Panel Stochastic Dominance Test And Panel Informational Efficiency Lr Test
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| Author | : Christian de Peretti |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that the standard individual tests for Stochastic Dominance in time series are unsatisfactory in terms of power when the sample size is too small, and typically the financial derivatives have a limited life, in particular, stock options and covered warrants. This is because the pairwise SD tests are nonparametric, and nonparametric tests require large sample size, in this case, the individual tests for financial derivative time series may not distinguish between the null and the alternative hypotheses for each series, and lead to retain the null hypothesis, even if the alternative is true. Hence the PDD test would improve the power of individual SD tests: a panel test gathers all the information of all the series, and then increases the power compared to its corresponding individual test. This paper also extends the classical likelihood ratio (LR) information efficiency test to a panel framework to get more powerful new tests. A bootstrap methodology is developed to correct the size distortion of the LR test.
| Author | : |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
| Author | : Subal C. Kumbhakar |
| Publisher | : Cambridge University Press |
| Total Pages | : 375 |
| Release | : 2015-01-26 |
| Genre | : Business & Economics |
| ISBN | : 1316194493 |
A Practitioner's Guide to Stochastic Frontier Analysis Using Stata provides practitioners in academia and industry with a step-by-step guide on how to conduct efficiency analysis using the stochastic frontier approach. The authors explain in detail how to estimate production, cost, and profit efficiency and introduce the basic theory of each model in an accessible way, using empirical examples that demonstrate the interpretation and application of models. This book also provides computer code, allowing users to apply the models in their own work, and incorporates the most recent stochastic frontier models developed in academic literature. Such recent developments include models of heteroscedasticity and exogenous determinants of inefficiency, scaling models, panel models with time-varying inefficiency, growth models, and panel models that separate firm effects and persistent and transient inefficiency. Immensely helpful to applied researchers, this book bridges the chasm between theory and practice, expanding the range of applications in which production frontier analysis may be implemented.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Subhash C. Ray |
| Publisher | : Springer Nature |
| Total Pages | : 1797 |
| Release | : 2022-06-02 |
| Genre | : Business & Economics |
| ISBN | : 9811034559 |
This three-volume handbook includes state-of-the-art surveys in different areas of neoclassical production economics. Volumes 1 and 2 cover theoretical and methodological issues only. Volume 3 includes surveys of empirical applications in different areas like manufacturing, agriculture, banking, energy and environment, and so forth.
| Author | : Alexander Chudik |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 376 |
| Release | : 2022-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1802620656 |
The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
| Author | : A. Colin Cameron |
| Publisher | : Cambridge University Press |
| Total Pages | : 1058 |
| Release | : 2005-05-09 |
| Genre | : Business & Economics |
| ISBN | : 1139444867 |
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
| Author | : Subal C. Kumbhakar |
| Publisher | : Cambridge University Press |
| Total Pages | : 348 |
| Release | : 2003-03-10 |
| Genre | : Business & Economics |
| ISBN | : 1107717302 |
Modern textbook presentations of production economics typically treat producers as successful optimizers. Conventional econometric practice has generally followed this paradigm, and least squares based regression techniques have been used to estimate production, cost, profit and other functions. In such a framework deviations from maximum output, from minimum cost and cost minimizing input demands, and from maximum profit and profit maximizing output supplies and input demands, are attributed exclusively to random statistical noise. However casual empiricism and the business press both make persuasive cases for the argument that, although producers may indeed attempt to optimize, they do not always succeed. This book develops econometric techniques for the estimation of production, cost and profit frontiers, and for the estimation of the technical and economic efficiency with which producers approach these frontiers. Since these frontiers envelop rather than intersect the data, and since the authors continue to maintain the traditional econometric belief in the presence of external forces contributing to random statistical noise, the work is titled Stochastic Frontier Analysis.
| Author | : |
| Publisher | : |
| Total Pages | : 1936 |
| Release | : 1990 |
| Genre | : Agriculture |
| ISBN | : |
| Author | : William H. Greene |
| Publisher | : Springer |
| Total Pages | : 339 |
| Release | : 2018-02-02 |
| Genre | : Business & Economics |
| ISBN | : 331968678X |
The volume highlights the state-of-the-art knowledge (including data analysis) of productivity, inequality and efficiency analysis. It showcases a selection of the best papers from the 9th North American Productivity Workshop. These papers are relevant to academia, but also to public and private sectors in terms of the challenges that firms, financial institutions, governments, and individuals may face when dealing with economic and education related activities that lead to increase or decrease of productivity. The volume also aims to bring together ideas from different parts of the world about the challenges those local economies and institutions may face when changes in productivity are observed. These contributions focus on theoretical and empirical research in areas including productivity, production theory and efficiency measurement in economics, management science, operation research, public administration, and education. The North American Productivity Workshop (NAPW) brings together academic scholars and practitioners in the field of productivity and efficiency analysis from all over the world, and this proceedings volume is a reflection of this mission. The papers in this volume also address general topics as education, health, energy, finance, agriculture, transport, utilities, and economic development, among others. The editors are comprised of the 2016 local organizers, program committee members, and celebrated guest conference speakers.
