?????? Stochastic Frontier Models

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??????Stochastic Frontier Models

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• SFA ??
• ??SFA??
• ??SFA??
• ??SFA??

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I. SFA ??
4
SFA ???????
5
SFA ??

y1
Source Porcelli(2009)
6
??????????
Q ??????????
Note ?? v, u ???,???? x ????
7
????????????????
8
??????????
9
????????????
10
?????

• Jondrow, Lovell, Materov and Schmidt
  (1982),JLMS82
• Battese and Coelli (1988),BC88

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II. ????????Panel SFA

• Review linear FE v.s. RE)
• FE (Fixed Effect Model)
• RE (Random Effect Model)
• Pooled OLS

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II. ????????Panel SFA

• ???????
• ai ??????, N -1 ???????
• ?i ????????????
• vit ???????????
• ?i ??????????? (persistent component)
• uit ?????????? (transient component)

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Panel SFA Pooled SFA model
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Panel SFA?????? (RE-SFA)????????

• Pitt and Lee (1981), PL81

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Panel SFA?????? (FE-SFA) ????????

• Schmidt and Sickles (1984), SS84
• TE???

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Panel SFA ??????

• Cornwell, Schmidt and Sickles (1990), CSS90
• Lee and Schmidt (1993), LS93

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Panel SFA ??????

• Battese and Coelli(1992), BC92, ??????

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Panel SFA True FE SFA

• Greene?? (Greene Problem)
• True-Model
• Estimate-Model
• Implications
• TE ?????????
• ????????(????, CEO???)???????????????

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Panel SFA True FE SFA

• Greene(2005), TFE
• ???? ??? (brute force approach)
• ??? N ???????? k ? ? ????
• ???????????????

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Panel SFA True RE SFA

• Greene(2005), TRE
• ???? MLE
• ???????? RE ??,???????????

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Panel SFA Generalized TRE SFA

• Tsionas and Kumbhakar (2013), G-TRE
• ?? TRE

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Panel SFA Scaling-TFE SFA

• Wang and Ho (2010), Scaling-TFE
• gitscaling function, ???????(zit)???
• git???????????
• git???????????FD??????????? ?i

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Panel SFA dynamic SFA

• Ahn and Sickles (2000), Dynamic-SFA
• ?i ????? i ?????????????(speed)
• ?i ??,?????????????????

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??? SFA Heterogeneous SFA

• ????

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??? SFA Heterogeneous SFA

• ??????
• ??????(????)
• ?????(?????)

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???????? two-tier SFA

• ????

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???????? two-tier SFA

• ????
• ?????

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• Thanks

New Course http//baoming.pinggu.org/Default.aspx
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References 1

• Aigner, D., C. Lovell, P. Schmidt, 1977,
  Formulation and estimation of stochastic frontier
  production function models, Journal of
  Econometrics, 6 (1) 21-37.
• Arellano, M., S. Bond, 1991, Some tests of
  specification for panel data Monte carlo
  evidence and an application to employment
  equations, Review of Economic Studies, 58 (2)
  277-297.
• Arellano, M., O. Bover, 1995, Another look at the
  instrumental variable estimation of
  error-components models, Journal of Econometrics,
  68 (1) 29-51.
• Battese, G., T. Coelli, 1992, Frontier production
  functions, technical efficiency and panel data
  With application to paddy farmers in india,
  Journal of Productivity Analysis, 3 (1) 153-169.
• Battese, G. E., T. J. Coelli, 1988, Prediction of
  firm-level technical efficiencies with a
  generalized frontier production function and
  panel data, Journal of Econometrics, 38 (3)
  387-399.
• Battese, G. E., T. J. Coelli, 1995, A model for
  technical inefficiency effects in a stochastic
  frontier production function for panel data,
  Empirical Economics, 20 (2) 325-332.
• Belotti, F., S. Daidone, G. Ilardi, V. Atella,
  2013, Stochastic frontier analysis using stata,
  Stata Journal forthcoming.
• Chang, S. K., Y. Y. Chen, H. J. Wang, 2012, A
  bayesian estimator for stochastic frontier models
  with errors in variables, Journal of Productivity
  Analysis, 38 (1) 1-9.
• Chen, N.-K., Y.-Y. Chen, H.-J. Wang, 2011, Asset
  prices and capital investmenta panel stochastic
  frontier approach, Working Paper.

30
References 2

• Coelli, T., D. Prasada Rao, G. E. Battese. An
  introduction to efficiency and productivity
  analysisM. Boston Kluwer Academic Publishers
  1998.
• Colombi, R., G. Martini, G. Vittadini, 2011, A
  stochastic frontier model with short-run and
  long-run inefficiency, Working Paper, Department
  of Economics and Technology Management,
  Universita di Bergamo, Italy.
• Emvalomatis, G., 2012, Adjustment and unobserved
  heterogeneity in dynamic stochastic frontier
  models, Journal of Productivity Analysis, 37 (1)
  7-16.
• Feng, G., A. Serletis, 2009, Efficiency and
  productivity of the us banking industry,
  19982005 Evidence from the fourier cost
  function satisfying global regularity conditions,
  Journal of Applied Econometrics, 24 (1) 105-138.
• Fried, H. O., C. Lovell, S. S. Schmidt. 2008,
  Efficiency and productivityC, in H. O. Fried,
  C. Lovell,S. S. Schmidt eds, The measurement of
  productive efficiency and productivity change
  (Oxford University Press, New York) 3-92.
• Greene, W., 2005a, Fixed and random effects in
  stochastic frontier models, Journal of
  Productivity Analysis, 23 (1) 7-32.
• Greene, W., 2005b, Reconsidering heterogeneity in
  panel data estimators of the stochastic frontier
  model, Journal of Econometrics, 126 (2) 269-303.
• Greene, W., 2008, The econometric approach to
  efficiency analysis, The Measurement of
  Productive Efficiency and Productivity Change, 1
  (5) 92-251.

