Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095843 | Journal of Econometrics | 2015 | 15 Pages |
Abstract
This paper proposes estimation and inference for the semiparametric smooth coefficient seemingly unrelated regression model. We discuss the imposition of cross-equation restrictions which are required by economic theory as well as methods for data driven bandwidth selection. A test of correct functional form for the entire system of equations is also constructed. Asymptotic and finite sample results are given. We illustrate our estimator by applying it to a cost system for US commercial banks. Our results show that most of the banks are operating under increasing returns to scale, but that returns to scale decrease with bank size.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daniel J. Henderson, Subal C. Kumbhakar, Qi Li, Christopher F. Parmeter,