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Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - 2008

of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …

Persistent link: https://www.econbiz.de/10010298775

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

Hurn, Aubrey; Jeisman, Joseph; Lindsay, Kenneth - 2007

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...

Persistent link: https://www.econbiz.de/10009483276

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

Duan, Jin-Chuan; Fulop, Andras - 2005

simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10010494319

Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?

Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560

Persistent link: https://www.econbiz.de/10010259467

Likelihood inference for discretely observed non-linear diffusions

Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000

Persistent link: https://www.econbiz.de/10009581671

Switching regression metamodels in stochastic simulation

Santos, M. Isabel Reis dos; Santos, Pedro M. Reis dos - In: European journal of operational research : EJOR 251 (2016) 1, pp. 142-147

Persistent link: https://www.econbiz.de/10011446236

Estimation of linear dynamic panel data models with time-invariant regressors : conference paper

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013

further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …

Persistent link: https://www.econbiz.de/10010342822

Estimation of linear dynamic panel data models with time-invariant regressors

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This Version: May 6, 2013

further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …

Persistent link: https://www.econbiz.de/10009775613

Fixed T dynamic panel data estimators with multifactor errors

Juodis, Artūras; Sarafidis, Vasilis - In: Econometric reviews 37 (2018) 6/10, pp. 893-929

Persistent link: https://www.econbiz.de/10012040421

Numerical modeling of dependent credit rating transitions with asynchronously moving industries

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Computational economics 49 (2017) 3, pp. 499-516

Persistent link: https://www.econbiz.de/10011762130