Semiparametric efficient distribution free estimation of panel models

被引：3

作者：

Adams, Robert M. ^{[2
]}

Sickles, Robin C. ^{[1
]}

机构：

[1] Rice Univ, Dept Econ, Houston, TX 77005 USA

[2] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2007年 / 36卷 / 13-16期

关键词：

banking efficiency; efficient estimation; information bound; panel models; semiparametric estimation;

D O I：

10.1080/03610920701215563

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article generalizes results from Park et al. (1998) and Adams et al. (1999) on semiparametric efficient estimation of panel models. The form of semiparametric efficient estimators depends on the statistical assumptions imposed. Normality assumptions on the transitory error are sometimes inappropriate. We relax the normality assumption used in the articles above to derive more general semiparametric efficient estimators. These estimators are illustrated in a Monte Carlo simulation and an analysis of banking productivity.

引用

页码：2425 / 2442

页数：18

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