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Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effect

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  • Han, Chirok
  • Orea, Luis
  • Schmidt, Peter

Abstract

This paper is an extenstion of Ahn, Lee and Schmidt (2001) to allow a parametric function for time-varying coefficients of the individual effects. it provides a fixed-effect treatment of models like those proposed by Kumbhakar (1990) and Battese and Coelli (1992). We present a number of GMM estimators based on different sets of assumptions. Least squares has unusual properties: its consistency requires white noise errors, and given the white noise errors it is less efficient than an GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks.

Suggested Citation

  • Han, Chirok & Orea, Luis & Schmidt, Peter, 2002. "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effect," Working Paper Series 33511, Victoria University of Wellington, School of Economics and Finance.
    • Handle: RePEc:vuw:vuwecf:33511
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    File URL: https://ir.wgtn.ac.nz/handle/123456789/33511
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    References listed on IDEAS

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    1. 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.
    2. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 225-238.
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