1-22

This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …

Persistent link: https://www.econbiz.de/10012696250

Genetic algorithms: a tool for optimization in econometrics - basic concept and an example for empirical applications

Doherr, Thorsten; Czarnitzki, Dirk - 2002

This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a difficult econometric problem, the...

Persistent link: https://www.econbiz.de/10010297960

Firm Characteristics, Economic Conditions and Capital Structure Adjustment

Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - 2007

We use a dynamic framework and panel methodology to investigate the determinants of a firms' time-varying capital …

Persistent link: https://www.econbiz.de/10011390623

Resource allocation procedures for unknown sales response functions with additive disturbances

Gahler, Daniel; Hruschka, Harald - In: Journal of Business Economics 92 (2021) 6, pp. 997-1034

We develop a modified exploration–exploitation algorithm which allocates a fixed resource (e.g., a fixed budget) to several units with the objective to attain maximum sales. This algorithm does not require knowledge of the form and the parameters of sales response functions and is able to cope...

Persistent link: https://www.econbiz.de/10014501880

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-43

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Persistent link: https://www.econbiz.de/10012611398

Support vector machines with evolutionary feature selection for default prediction

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi; Hafner, Christian - 2012

and probit models as benchmark On overall, GA-SVM is outperforms compared to the benchmark models in both training and …

Persistent link: https://www.econbiz.de/10010318756

Multi-dimensional transitional dynamics: a simple numberical procedure

Trimborn, Timo; Koch, Karl-Josef; Steger, Thomas M. - 2006

We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including stiff differential equations and systems giving rise...

Persistent link: https://www.econbiz.de/10010263935

Taking a shower in Youth Hostels: risks and delights of heterogeneity

Matzke, Christina; Challet, Damien - 2008

Tuning one's shower in some hotels may turn into a challenging coordination game with imperfect information. The temperature sensitivity increases with the number of agents, making the problem possibly unlearnable. Because there is in practice a finite number of possible tap positions, identical...

Persistent link: https://www.econbiz.de/10010264912

Modeling institutions, start-ups and productivity during transition

Brixiova, Zuzana; Égert, Balázs - 2010

The transition paths from plan to market have varied markedly across countries. Central and Eastern European and the Baltic countries, which opted for a fast and profound transformation of their institutions including business climates, rapidly narrowed the productivity gap with advanced...

Persistent link: https://www.econbiz.de/10010273819

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John G. M. - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10010276719