Search
Search Results
-
Normal-beta exponential stochastic frontier model: Maximum simulated likelihood approach
This paper considers the beta exponential distribution as a distribution function of inefficacy score in a stochastic frontier model. The beta...
-
Maximum simulated likelihood estimation of the seemingly unrelated stochastic frontier regressions
In this paper, we use the maximum simulated likelihood (MSL) approach to estimate multiple stochastic frontier (SF) models with random effects and...
-
Maximum Likelihood Estimation Methods for Copula Models
For Copula models, the likelihood function could be multi-modal, and some traditional optimization algorithms such as simulated annealing (SA) may...
-
Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution
The asymmetric exponential power (AEP) distribution has received much attention in economics and finance. Simulation study shows that iterative...
-
Improved Maximum Likelihood Estimation for the Weibull Distribution Under Length-Biased Sampling
We consider the estimation of the parameters of the Weibull distribution when the data arise from “length-biased” sampling. Specifically, the...
-
Likelihood-based inference for dynamic panel data models
This paper considers maximum likelihood (ML)-based inferences for dynamic panel data models. We focus on the analysis of the panel data with a large...
-
New results on asymptotic properties of likelihood estimators with persistent data for small and large T
This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects...
-
Implementing Maximum Likelihood Estimation of Empirical Matching Models
We propose two Mathematical Programming with Equilibrium Constraints (MPEC) formulations: the MPEC-Sparse and the MPEC-Dense to estimate a class of...
-
Stochastic Frontier Analysis with Maximum Entropy Estimation
Maximum entropy in the estimation of parameters in stochastic production frontier models could be an attractive procedure in economic efficiency...
-
Trade creation and trade diversion of economic integration agreements revisited: a constrained panel pseudo-maximum likelihood approach
For PPML estimation of high-dimensional structural gravity panel models it proves useful to exploit the equilibrium restrictions imposed by the...
-
The Spherical Parametrisation for Correlation Matrices and its Computational Advantages
In this paper, we analyse the computational advantages of the spherical parametrisation for correlation matrices in the context of Maximum Likelihood...
-
Stochastic frontier estimation through parametric modelling of quantile regression coefficients
Stochastic frontiers are a very popular tool used to compare production units in terms of efficiency. The parameters of this class of models are...
-
Simulated Maximum Likelihood Estimation of Agent-Based Models in Economics and Finance
This chapter presents a general simulation-based framework for estimation of agent-based models in economics and finance based on kernel methods....
-
Persistent and transient inefficiency in a spatial autoregressive panel stochastic frontier model
In this paper, we extend the four-component stochastic frontier model to allow for global spatial dependence via the endogenous spatial...
-
Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods
Calibration of multidimensional economic problems proven to be difficult, as there is a high risk of problem miss-identification. In this paper we...
-
Bayesian estimation and likelihood-based comparison of agent-based volatility models
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic...
-
A Kuhn–Tucker model for behaviour in dictator games
We consider a dictator game experiment in which dictators perform a sequence of giving tasks and taking tasks. The data are used to estimate the...
-
Zero-Adjusted Log-Symmetric Quantile Regression Models
This paper proposes zero-adjusted log-symmetric quantile regressions to deal with the issue of regression estimation when there are many zeros in the...
-
Efficient estimation of true fixed-effects stochastic frontier models
Fixed-effects modeling has become the method of choice in several panel data settings, including models for stochastic frontier analysis. A notable...
-
Hurdle Regression Models: An Application to Consumer Behavior in the United States
Hurdle regression models are regression models where the dependent variable is left censored at zero, which is typically the case in household...