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Semiparametric Efficient Estimation of AR(1) Panel Data Models

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Author Info

  • Park, B.U.
  • Sickles, R.C.
  • Simar, L.

Abstract

This study focuses on the semiparametric efficient estimation of random effect panel models containing AR(1) disturbances. We also consider such estimators when the effects and regressors are correlated.

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Bibliographic Info

Paper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 0020.

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Length: 33 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:louvis:0020

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Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.

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Keywords: EFFICIENCY ; EVALUATION ; ECONOMETRIC MODELS;

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References

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  1. Hausman, Jerry A. & Taylor, William E., 1981. "Panel data and unobservable individual effects," Journal of Econometrics, Elsevier, vol. 16(1), pages 155-155, May.
  2. Dennis J. Fixler & Kimberly D. Zieschang, 1992. "User Costs, Shadow Prices, and the Real Output of Banks," NBER Chapters, in: Output Measurement in the Service Sectors, pages 219-243 National Bureau of Economic Research, Inc.
  3. Allen N. Berger & Anil K. Kashyap & Joseph M. Scalise, 1995. "The Transformation of the U.S. Banking Industry: What a Long, Strange Trips It's Been," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 55-218.
  4. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-96, May.
  5. Park, B. U. & Sickles, R. C. & Simar, L., 1998. "Stochastic panel frontiers: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 84(2), pages 273-301, June.
  6. PARK, Byeong & SIMAR, Léopold, 1992. "Efficient semiparametric estimation in stochastic frontier model," CORE Discussion Papers 1992013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. PARK, Byeong & SICKLES, Robin & SIMAR, Léopold, 1993. "Stochastic Frontiers : A Semiparametric Approach," CORE Discussion Papers 1993057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Horowitz, Joel L & Markatou, Marianthi, 1996. "Semiparametric Estimation of Regression Models for Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 63(1), pages 145-68, January.
  9. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
  10. Adams, Robert M & Berger, Allen N & Sickles, Robin C, 1999. "Semiparametric Approaches to Stochastic Panel Frontiers with Applications in the Banking Industry," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 349-58, July.
  11. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  12. Battese, George E. & Coelli, Tim J., 1988. "Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data," Journal of Econometrics, Elsevier, vol. 38(3), pages 387-399, July.
  13. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  14. Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C., 1990. "Production frontiers with cross-sectional and time-series variation in efficiency levels," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 185-200.
  15. Kiefer, Nicholas M., 1980. "Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance," Journal of Econometrics, Elsevier, vol. 14(2), pages 195-202, October.
  16. P.A.V.B. Swamy & Jalal D. Akhavein & Stephen B. Taubman, 1994. "A general method of deriving the efficiencies of banks from a profit function," Finance and Economics Discussion Series 94-11, Board of Governors of the Federal Reserve System (U.S.).
  17. Jeon, Byung M. & Brown, Bryan, 2001. "Efficient Semiparametric Estimation of Expectations in Dynamic Nonlinear Systems," Working Papers 2001-09, Rice University, Department of Economics.
  18. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  19. Schmidt, Peter & Sickles, Robin C, 1984. "Production Frontiers and Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 367-74, October.
  20. Joel L. Horowitz & Marianthi Markatou, 1993. "Semiparametric Estimation Of Regression Models For Panel Data," Econometrics 9309001, EconWPA.
  21. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, Spring.
  22. Jondrow, James & Knox Lovell, C. A. & Materov, Ivan S. & Schmidt, Peter, 1982. "On the estimation of technical inefficiency in the stochastic frontier production function model," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 233-238, August.
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Citations

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Cited by:
  1. Blazek, David & Sickles, Robin C., 2010. "The impact of knowledge accumulation and geographical spillovers on productivity and efficiency: The case of U. S. shipbuilding during WWII," Economic Modelling, Elsevier, vol. 27(6), pages 1484-1497, November.
  2. Byeong U. Park & Robin C Sickles & Léopold Simar, 2002. "Semi parametric efficient estimation of dynamic panel data models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C6-1, International Conferences on Panel Data.
  3. Timo Kuosmanen & Mika Kortelainen, 2012. "Stochastic non-smooth envelopment of data: semi-parametric frontier estimation subject to shape constraints," Journal of Productivity Analysis, Springer, vol. 38(1), pages 11-28, August.
  4. Krishna, Vijesh V. & Veettil, Prakashan C., 2014. "Productivity and efficiency impacts of conservation tillage in northwest Indo-Gangetic Plains," Agricultural Systems, Elsevier, vol. 127(C), pages 126-138.
  5. Kutlu, Levent, 2013. "Misspecification in allocative inefficiency: A simulation study," Economics Letters, Elsevier, vol. 118(1), pages 151-154.
  6. Robin Sickles, 2007. "Comments on: Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 31-32, May.
  7. Kuosmanen, Timo, 2006. "Stochastic Nonparametric Envelopment of Data: Combining Virtues of SFA and DEA in a Unified Framework," Discussion Papers 11864, MTT Agrifood Research Finland.
  8. Kortelainen, Mika, 2008. "Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies," MPRA Paper 9257, University Library of Munich, Germany.
  9. Kutlu, Levent, 2012. "US banking efficiency, 1984–1995," Economics Letters, Elsevier, vol. 117(1), pages 53-56.
  10. Kutlu, Levent, 2010. "Battese-coelli estimator with endogenous regressors," Economics Letters, Elsevier, vol. 109(2), pages 79-81, November.
  11. S. S. Rajan & K. L. N. Reddy & V. N. Pandit, 2011. "Efficiency And Productivity Growth In Indian Banking," Working papers 199, Centre for Development Economics, Delhi School of Economics.
  12. Byeong Park & Seuck Song, 2007. "Comments on: Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 47-51, May.
  13. Sickles, Robin C., 2005. "Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings," Journal of Econometrics, Elsevier, vol. 126(2), pages 305-334, June.

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