Similar Search Results

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cho, Jin Seo; Phillips, Peter C. B. - 2016

We provide a methodology for testing a polynomial model hypothesis by extending the approach and results of Baek, Cho, and Phillips (2015; Journal of Econometrics; BCP) that tests for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We examine and...

Persistent link: https://www.econbiz.de/10014123918

Closed Form Solution of Correlation in Doubly Truncated or Censored Sample of Bivariate Log-Normal Distribution

Vilmunen, Jouko - 2013

In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, when the underlying log-normal distribution is potentially truncated or censored at both tails. The closed form solution that we derive also covers the...

Persistent link: https://www.econbiz.de/10013075564

Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Junker, Markus; Szimayer, Alexander; Wagner, Niklas - EconWPA - 2004

This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out … specifies the yield curve dynamics. We then apply a broad class of copula functions for modeling dependence in factors spanning … the yield curve. Our sample of monthly yields in the 1982 to 2001 period provides evidence of upper tail dependence in …

Persistent link: https://www.econbiz.de/10005556362

Confidence Statements for Efficiency Estimates from Stochastic Frontier Models

Horrace, William C.; Schmidt, Peter - EconWPA - 2002

This paper is an empirical study of the uncertainty associated with estimates from stochastic frontier models. We show how to construct confidence intervals for estimates of technical efficiency levels under different sets of assumptions ranging from the very strong to the relatively weak. We...

Persistent link: https://www.econbiz.de/10005062533

Estimating fixed-effect panel stochastic frontier models by model transformation

Wang, Hung-Jen; Ho, Chia-Wen - Volkswirtschaftliche Fakultät, … - 2009

Traditional panel stochastic frontier models do not distinguish between unobserved individual heterogeneity and inefficiency. They thus force all time-invariant individual heterogeneity into the estimated inefficiency. Greene (2005) proposes a true fixed-effect stochastic frontier model which,...

Persistent link: https://www.econbiz.de/10009025300

Stochastic frontier models

Wang, Hung-Jen - Volkswirtschaftliche Fakultät, … - 2006

The stochastic frontier model was first proposed in the context of production function estimation to account for the effect of technical inefficiency. The inefficiency causes actual output to fall below the potential level (that is, the production frontier) and also raises production cost above...

Persistent link: https://www.econbiz.de/10009025317

Beyond Inequality: A Novel Measure of Skewness and its Properties

Kraemer, Walter; Dette, Holger - 2016

distributions can be viewed as an abstract measure of skewness. We develop some of its properties and apply it to the US …

Persistent link: https://www.econbiz.de/10011522472

Temporal changes in the parameters of statistical distribution of journal impact factor

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2010

distribution of log10(JIF) exhibits conspicuous skewness and non-mesokurticity. In this paper we estimate the parameters of Johnson …

Persistent link: https://www.econbiz.de/10008562615

Empirical probability distribution of journal impact factor and over-the-samples stability in its estimated parameters

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2010

The data on JIFs provided by Thomson Scientific can only be considered as a sample since they do not cover the entire universe of those documents that cite an intellectual output (paper, article, etc) or are cited by others. Then, questions arise if the empirical distribution (best fit to the...

Persistent link: https://www.econbiz.de/10008619187

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Energy Economics 46 (2014) C, pp. 422-434

energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay …

Persistent link: https://www.econbiz.de/10011115893