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A permutation test and estimation alternatives for the Regression Kink design
Ganong, Peter; Jäger, Simon - 2014
The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using RK in the last 5 years since the initial circulation of Card, Lee, Pei and Weber (2012). We document empirically that these estimates, which typically use local linear...
Persistent link: https://www.econbiz.de/10010379273
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Exact tests on returns to scale and comparisons of production frontiers in nonparametric models
Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2019
When benchmarking production units by non-parametric methods like data envelopment analysis (DEA), an assumption has to be made about the returns to scale of the underlying technology. Moreover, it is often also relevant to compare the frontiers across samples of producers. Until now, no exact...
Persistent link: https://www.econbiz.de/10012132662
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Comment on: "Testing hypotheses in nonparametric models of production" by Kneip, Simar, and Wilson (2016, JBES)
Asmild, Mette; Henningsen, Arne; Kronborg, Dorte; … - 2019
Persistent link: https://www.econbiz.de/10012132679
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Statistical decision functions with judgment
Manganelli, Simone - 2021
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...
Persistent link: https://www.econbiz.de/10012418852
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Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions
Wagner, Martin - 2023
We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems … estimation coincide - for any regular weighting matrix - without restrictions on the parameters and with the same regressors in …
Persistent link: https://www.econbiz.de/10013479635
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Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity
Abramova, Ekaterina; Bunn, Derek W. - 2019
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...
Persistent link: https://www.econbiz.de/10014107616
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Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic
Kleibergen, Frank - 2002
We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...
Persistent link: https://www.econbiz.de/10011326948
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Strongly consistent determination of the rank of matrix
Ratsimalahelo, Zaka - 2003 - This version: June 21, 2003
In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We...
Persistent link: https://www.econbiz.de/10011513001
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …
Persistent link: https://www.econbiz.de/10003817215