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Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking

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Author Info
Paul W. Wilson
David C. Wheelock

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Abstract

This paper examines the performance of the U.S.~commercial banking industry over 1984--2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to {\it expected} maximum output among $m$ banks using no more of each input than the given bank. This approach permits fully non-parametric estimation with $\sqrt{n}$-consistency, avoiding the usual curse of dimensionality that plagues traditional non-parametric efficiency estimators. The resulting estimates are robust with respect to outliers and noise in the data

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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 433.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:433

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Related research
Keywords: order-m; technical efficiency; productivity; frontier;

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Simar, L. & Wilson, P.W., 1998. "Productivity Growth in Industrialized Countries," Papers 9810, Catholique de Louvain - Institut de statistique.
    Other versions:
  2. Allen N. Berger & David B. Humphrey, 1997. "Efficiency of financial institutions: international survey and directions for future research," Finance and Economics Discussion Series 1997-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  3. Cazals, Catherine & Florens, Jean-Pierre & Simar, Leopold, 2002. "Nonparametric frontier estimation: a robust approach," Journal of Econometrics, Elsevier, vol. 106(1), pages 1-25, January. [Downloadable!] (restricted)
  4. Gallant, A. Ronald, 1982. "Unbiased determination of production technologies," Journal of Econometrics, Elsevier, vol. 20(2), pages 285-323, November. [Downloadable!] (restricted)
  5. Simar, L. & Wilson, P.W., 1999. "Statistical Inference in Nonparametric Frontier Models: the State of the Art," Papers 9904, Catholique de Louvain - Institut de statistique.
  6. David C. Wheelock & Paul W. Wilson, 1997. "New evidence on returns to scale and product mix among U.S. commercial banks," Working Papers 1997-003, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  7. Fare, Rolf & Shawna Grosskopf & Mary Norris & Zhongyang Zhang, 1994. "Productivity Growth, Technical Progress, and Efficiency Change in Industrialized Countries," American Economic Review, American Economic Association, vol. 84(1), pages 66-83, March. [Downloadable!] (restricted)
  8. Kneip, A & Park, B-U & Simar, L, 1996. "A Note on the Convergence of Nonparametric DEA Efficiency Measures," Papers 9603, Catholique de Louvain - Institut de statistique.
    Other versions:
  9. Berger, Allen N. & Mester, Loretta J., 2003. "Explaining the dramatic changes in performance of US banks: technological change, deregulation, and dynamic changes in competition," Journal of Financial Intermediation, Elsevier, vol. 12(1), pages 57-95, January. [Downloadable!] (restricted)
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  10. McAllister, Patrick H. & McManus, Douglas, 1993. "Resolving the scale efficiency puzzle in banking," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 389-405, April. [Downloadable!] (restricted)
  11. Tsybakov, A.B. & Korostelev, A.P. & Simar, L., 1992. "Efficient Estimation of Monotone Boundaries," Papers 9209, Catholique de Louvain - Institut de statistique.
  12. Simar, Leopold & Wilson, Paul W., 1999. "Estimating and bootstrapping Malmquist indices," European Journal of Operational Research, Elsevier, vol. 115(3), pages 459-471, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Santiago Herrera & Gaobo Pang, 2006. "How Efficient is Public Spending in Education?," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
  2. Alexander Schiersch, 2008. "German engineering firms during the 1990’s. How efficient are export champions?," Working Papers 006, Hanseatic University, Germany, Department of Economics. [Downloadable!]
  3. Binder, Martin & Broekel, Tom, 2008. "Conversion Efficiency as a Complementing Measure of Welfare in Capability Space," MPRA Paper 7583, University Library of Munich, Germany. [Downloadable!]
  4. Astrid Cullmann & Christian von Hirschhausen, 2007. "From Transition to Competition: Dynamic Efficiency Analysis of Polish Electricity Distribution Companies," Discussion Papers of DIW Berlin 716, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  5. Herrera, Santiago & Pang, Gaobo, 2005. "Efficiency of public spending in developing countries : an efficiency frontier approach," Policy Research Working Paper Series 3645, The World Bank. [Downloadable!]
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