We show that in a purely nonstationary Vector Autoregression (VAR), the biases of Maximum Likelihood and Least Squares Estimators are asymptotically proportional to the dimension of the system, even when the equations and regressors are generated independantly of each other. When some stable...

In previous studies, measures of technical inefficiency derived from stochastic production frontiers have been estimated from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly heteroscedastic stochastic cost frontier suggested...

Little attention has been given to the effects of functional form mis-specification on the estimation of stochastic frontier models and to the possibility of using backpropagation neural netwok as a flexible functional form to approximate the production or cost functions. This paper has two main...

Mikhail (1972a) found that estimated 2SLS biases, obtained through simulation using antithetic variables and control variate methods, were closer to each other than to Nagar's bias approximation to order T-1. As remarked by Kiviet and Phillips (1996), this result represents one of a very small...

This paper investigates whether there is any relationship between farm size, technical efficiency and the use of agrichemicals which are potentially environmentally contaminating. These questions are pertinent in the context of current EU policy decions. Using two models of stochastic frontier...

This paper examines the consequences of housing rationing on the consumption behaviour of Chinese urban households in Jiangsu province during the years 1992-1993.

The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for...

This paper uses Monte Carlo experimentation to investigate the finite sample properties of the maximum likelihood (ML) estimators of the half-normal stochastic frontier production functions in the presence of heteroscedasticity. It is found that when heteroscedasticity exists correcting for it...

Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest,...

In time series containing an autoregressive unit root, almost all known statistics can be described in terms of two Wiener functionals. It is therefore crucial for us to know how these functionals are jointly distributed in terms of explicit formulae that can be manipulated analytically, that do...