Econometrics: Econometric & Statistical Methods - General eJournal最新文献_第7页

A Better Method of Applying OLS to Home Prices vs. Square Footage: Busting Myths and Unraveling Confusion About OLS in 'Economuddlics' 将OLS应用于房价与平方英尺的更好方法:在“经济学”中打破神话并解开关于OLS的困惑

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-27 DOI: 10.2139/ssrn.3193741

J. Bell

引用次数: 4

Performance of Efficiency Measurement by StoNED Compared to DEA and SFA in Cases of Leontief and By-Production Technologies 与DEA和SFA相比，StoNED在Leontief和副产技术中效率测量的性能

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-26 DOI: 10.2139/ssrn.3525708

J. Schaefer, H. Dyckhoff

{"title":"Performance of Efficiency Measurement by StoNED Compared to DEA and SFA in Cases of Leontief and By-Production Technologies","authors":"J. Schaefer, H. Dyckhoff","doi":"10.2139/ssrn.3525708","DOIUrl":"https://doi.org/10.2139/ssrn.3525708","url":null,"abstract":"Stochastic Non-smooth Envelopment of Data (StoNED) is a semi-parametric and stochastic method of efficiency measurement that combines some of the virtues of the classical counterparts, namely Stochastic Frontier Analysis (SFA) versus Data Envelopment Analysis (DEA). Recently, it has been generalised to multi-output technologies by directional distance and ray production functions. First Monte Carlo simulation studies have shown that StoNED offers a promising alternative to DEA and SFA in scenarios with and without noise. However, these studies have exclusively considered technologies modelled by output-oriented translog production functions (such as Cobb-Douglas functions in particular), which allow factor substitution. Moreover, only one of them analyses StoNED for multi-output technologies (thereby using ray production functions). We present complementary results from a series of Monte Carlo simulations with examples of two-input, two-output technologies that are modelled by Leontief functions or are characterised by by-products. Contrary to previous results, DEA then generates competitive or even the best results in scenarios with few noise. Furthermore, StoNED equals the performance of SFA, provided that both methods are adapted to the orientation of the underlying technology, i.e. input-oriented for the Leontief technology.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88158724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

An Alpha-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies 对高度投机资产和加密货币进行建模的阿尔法稳定方法

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-20 DOI: 10.2139/ssrn.3505859

Taurai Muvunza

引用次数: 3

Evaluation of Indonesia's National Energy Policy: A Regional Dilemma in Indonesia through Simulation Approach 印尼国家能源政策的评估:基于模拟方法的印尼区域困境

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-02 DOI: 10.2139/ssrn.3512695

Adrianus Amheka, Julius A. Tanesab, P. Thies, K. Aviso

引用次数: 1

Measurement of Factor Strenght: Theory and Practice 因子强度的测量:理论与实践

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3552386

Natalia Bailey, G. Kapetanios, M. Pesaran

{"title":"Measurement of Factor Strenght: Theory and Practice","authors":"Natalia Bailey, G. Kapetanios, M. Pesaran","doi":"10.2139/ssrn.3552386","DOIUrl":"https://doi.org/10.2139/ssrn.3552386","url":null,"abstract":"This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The proposed estimator is based on the number of statistically significant factor loadings, taking account of the multiple testing problem. We focus on the case where the factors are observed which is of primary interest in many applications in macroeconomics and finance. We also consider using cross section averages as a proxy in the case of unobserved common factors. We face a fundamental factor identification issue when there are more than one unobserved common factors. We investigate the small sample properties of the proposed estimator by means of Monte Carlo experiments under a variety of scenarios. In general, we find that the estimator, and the associated inference, perform well. The test is conservative under the null hypothesis, but, nevertheless, has excellent power properties, especially when the factor strength is sufficiently high. Application of the proposed estimation strategy to factor models of asset returns shows that out of 146 factors recently considered in the finance literature, only the market factor is truly strong, while all other factors are at best semi-strong, with their strength varying considerably over time. Similarly, we only find evidence of semi-strong factors in an updated version of the Stock and Watson (2012) macroeconomic dataset.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"50 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90795658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Asymmetric‐Information Allocation to Avoid Coordination Failure 避免协调失败的非对称信息分配

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-01 DOI: 10.1111/jems.12329

Fumitoshi Moriya, Takuro Yamashita

引用次数: 12

Aging and Health Care Expenditures: A Non-Parametric Approach 老龄化与卫生保健支出:一个非参数方法

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3576293

Normann Lorenz, P. Ihle, F. Breyer

{"title":"Aging and Health Care Expenditures: A Non-Parametric Approach","authors":"Normann Lorenz, P. Ihle, F. Breyer","doi":"10.2139/ssrn.3576293","DOIUrl":"https://doi.org/10.2139/ssrn.3576293","url":null,"abstract":"One of the most important controversies in health economics concerns the question whether the imminent aging of the population in most OECD countries will place an additional burden on the tax payers who finance public health care systems. Proponents of the “red-herring hypothesis” argue that this is not the case because most of the correlation of age and health care expenditures (HCE) is due to the fact that the mortality rate rises with age and HCE rise steeply in the last years before death. The evidence regarding this hypothesis is, however, mixed. Our contribution to this debate is mainly methodological: We argue that the relationship of age, time to death (TTD) and HCE should be estimated non-parametrically. Using a large panel data set from the German Statutory Health Insurance, we first show that the parametric approach overestimates the expenditures of the high age classes and thus overstates the increase of future HCE due to aging. Secondly, we show that the non-parametric approach is particularly useful to answer the question whether age still has an impact on HCE once TTD is taken into account and find that it is clearly the case. This relationship is even more pronounced for long-term care expenditures (LTCE). We then show that the age-expenditure relationship is not stable over time: for many age classes, HCE in the last year of life grow considerably faster than HCE of survivors. We explore the impact of these findings on the simulation of future HCE and find that population aging will in fact contribute to rising HCE in the coming decades. We also find that the impact of different population projections provided by the statistical offices has a greater impact on these simulations than previously acknowledged. However, the total impact of demographics on future HCE and LTCE is dwarfed by the exogenous time trend, which is due to medical progress and increasing generosity of public LTC insurance.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"128 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90573149","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

The Dynamic Z-Score 动态Z-Score

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-26 DOI: 10.2139/ssrn.3509795

J. Grabski

引用次数: 0

A System Dynamics Approach on Forecast-based Financing for Flood Response in Nepal 基于预报的尼泊尔洪水应对融资系统动力学方法

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-19 DOI: 10.2139/ssrn.3506502

S. Poudel

引用次数: 0

A Spatial Panel Quantile Model with Unobserved Heterogeneity 具有未观察异质性的空间面板分位数模型

Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-19 DOI: 10.2139/ssrn.3516306

T. Ando, Lina Lu

引用次数: 4