A new approach to estimating a profit frontier using the censored stochastic frontier model

被引:2
作者
Huang, Tai-Hsin [1 ]
Chiang, Dien-Lin [1 ]
Lin, Chung-I [2 ]
机构
[1] Natl Chengchi Univ, Dept Money & Banking, Taipei, Taiwan
[2] Providence Univ, Dept Int Business, Taichung, Taiwan
关键词
Translog profit frontier; Censored stochastic frontier model; Profit efficiency; TAIWANESE BANKING; EUROPEAN BANKING; CHINESE BANKS; EFFICIENCY; DECOMPOSITIONS; INEFFICIENCY; EQUILIBRIUM; ERROR; COST; RISK;
D O I
10.1016/j.najef.2016.12.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The translog profit functional form is widely used to study technical efficiency for banks. Although this functional form is known as being flexible, it is not applicable to those banks incurring economic losses. The recently developed approach, i.e., the censored stochastic frontier model (CSFM), by Tsay et al. (2013) appears to be superior to existing approaches, since CSFM does not need to transform negative profit into positive profit before taking the natural logarithm. The transformation with respect to the profit variable tends to bias the parameter estimates of the profit frontier and the subsequent profit efficiency measure. We show that the parameter estimates of CSFM have the desirable statistical properties. Moreover, empirical results reveal that the mean profit efficiency of CSFM is more robust than those models using transformed profits across the sub-periods 1991-1998 and 1999-2009. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码:68 / 77
页数:10
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