Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555330 | Journal of Econometrics | 2005 | 27 Pages |
Abstract
This paper is an extension of Ahn et al. (J. Econom. 101 (2001) 219) to allow a parametric function for time-varying coefficients of the individual effects. It provides a fixed-effect treatment of models like those proposed by Kumbhakar (J. Econom. 46 (1990) 201) and Battese and Coelli (J. Prod. Anal. 3 (1992) 153). We present a number of GMM estimators based on different sets of assumptions. Least squares has unusual properties: its consistency requires white noise errors, and given white noise errors it is less efficient than a GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Chirok Han, Luis Orea, Peter Schmidt,