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Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking

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  • Paul W. Wilson
  • David C. Wheelock

Abstract

This paper examines the performance of the U.S.~commercial banking industry over 1984--2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to {\it expected} maximum output among $m$ banks using no more of each input than the given bank. This approach permits fully non-parametric estimation with $\sqrt{n}$-consistency, avoiding the usual curse of dimensionality that plagues traditional non-parametric efficiency estimators. The resulting estimates are robust with respect to outliers and noise in the data

Suggested Citation

  • Paul W. Wilson & David C. Wheelock, 2004. "Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking," Econometric Society 2004 North American Summer Meetings 433, Econometric Society.
    • Handle: RePEc:ecm:nasm04:433
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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