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References 3

• Habib, M., A. Ljungqvist, 2005, Firm value and
  managerial incentives A stochastic frontier
  approach, Journal of Business, 78 (6) 2053-2094.
• Hadri, K., 1999, Estimation of a doubly
  heteroscedastic stochastic frontier cost
  function, Journal of Business Economic
  Statistics, 17 (3) 359-363.
• Huang, C. J., J.-T. Liu, 1994, Estimation of a
  non-neutral stochastic frontier production
  function, Journal of Productivity Analysis, 5
  (2) 171-180.
• Jondrow, J., K. Lovell, I. Materov, P. Schmidt,
  1982, On the estimation of technical inefficiency
  in the stochastic frontier production function
  model, Journal of Econometrics, 19 (2-3)
  233-238.
• Koutsomanoli-Filippaki, A., E. C. Mamatzakis,
  2010, Estimating the speed of adjustment of
  european banking efficiency under a quadratic
  loss function, Economic Modelling, 27 (1) 1-11.
• Kumbhakar, S., F. Christopher, 2009, The effects
  of bargaining on market outcomes Evidence from
  buyer and seller specific estimates, Journal of
  Productivity Analysis, 31 (1) 1-14.
• Kumbhakar, S., G. Lien, J. B. Hardaker, 2012a,
  Technical efficiency in competing panel data
  models A study of norwegian grain farming,
  Journal of Productivity Analysis 1-17.

32
References 4

• Kumbhakar, S., C. Lovell. Stochastic frontier
  analysisM. Cambridge Cambridge University
  Press, 2000.
• Kumbhakar, S., R. Ortega-Argilés, L. Potters, M.
  Vivarelli,P. Voigt, 2012b, Corporate rd and firm
  efficiency Evidence from europes top rd
  investors, Journal of Productivity Analysis, 37
  (2) 125-140.
• Kumbhakar, S. C., 1990, Production frontiers,
  panel data, and time-varying technical
  inefficiency, Journal of Econometrics, 46 (1)
  201-211.
• Kumbhakar, S. C., S. Ghosh, J. T. McGuckin, 1991,
  A generalized production frontier approach for
  estimating determinants of inefficiency in us
  dairy farms, Journal of Business Economic
  Statistics, 9 (3) 279-286.
• Kumbhakar, S. C., C. F. Parmeter, E. G. Tsionas,
  2013, A zero inefficiency stochastic frontier
  model, Journal of Econometrics, 172 (1) 66-76.
• Kumbhakar, S. C., E. G. Tsionas, 2011, Some
  recent developments in efficiency measurement in
  stochastic frontier models, Journal of
  Probability and Statistics, 2011 forthcoming.
• Lai, H.-p., C. J. Huang, 2011, Maximum likelihood
  estimation of seemingly unrelated stochastic
  frontier regressions, Journal of Productivity
  Analysis 1-14.

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References 5

• Lee, Y. H., P. Schmidt. 1993, A production
  frontier model with flexible temporal variation
  in technical efficiencyC, in H. Fried, C.
  Lovell,S. Schmidt eds, The measurement of
  productive efficiency Techniques and
  applications (Oxford University Press, Oxford,
  UK) 237-255.
• Lian, Y., C.-F. Chung, 2008, Are chinese listed
  firms over-investing?, SSRN working paper,
  Available at SSRN http//ssrn.com/abstract129646
  2.
• Meeusen, W., J. Van den Broeck, 1977, Efficiency
  estimation from cobb-douglas production functions
  with composed error, International Economic
  Review, 18 (2) 435-444.
• Peyrache, A., A. N. Rambaldi, 2012, A state-space
  stochastic frontier panel data model, working
  Paper.
• Pitt, M. M., L.-F. Lee, 1981, The measurement and
  sources of technical inefficiency in the
  indonesian weaving industry, Journal of
  Development Economics, 9 (1) 43-64.
• Tsionas, E. G., S. C. Kumbhakar, 2013,
  Firm-heterogeneity, persistent and transient
  technical inefficiencyA generalized true random
  effects model, Journal of Applied Econometrics
  forthcoming.

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References 6

• Wang, E. C., 2007, Rd efficiency and economic
  performance A cross-country analysis using the
  stochastic frontier approach, Journal of Policy
  Modeling, 29 (2) 345-360.
• Wang, H., 2003, A stochastic frontier analysis of
  financing constraints on investment The case of
  financial liberalization in taiwan, Journal of
  Business and Economic Statistics, 21 (3)
  406-419.
• Wang, H. J., C. W. Ho, 2010, Estimating
  fixed-effect panel stochastic frontier models by
  model transformation, Journal of Econometrics,
  157 (2) 286-296.
• Yélou, C., B. Larue, K. C. Tran, 2010, Threshold
  effects in panel data stochastic frontier models
  of dairy production in canada, Economic
  Modelling, 27 (3) 641-647.
• ???, ???, ??, 2009, ????????????????????, ????,
  (10) 51-61.
• ???, ???, 2013, ??????????????, ????, (9)
  125-136.
• ???, ???, ???, 2013, ???????????????, ????, (5)
  47-53.
• ???, ???, ???, 2011, ???????????????????, ????,
  (4) 94-106.

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