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We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular,...
Persistent link: https://www.econbiz.de/10010291982
Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new...
Persistent link: https://www.econbiz.de/10010292025
In this paper we consider conditions under which the estimation of a log-linearized Euler equation for consumption yields consistent estimates of preference parameters. When utility is isoelastic and a sample covering a long time period is available, consistent estimates are obtained from the...
Persistent link: https://www.econbiz.de/10010293083
We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders' underlying valuations We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined...
Persistent link: https://www.econbiz.de/10010293455
We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is semiparametric in the sense of not requiring explicit parametric assumptions to be made concerning the distribution of these unobserved state variables We propose a two-step...
Persistent link: https://www.econbiz.de/10010293462
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10010293988
This paper studies the spatial random effects and spatial fixed effects model. The model includes a Cliff and Ord type spatial lag of the dependent variable as well as a spatially lagged one-way error component structure, accounting for both heterogeneity and spatial correlation across units. We...
Persistent link: https://www.econbiz.de/10010294030
It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...
Persistent link: https://www.econbiz.de/10010295150
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
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/10010295747