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  • C15  (8)
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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 307-319 
    ISSN: 1435-8921
    Keywords: C13 ; C15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary The application of the Box-Cox transformation to the dependent and independent variables is discussed. Maximum likelihood and iterative GLS estimators are used and bootstrapping is carried out to compare the bootstrap sample variability with the finite sample variability (RMSE) and improve RMSE estimation. The biases of parameter estimators were shown to be substantial in small samples. The standard errors obtained from the Hessian matrix were a poor measure of the finite sample variability. Thet-ratios of the linear parameter estimators may not be normally distributed in small samples.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 381-392 
    ISSN: 1435-8921
    Keywords: C12 ; C15 ; C25
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper shows that the LM test for the validity of the logistic distribution commonly assumed in Binary Dependent Variable Models (i.e., the logit model) developed by Poirier (1980) can be obtained from a simple artificial regression. Monte Carlo simulations examine the small sample behaviour of the test statistic in comparison to the Information Matrix test for the logit model developed by Orme (1988) and Davidson and MacKinnon (1989), and two versions of the Reset test for limited dependent variable models suggested by Pagan and Vella (1989). Our results suggest that the LM test compares favourably under the null. The tests also appear to have varying power properties against different alternatives which suggests that they should all be used in investigating the validity of the logit model.
    Type of Medium: Electronic Resource
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  • 3
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 18 (1993), S. 761-776 
    ISSN: 1435-8921
    Keywords: C32 ; C15 ; E17
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Seasonal cointegration generalizes the idea of cointegration to processes with unit roots at frequencies different from 0. Here, “common seasonals,” also a dual notion of common trends, is adopted for the seasonal case. The features are demonstrated in exemplary models for German and U.K. data. An evaluation of the predictive value of accounting for seasonal cointegration shows that seasonal cointegration may be difficult to exploit to improve predictive accuracy even in cases where seasonal non-cointegration is clearly rejected on statistical grounds. The findings from the real-world examples are corroborated by Monte Carlo simulation.
    Type of Medium: Electronic Resource
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  • 4
    ISSN: 1435-8921
    Keywords: C15 ; C21
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A new approach for modeling under-reported Poisson counts is developed. The parameters of the model are estimated by Markov Chain Monte Carlo simulation. An application to workers absenteeism data from the German Socio-Economic Panel illustrates the fruitfulness of the approach. Worker absenteeism and the level of pay are unrelated, but absence rates increase with firm size.
    Type of Medium: Electronic Resource
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  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 22 (1997), S. 431-460 
    ISSN: 1435-8921
    Keywords: Labor supply ; Monte Carlo simulation ; C15 ; J22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In the area of labor supply and taxes advanced microeconometric methods have been developed in order to measure wage and income elasticities. Large variations in estimated elasticities have previously been reported in the literature. The purpose of the present study is to assess the sources for these discrepancies, and propose a robust estimator. According to our findings the commonly used maximum-likelihood estimator is sensitive to measurement errors in those variables that are needed in order to construct the individuals' budget sets. An iterative least squares estimator is preferred in small samples under several forms of specification and measurement errors.
    Type of Medium: Electronic Resource
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  • 6
    ISSN: 1435-8921
    Keywords: C14 ; D24 ; C15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates the performance of a bootstrapping enhanced DEA to measure the relative structural efficiency of unbalanced subsamples. Although this issue plays an important role in applied DEA, it is often ignored, resulting in misleading conclusions concerning relative efficiency. It is shown, that a reasampling approach to DEA can cope with this problem and also allows the use of pooled samples. The distribution of a statistic to test the hypotheses of equal structural efficiency is derived from Monte Carlo simulations and compared with the corresponding statistic calculated from standard DEA results. While the resampling variant of DEA justifies the use of the normal approximation, this is not the case for standard DEA.
    Type of Medium: Electronic Resource
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  • 7
    ISSN: 1435-8921
    Keywords: Substitution and expansion effects ; Nonparametric measurement ; Directional cosine ; C14 ; C15 ; D24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A simple framework is developed for measuring input substitution and output expansion effects. These measures are nonparametric in the sense that specification and/or estimation of any parametric functions are not resquired. Monte Carlo experiments performed in the paper demonstrate the superiority of the proposed approach. An empirical application to Japanese manufacturing data yields results which satisfy a priori expectations.
    Type of Medium: Electronic Resource
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  • 8
    ISSN: 1435-8921
    Keywords: C13 ; C15 ; C22 ; C51
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We examine the finite-sample behavior of estimators of the order of integration in a fractionally integrated time-series model. In particular, we compare exact time-domain likelihood estimation to frequency-domain approximate likelihood estimation. We show that over-differencing is of critical importance for time-domain maximum-likelihood estimation in finite samples. Overdifferencing moves the differencing parameter (in the over-differenced model) away from the boundary of the parameter space, while at the same time obviating the need to estimate the drift parameter. The two estimators that we compare are asymptotically equivalent. In small samples, however, the time-domain estimator has smaller mean squared error than the frequency-domain estimator. Although the frequency-domain estimator has larger bias than the time-domain estimator for some regions of the parameter bias, it can also have smaller bias. We use a simulation procedure which exploits the approximate linearity of the bias function to reduce the bias in the time-domain estimator.
    Type of Medium: Electronic Resource
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