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Semiparametric-efficient estimation of AR(1) panel data models

  • Park, Byeong U.
  • Sickles, Robin C.
  • Simar, Leopold

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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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 117 (2003)
Issue (Month): 2 (December)
Pages: 279-309

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Handle: RePEc:eee:econom:v:117:y:2003:i:2:p:279-309
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  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. 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.
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  6. Jeon, Byung M. & Brown, Bryan, 2001. "Efficient Semiparametric Estimation of Expectations in Dynamic Nonlinear Systems," Working Papers 2001-09, Rice University, Department of Economics.
  7. PARK, Beyong U. & SICKLES, Robin C. & SIMAR, Léopold, . "Stochastic panel frontiers: A semiparametric approach," CORE Discussion Papers RP -1330, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-96, May.
  9. 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.
  10. 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.
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  12. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  13. Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C., 1989. "Production Frontiers With Cross-Sectinal And Time-Series Variation In Efficiency Levels," Working Papers 89-18, C.V. Starr Center for Applied Economics, New York University.
  14. Park, B. & Sickles, R.C. & Simar, L., 1993. "Stochastic Frontiers: A Semiparametric Approach," Papers 9303, Catholique de Louvain - Institut de statistique.
  15. 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.).
  16. Park, B. U. & Simar, L., . "Efficient semiparametric estimation in a stochastic frontier model," CORE Discussion Papers RP -1113, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  18. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, September.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
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