A State-Space Stochastic Frontier Panel Data Model
In this paper we introduce a state-space approach to the econometric modelling of cross-sectional specific trends (temporal variation in individual heterogeneity) and time varying slopes in the context of panel data regressions. We show that our state-space panel stochastic frontier model nests some of the popular models proposed in the literature on stochastic frontier to accommodate time varying inefficiency and its dynamic version (productivity). A detailed discussion of alternative model specifications is provided and estimation (along with testing procedures for model selection) is presented. The empirical application uses the EU-KLEMS dataset which provides data in the period 1977-2007 for 13 countries and 20 sectors of each economy. Our main empirical interest is centered on productivity analysis and thus we focus on the stochastic frontier interpretation of this cross-sectional specific temporal variation. A post-estimation growth accounting is introduced in order to provide a quantitative assessment of the main factors behind sectoral labour productivity growth for each country.
|Date of creation:||Apr 2012|
|Contact details of provider:|| Postal: St. Lucia, Qld. 4072|
Phone: +61 7 3365 6570
Fax: +61 7 3365 7299
Web page: http://www.uq.edu.au/economics/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Efthymios G. Tsionas, 2006. "Inference in dynamic stochastic frontier models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 669-676.
- Atkinson, Scott E & Cornwell, Christopher, 1994. "Parametric Estimation of Technical and Allocative Inefficiency with Panel Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 231-243, February.
- Evangelia Desli & Subhash Ray & Subal Kumbhakar, 2003.
"A dynamic stochastic frontier production model with time-varying efficiency,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 10(10), pages 623-626.
- Evangelia Desli & Subhash C. Ray & Subal C. Kumbhakar, 2002. "A Dynamic Stochastic Frontier Production Model with Time-Varying Efficiency," Working papers 2003-15, University of Connecticut, Department of Economics.
- Tim Coelli & Sanzidur Rahman & Colin Thirtle, 2003. "A stochastic frontier approach to total factor productivity measurement in Bangladesh crop agriculture, 1961-92," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(3), pages 321-333.
- 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.
- Kumbhakar, Subal C., 1990. "Production frontiers, panel data, and time-varying technical inefficiency," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 201-211.
- Kneip, Alois & Sickles, Robin C. & Song, Wonho, 2012. "A New Panel Data Treatment For Heterogeneity In Time Trends," Econometric Theory, Cambridge University Press, vol. 28(03), pages 590-628, June.
- Luis Orea, 2002. "Parametric Decomposition of a Generalized Malmquist Productivity Index," Journal of Productivity Analysis, Springer, vol. 18(1), pages 5-22, July.
- Subal C. Kumbhakar, 2004. "Productivity and technical change: Measurement and testing," Empirical Economics, Springer, vol. 29(1), pages 185-191, January.
- Battese, George E. & Coelli, Tim J., 1988. "Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data," Journal of Econometrics, Elsevier, vol. 38(3), pages 387-399, July.
- Schmidt, Peter & Sickles, Robin C, 1984. "Production Frontiers and Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 367-374, October.
- Mary O'Mahony & Marcel P. Timmer, 2009. "Output, Input and Productivity Measures at the Industry Level: The EU KLEMS Database," Economic Journal, Royal Economic Society, vol. 119(538), pages 374-403, June.
- Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
- Doran, Howard E. & Rambaldi, Alicia N., 1997. "Applying linear time-varying constraints to econometric models: With an application to demand systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 83-95, July.
- Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C., 1990. "Production frontiers with cross-sectional and time-series variation in efficiency levels," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 185-200.
- 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.
- Pizzinga, Adrian & Fernandes, Cristiano & Contreras, Sergio, 2008. "Restricted Kalman filtering revisited," Journal of Econometrics, Elsevier, vol. 144(2), pages 428-429, June.
- Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:qld:uqcepa:77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (SOE IT)
If references are entirely missing, you can add them using this form.