Semiparametric Efficient Distribution Free Estimation of Panel Models |
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Authors: | Robert M Adams |
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Institution: | Board of Governors of the Federal Reserve System , Washington, D.C., USA |
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Abstract: | This article generalizes results from Park et al. (1998
Park , B. U. ,
Sickles , R. C. ,
Simar , L. ( 1998 ). Stochastic frontiers: a semiparametric approach . J. Econometrics 84 : 273 – 301 .Crossref], Web of Science ®] , Google Scholar]) and Adams et al. (1999
Adams , R. M. ,
Berger , A. N. ,
Sickles , R. C. ( 1999 ). Semiparametric approaches to stochastic panel frontiers with applications in the banking industry . J. Bus. Econ. Statist. 17 : 349 – 358 .Taylor & Francis Online] , Google Scholar]) on semiparametric efficient estimation of panel models. The form of semiparametric efficient estimators depends on the statistical assumptions imposed. Normality assumptions on the transitory error are sometimes inappropriate. We relax the normality assumption used in the articles above to derive more general semiparametric efficient estimators. These estimators are illustrated in a Monte Carlo simulation and an analysis of banking productivity. |
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Keywords: | Banking efficiency Efficient estimation Information bound Panel models Semiparametric estimation |
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