A time-varying true individual effects model with endogenous regressors

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dc.authoridLevent Kutlu / 0000-0003-2240-1967
dc.authorscopusidLevent Kutlu / 21234265200
dc.authorwosidLevent Kutlu / A-3206-2008
dc.contributor.authorKutlu, Levent
dc.contributor.authorTran, Kien C.
dc.contributor.authorTsionas, Mike G.
dc.date.accessioned2020-08-30T20:06:40Z
dc.date.available2020-08-30T20:06:40Z
dc.date.issued2019
dc.departmentİstinye Üniversitesien_US
dc.description.abstractWe 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.en_US
dc.identifier.citationKutlu, 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.2019.01.014en_US
dc.identifier.doi10.1016/j.jeconom.2019.01.014en_US
dc.identifier.endpage559en_US
dc.identifier.issn0304-4076en_US
dc.identifier.issn1872-6895en_US
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85064604425en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage539en_US
dc.identifier.urihttps://doi.org/10.1016/j.jeconom.2019.01.014
dc.identifier.urihttps://hdl.handle.net/20.500.12713/590
dc.identifier.volume211en_US
dc.identifier.wosWOS:000472702200010en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorKutlu, Leventen_US
dc.language.isoenen_US
dc.publisherElsevier Science Saen_US
dc.relation.ispartofJournal of Econometricsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectEndogeneityen_US
dc.subjectPanel Dataen_US
dc.subjectStochastic Frontieren_US
dc.subjectTrue Fixed Effectsen_US
dc.subjectTime-Varying Heterogeneityen_US
dc.titleA time-varying true individual effects model with endogenous regressorsen_US
dc.typeArticleen_US

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