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958期 12月12日 :Identification and Estimation of a Nonparametric Panel Stochastic Frontier Model(蔡俊, 博士,雪城大学马克斯维尔公民与公共事务学院)

【主讲】蔡俊 (博士,雪城大学马克斯维尔公民与公共事务学院)

【主题】Identification and Estimation of a Nonparametric Panel Stochastic Frontier Model

【时间】2018年12月12日 (周三) 10:00-11:30

【地点】上海财经大学经济学院楼701室

【语言】英文

【摘要】We propose a nonparametric panel stochastic frontier model based on Evdokimov (2010) to assess the (in)efficiency of firms' (cost min) production max behavior. The model (a). contains unspecificed production/cost function which allows nonadditive unobserved heterogeneity; (b). allows idiosyncratic (in)efficiency; (c). doesn't require distribution assumptions on the error term. The distributional parameter of (in)efficiency is identified by-pass of the principal property of (conditional) characteristic function and only requires panel data with two time periods. We also develop a nonparametric estimation procedure and derive its convergence rate. Monte Carlo simulation shows that the estimator has very good finite sample properties in various designs and converges at a decent rate. We also apply the proposed nonparametric procedure to a US bank data set and compare it with the parametric model. The proposed method gives us a more comprehensive and intuitive results.

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