Search results for "Heteroscedasticity"
showing 10 items of 29 documents
Five times sit-to-stand test in subjects with total knee replacement: Reliability and relationship with functional mobility tests
2017
The objective was to determine the inter-observer and test/retest reliability of the "Five-repetition sit-to-stand" (5STS) test in patients with total knee replacement (TKR). To explore correlation between 5STS and two mobility tests. A reliability study was conducted among 24 (mean age 72.13, S.D. 10.67; 50% were women) outpatients with TKR. They were recruited from a traumatology unit of a public hospital via convenience sampling. A physiotherapist and trauma physician assessed each patient at the same time. The same physiotherapist realized a 5STS second measurement 45-60min after the first one. Reliability was assessed with intraclass correlation coefficients (ICCs) and Bland-Altman plo…
Flexible Estimation of Heteroskedastic Stochastic Frontier Models via Two-step Iterative Nonlinear Least Squares
2019
Despite its importance, the monotonicity condition is typically overlooked in stochastic frontier analysis. This article illustrates a straightforward and useful method for the estimation of semiparametric stochastic frontier models imposing such constraint and incorporating exogenous inefficiency effects exploiting the scaling property. An iterative estimation algorithm based on nonlinear least squares is developed and the behavior of the proposed procedure is investigated through a set of Monte Carlo experiments comparing its finite sample properties with those of available alternatives. The simulation results highlight very good performance of the new algorithm which outperforms the comp…
Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity
2017
This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading statistical inferences. The correct critical values, as reported in the study, are considerably larger than suggested by the GRS test.
Credit demand and supply shocks in Italy during the Great Recession
2018
In this article, we use Structural VAR analysis to disentangle credit demand and supply shocks and their effect on real economic activity in Italy during the 2008 to 2014 crisis period. The three endogenous variables considered are the loan interest rate, the loans growth rate and the employment to population ratio. The data are observed at annual frequency for each of 103 Italian provinces. The empirical evidence suggests that the variance of the shocks varies across four Italian macro-regions: North, Centre, South and Islands, and hece heteroscedasticity is used to identify (ex ante) the structural shocks. Sign restrictions are used to interpret shocks ex post. The empirical findings sugg…
TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
2005
Abstract In this paper, we test for contagion within the East Asian region, contagion being defined as a significant increase in the degree of comovement between stock returns in different countries. For this purpose, we use a parameter stability test, and, following [Rigobon, R., 2003a. On the measurement of the international propagation of shocks: is the transmission stable?, Journal of International Economics], we control for three types of bias, resulting from heteroscedasticity, endogeneity and omitted variable, respectively. The null of interdependence against the alternative of contagion is then tested as an overidentifying restriction. Unlike other studies, our approach is based on …
A critical view on temperature modelling for application in weather derivatives markets
2012
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
2005
Abstract This paper examines whether a monetary policy tightening (i.e., an increase in the domestic interest rate) was successful in defending the exchange rate from speculative pressures during the Asian financial crisis. We estimate a bivariate VECM for four Asian countries, and improve upon existing studies in two important ways. First, by using a long data span we are able to compare the effects of an interest rate rise on the nominal exchange rate during tranquil and turbulent periods. Second, we take into account the endogeneity of interest rates and identify the system by exploiting the heteroscedasticity properties of the relevant time series, following Rigobon [Identification thro…
Credit Demand and Supply Shocks in Italy During the Great Recession
2018
In this paper, we use Structural VAR analysis to disentangle credit demand and supply shocks and their eFFect on real economic activity in Italy during the 2008-2014 crisis period. The three endogenous variables considered are the loan interest rate, the loans growth rate and the employment to population ratio. The data are observed at annual frequency for each of 103 Italian provinces. The structural shocks are identified through heteroscedasticity, by letting the variance of the shocks to switch across four Italian macro-regions: North, Centre, South and Islands. Sign restrictions are used to interpret ex post the structural shocks. The empirical findings suggest a more important role of …
Estimation de la relation de salaires de Mincer : choix de specification et enjeux économétriques
2012
In the present doctoral thesis, we estimated Mincer’s (1974) semi logarithmic wage function for the French and Pakistani labour force data. This model is considered as a standard tool in order to estimate the relationship between earnings/wages and different contributory factors. Despite of its vide and extensive use, simple estimation of the Mincerian model is biased because of different econometric problems. The main sources of bias noted in the literature are endogeneity of schooling, measurement error, and sample selectivity. We have tackled the endogeneity and measurement error biases via instrumental variables two stage least squares approach for which we have proposed two new instrum…
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
2005
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan…