Robust non-parametric quantile estimation of efficiency and productivity change in U.S. commercial banking, 1985-2004
AbstractThis paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S. banks between 1985 and 2004. We find that larger banks experienced larger efficiency and productivity gains than small banks, consistent with the presumption that recent changes in regulation and information technology have favored larger banks.
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Bibliographic InfoPaper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2006-041.
Date of creation: 2007
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-BAN-2006-08-05 (Banking)
- NEP-EFF-2006-08-05 (Efficiency & Productivity)
- NEP-FMK-2006-08-05 (Financial Markets)
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