Estimation of a panel data model with parametric temporal variation in individual effects
This paper considers models with time-varying individual effects (also known as factor models). The paper extends Ahn, Lee and Schmidt, Journal of Econometrics, 2001 and Bai, Econometrica, 2003 to allow a parametric function of time for the time factor. It provides a fixed-effects treatment of random effects models suggested by Kumbhakar and by Battese and Coelli for the frontier production function problem. The paper presents a number of GMM estimators based on assumptions of different strengths. Least squares has unusual properties: consistency depends on white noise errors, and given white noise errors it is less efficient than a GMM estimator. The model is applied to the measurement of the cost efficiency of Spanish banks
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- Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, vol. 101(2), pages 219-255, April.
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- Han, Chirok & Orea, Luis & Schmidt, Peter, 2005.
"Estimation of a panel data model with parametric temporal variation in individual effects,"
Journal of Econometrics,
Elsevier, vol. 126(2), pages 241-267, June.
- Han, Chirok & Orea, Luis & Schmidt, Peter, 2002. "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects," Efficiency Series Papers 2002/05, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
- Peter Schmidt & Chirok Han & Luis Orea, 2004. "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects," Econometric Society 2004 Far Eastern Meetings 519, Econometric Society.
- Cuesta, Rafael A. & Orea, Luis, 2002. "Mergers and technical efficiency in Spanish savings banks: A stochastic distance function approach," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2231-2247.
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- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Kumbhakar, Subal C., 1990. "Production frontiers, panel data, and time-varying technical inefficiency," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 201-211.
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