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Robust non-parametric quantile estimation of efficiency and productivity change in U.S. commercial banking, 1985-2004

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  • David C. Wheelock
  • Paul W. Wilson

Abstract

This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S. banks between 1985 and 2004. We find that larger banks experienced larger efficiency and productivity gains than small banks, consistent with the presumption that recent changes in regulation and information technology have favored larger banks.

Suggested Citation

  • David C. Wheelock & Paul W. Wilson, 2007. "Robust non-parametric quantile estimation of efficiency and productivity change in U.S. commercial banking, 1985-2004," Working Papers 2006-041, Federal Reserve Bank of St. Louis.
  • Handle: RePEc:fip:fedlwp:2006-041
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    Keywords

    Production (Economic theory) ; Banks and banking;

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