Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity

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dc.citation.articleNumber33
dc.citation.issueNumber3
dc.citation.journalTitleEconometrics
dc.citation.volumeNumber5
dc.contributor.authorLiu, Junrong
dc.contributor.authorSickles, Robin C.
dc.contributor.authorTsionas, E.G.
dc.date.accessioned2017-08-09T17:13:26Z
dc.date.available2017-08-09T17:13:26Z
dc.date.issued2017
dc.description.abstractThis paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of unobserved effects. The latter have been addressed in a non-Bayesian framework by Bai (2009) and Kneip et al. (2012), among others. Monte Carlo experiments are used to examine the finite-sample performance of our estimators. An empirical study of efficiency trends in the largest banks operating in the U.S. from 1990 to 2009 illustrates our new estimators. The study concludes that scale economies in intermediation services have been largely exploited by these large U.S. banks.
dc.identifier.citationLiu, Junrong, Sickles, Robin C. and Tsionas, E.G.. "Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity." <i>Econometrics,</i> 5, no. 3 (2017) MDPI: https://doi.org/10.3390/econometrics5030033.
dc.identifier.digitalBayesian-Treatments
dc.identifier.doihttps://doi.org/10.3390/econometrics5030033
dc.identifier.urihttps://hdl.handle.net/1911/96628
dc.language.isoeng
dc.publisherMDPI
dc.rightsThis article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subject.keywordpanel data
dc.subject.keywordtime-varying heterogeneity
dc.subject.keywordBayesian econometrics
dc.subject.keywordbanking studies
dc.subject.keywordproductivity
dc.titleBayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity
dc.typeJournal article
dc.type.dcmiText
dc.type.publicationpublisher version
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