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Least Absolute Deviation Estimation of Multi-Equation Linear Econometric Models : A Study Based on Monte Carlo Experiments
Mishra, Sudhanshu K.; Dasgupta, Madhuchhanda - 2003
We investigate into the simulated (Monte Carlo) performance of some LAD-based estimators vis-a-vis that of the LS-based estimators for multi-equation linear econometric models of various error specifications - such as Normal, Cauchy, Gamma, Beta1 and Beta2 - in presence of outliers different in...
Persistent link: https://www.econbiz.de/10014075064
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Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency
Belotti, Federico - 2019
that the estimation approach is consistent, showing good finite sample properties especially in small samples …
Persistent link: https://www.econbiz.de/10012869435
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Permutation tests on returns to scale and common production frontiers in nonparametric models
Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022
Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...
Persistent link: https://www.econbiz.de/10013338075
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Nonparametric Estimation of Homothetic and Homothetically Separable Functions
Lewbel, Arthur - 2008
For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x,w) = h[g(x), w], g is linearly homogeneous and h is monotonic in g. This...
Persistent link: https://www.econbiz.de/10012771018
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Unit Root and Cointegration Tests for Cross-Sectionally Correlated Panels. Estimating Regional Production Functions
Basile, Roberto; Costantini, Mauro; Destefanis, Sergio - 2006
This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to estimate the production function for Italian regions in the industrial sector over the period 1970-1998. The analysis consists in three steps. First, unit root tests for...
Persistent link: https://www.econbiz.de/10014055387
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Estimating stochastic ray production frontiers
Tsionas, Efthymios G.; Izzeldin, Marwan; Henningsen, Arne; … - 2019
In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...
Persistent link: https://www.econbiz.de/10012132673
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Coping with Unobservables in Estimating Production Functions : An Example with US Banking Data
Swamy, P.A.V.B; Von zur Mühlen, Peter; Chang, I-Lok - 2022
This paper (i) derives a number of properties of a newly specified multi-input-single-output (MISO) production function with a derived error term, and (ii) using iteratively rescaled generalized least squares, presents estimates of the cross-sectionally varying coefficients of a...
Persistent link: https://www.econbiz.de/10013404424
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Estimation and Efficiency Evaluation of Stochastic Frontier Models with Interval Dependent Variables
Hwu, Shih-Tang - 2020
This paper considers the maximum likelihood estimation of a stochastic frontier production function with an interval …
Persistent link: https://www.econbiz.de/10012855080
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David - 2009
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …
Persistent link: https://www.econbiz.de/10013156202
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Consistent Estimation of the 'True' Fixed-Effects Stochastic Frontier Model
Belotti, Federico; Ilardi, Giuseppe - 2014
two alternative estimation procedures that, by relying on a first diff erence data transformation, achieve consistency for …
Persistent link: https://www.econbiz.de/10014170301