A time-varying true individual effects model with endogenous regressors
Yükleniyor...
Dosyalar
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Sa
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We propose a fairly general individual effects stochastic frontier model, which allows both heterogeneity and inefficiency to change over time. Moreover, our model handles the endogeneity problems if either at least one of the regressors or one-sided error term is correlated with the two-sided error term. Our Monte Carlo experiments show that our estimator performs well. We employed our methodology to the US banking data and found a negative relationship between return on revenue and cost efficiency. Estimators ignoring time-varying heterogeneity or endogeneity did not perform well and gave very different estimates compared to our estimator. (C) 2019 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
Endogeneity, Panel Data, Stochastic Frontier, True Fixed Effects, Time-Varying Heterogeneity
Kaynak
Journal of Econometrics
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
211
Sayı
2
Künye
Kutlu, L., Tran, K. C., & Tsionas, M. G. (2019). A time-varying true individual effects model with endogenous regressors. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2019.01.014
