Estimation of a panel data model with parametric temporal variation in individual effects

Chirok Han, Luis Orea, Peter Schmidt

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)

Abstract

This paper is an extension of Ahn et al. (J. Econom. 101 (2001) 219) 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 (J. Econom. 46 (1990) 201) and Battese and Coelli (J. Prod. Anal. 3 (1992) 153). 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 white noise errors it is less efficient than a GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks.

Original languageEnglish
Pages (from-to)241-267
Number of pages27
JournalJournal of Econometrics
Volume126
Issue number2
DOIs
Publication statusPublished - 2005 Jun
Externally publishedYes

Keywords

  • Cost efficiency
  • Fixed-effects
  • GMM
  • Generalized method of moments
  • Time-varying individual effects

ASJC Scopus subject areas

  • Economics and Econometrics

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