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Jakob Klette, Tor; Raknerud, Arvid - Økonomisk institutt, Universitetet i Oslo - 2003

, permanent differences in efficiency dominate over di.erences generated by firm-specific, cumulated innovations. …

Persistent link: https://www.econbiz.de/10005771248

Cointegration in a Periodic Vector Autoregression.

Franses, Ph.H.B.F.; Kleibergen, F.R. - Econometrisch Instituut, Faculteit der Economische … - 1999

We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration)...

Persistent link: https://www.econbiz.de/10005775829

Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - School of Economics and Management, University of Aarhus - 2009

We consider the dynamic factor model and show how smoothness restrictions can be imposed on the factor loadings. Cubic spline functions are used to introduce smoothness in factor loadings. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this...

Persistent link: https://www.econbiz.de/10004998863

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

Persistent link: https://www.econbiz.de/10005063629

Application of the ML Hausman approach to the demand of water for residential use: heterogeneity vs two-error specification

Strazzera, E. - Centro Ricerche Nord Sud (CRENoS) - 2006

This paper presents an application of two ML models to the analysis of residential demand of water - the heterogeneity … and the two-error model, both apt to model demand in presence of a kinked budget constraint. The heterogeneity model is … heterogeneity model allows to obtain more efficient estimates than the two-error model for the parameter of principal interest, i …

Persistent link: https://www.econbiz.de/10005049478

Application of the European Customer Satisfaction Index to Postal Services. Structural Equation Models versus Partial Least Squares

O'Loughlin, Christina; Coenders, Germà - Departament d'Economia, Facultat de Ciències … - 2002

Customer satisfaction and retention are key issues for organizations in today’s competitive market place. As such, much research and revenue has been invested in developing accurate ways of assessing consumer satisfaction at both the macro (national) and micro (organizational) level,...

Persistent link: https://www.econbiz.de/10005051018

The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance

Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2007

Generalized Pareto (GP) distributions. First, we assess the relative efficiency between the the MLqE and the MLE for various …

Persistent link: https://www.econbiz.de/10005636185

MCMC Specifics of Latent Variable Models

Robert, C.P. - 1998

We derive from analyses of several specific latent variable models an overall review of these models, under the unifying theme of their strong connections with simulation-based methods like SEm and the Gibbs sampler. We stress that the connection goes both ways, namely that these models were...

Persistent link: https://www.econbiz.de/10005641023

Discretized Time and Conditional Duration Modelling for Stock Transaction Data

Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003

The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....

Persistent link: https://www.econbiz.de/10005651936

STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION

Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006

This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...

Persistent link: https://www.econbiz.de/10005651956