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Bias-corrected estimation in mildly explosive autoregressions
Kruse, Yves Robinson; Kaufmann, Hendrik - 2015
This paper provides a comprehensive Monte Carlo comparison of different finite-sample biascorrection methods for autoregressive processes. We consider situations where the process is either mildly explosive or has a unit root. The case of highly persistent stationary is also studied. We compare...
Persistent link: https://www.econbiz.de/10011301493
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GMM estimation of Multifractal Random Walks using an efficient algorithm for HAC covariance matrix estimation
Sattarhoff, Cristina - 2010
This paper improves the estimation procedure of the Multifractal Random Walk model by means of an optimal iterated … Generalized Method of Moments (GMM) estimator using an enhanced moments function. We report good estimation results within the … an efficient algorithm for Heteroscedasticity and Autocorrelation Consistent (HAC) covariance matrix estimation. This …
Persistent link: https://www.econbiz.de/10010270279
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Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach
Karmann, Alexander; Eichler, Stefan; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010270187
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The wrong skewness problem in stochastic frontier models: A new approach
Manner, Hans; Hafner, Christian; Simar, Leopold - 2015
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...
Persistent link: https://www.econbiz.de/10011301408
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Friendship and money, oil and water? Credit constraints and "Family and Friends" finance
Wiegand, Manuel - 2015
The use of informal finance is primarily discussed in the context of developing countries and start-up businesses. Survey data used in this study, however, shows that ``Family and Friends'' (F\&F) finance is also remarkably widespread among established firms in Germany, a highly developed...
Persistent link: https://www.econbiz.de/10011301561
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Effectiveness of Sequences of Classroom Training for Welfare Recipients: What works best in West Germany?
Dengler, Katharina - 2015
Sequences of active labour market programmes (ALMPs) may be part of an intensified activation strategy targeting hard-to-place individuals who may be long-term unemployed and who may encounter extreme difficulty in finding jobs. Such sequences are very common among welfare recipients in Germany,...
Persistent link: https://www.econbiz.de/10011301715
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Elasticities of Regional and Local Administrations Expenditures - the Portuguese case
Mourão, Paulo - 2004
This work analyzes the evolution of real public expenditures of local and regional administrations (LRA), in Portugal, in the period after the Second World War. It also aims to estimate the elasticities associated to determinants, which explain the found growth. As most relevant results, it is...
Persistent link: https://www.econbiz.de/10011318762
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How well the balance-of- payments constraint approach explains the Portuguese growth performance. Empirical evidence for the 1965-2008 period.
Antunes, Micaela; Soukiazis, Elias - 2010
-elasticity of imports, essential for the entire analysis, is obtained from the estimation of the imports function by 2SLS, assuming …
Persistent link: https://www.econbiz.de/10011332334
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Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
Yokoi, Takahisa - 2010
derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions …' estimation for example, must be applied when disturbance terms may be heteroskedastic. In this paper, we develop a new computer … program for maximum likelihood estimation and confirm the efficiency of our estimator in heteroskedastic disturbance cases …
Persistent link: https://www.econbiz.de/10011332432
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Small area estimation of labor productivity for the Italian manufacturing SME cross-classified by region, industry and size
Fabrizi, Enrico; Ferrante, Maria; Trivisano, Carlo - 2013
In this paper we propose a new small area estimation methodology aimed at the estimation of Value Added, Labor Cost and …
Persistent link: https://www.econbiz.de/10011397489