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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …
Persistent link: https://www.econbiz.de/10010187855
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Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?
Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023
Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …
Persistent link: https://www.econbiz.de/10014322772
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A likelihood ratio test for stationarity of rating transitions
Weissbach, Rafael; Walter, Ronja - 2008
; Panel data …
Persistent link: https://www.econbiz.de/10003837749
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011305389
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012405456
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The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus …
Persistent link: https://www.econbiz.de/10011538958
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Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...
Persistent link: https://www.econbiz.de/10011350133
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A K-sample homogeneity test based on the quantification of the p-p plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011377121
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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