Semiparametric-efficient estimation of AR(1) panel data models.

DOI10.1016/S0304-4076(03)00149-0zbMath1138.62346MaRDI QIDQ1414626

Léopold Simar, Byeong U. Park, Robin C. Sickles

Publication date: 4 December 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Panel dataAutoregressive processBanking efficiencySemiparametric efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (8)

Semiparametric efficient estimation of dynamic panel data models ⋮ Nonparametric stochastic frontiers: a local maximum likelihood approach ⋮ A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS ⋮ Battese-Coelli estimator with endogenous regressors ⋮ Statistical Approaches for Non‐parametric Frontier Models: A Guided Tour ⋮ On distinguishing the direct causal effect of an intervention from its efficiency-enhancing effects ⋮ Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach ⋮ Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings

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