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Comparison of methods in the analysis of dependent ordered catagorical data
Högberg, Hans; Svensson, Elisabeth - 2008
are used. A nonparametric method for ranking and analyzing paired ordered categorical data is also used. We show that a …
Persistent link: https://www.econbiz.de/10012654337
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Academic ranking scales in economics : prediction and imputation
Zharova, Alona; Mihoci, Andrija; Härdle, Wolfgang - 2016
quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and … ranking systems are competing, allow for different disciplinary gravity and sometimes give orthogonal results. Here a … Scholar (GS) systems is presented. Quantile regression allows us to successfully predict missing ranking data and to obtain a …
Persistent link: https://www.econbiz.de/10011459002
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Ranking of VaR and ES Models: Performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall - 2012
An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that … ranking and comparing the performance of VaR and ES models based on a nonparametric ANOVA test. The relative performance of …
Persistent link: https://www.econbiz.de/10010289638
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L-performance with an application to hedge funds
Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann - In: Journal of empirical finance 16 (2009) 4, pp. 671-685
Persistent link: https://www.econbiz.de/10003899210
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A simple GMM estimator for the semi-parametric mixed proportional hazard model
Bijwaard, Govert; Ridder, Geert - 2009
Ridder and Woutersen (2003) have shown that under a weak condition on the baseline hazard there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity....
Persistent link: https://www.econbiz.de/10003909941
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Approximate permutation tests and induced order statistics in the regression discontinuity design
Canay, Ivan A.; Kamat, Vishal - 2015
This paper proposes an asymptotically valid permutation test for a testable implication of the identification assumption in the regression discontinuity design (RDD). Here, by testable implication, we mean the requirement that the distribution of observed baseline covariates should not change...
Persistent link: https://www.econbiz.de/10011282791
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Measuring economic journals' citation efficiency : a data envelopment analysis approach
Halkos, George E.; Tzeremes, Nickolaos G. - 2011
uses data from four well-known databases (SSCI, Scopus, RePEc, Econlit) and two quality ranking reports (Kiel Institute … internals ranking and ABS quality ranking report) in a DEA setting and in order to derive the ranking of 229 economic journals …
Persistent link: https://www.econbiz.de/10011524871
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Academic Ranking Scales in Economics : Prediction and Imputation
Zharova, Alona - 2016
quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and … ranking systems are competing, allow for different disciplinary gravity and sometimes give orthogonal results. Here a … Scholar (GS) systems is presented. Quantile regression allows us to successfully predict missing ranking data and to obtain a …
Persistent link: https://www.econbiz.de/10012988064
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Exact Computation of Maximum Rank Correlation Estimator
Shin, Youngki; Todorov, Zvezdomir - 2021
In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construct a new constrained optimization problem by transforming all indicator functions into binary parameters to be...
Persistent link: https://www.econbiz.de/10013239720
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Ranking the Predictive Performances of Value-at-Risk Estimation Methods
Sener, Emrah - 2010
We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting … performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive …
Persistent link: https://www.econbiz.de/10013146585