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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- 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.
- 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).
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- Koop, G. & Osiewalski, J. & Steel, M. F. J., "undated". "Bayesian efficiency analysis through individual effects: Hospital cost frontiers," CORE Discussion Papers RP 1245, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- 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.
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- Sealey, Calvin W, Jr & Lindley, James T, 1977. "Inputs, Outputs, and a Theory of Production and Cost at Depository Financial Institutions," Journal of Finance, American Finance Association, vol. 32(4), pages 1251-1266, September.
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