Stochastic frontier models are widely used to measure, e.g., technical efficiencies of firms. The classical stochastic frontier model often suffers from the empirical artefact that the residuals of the production function may have a positive skewness, whereas a negative one is expected under the...

GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering...

The introduction of the hospital reimbursement based on diagnosis related groups (DRG) in 2004 has been a conspicuous attempt to increase hospital efficiency in Germany. We analyze possible determinants of hospital performance before and after the DRG introduction. A two-stage semi-parametric...

Structural innovations are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish between particular identifying restrictions and rotations thereof. Based on a non Gaussian...

Persistent variations in the log price-to-dividend ratio (PtDR) have triggered a lively discussion in the literature. This paper proposes a present value model incorporating this persistence through a time-varying steady state of the PtDR. Log-likelihood statistics confirm that the time-varying...

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...