TY - JOUR

T1 - Firm-heterogeneity, persistent and transient technical inefficiency

T2 - a generalized true random effects model

AU - Tsionas, Michael

AU - Kumbhakar, Subal C.

PY - 2014/1

Y1 - 2014/1

N2 - This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and transient (time-varying/short-term) technical inefficiency. The model gives us a four-way error component model, viz., persistent and time-varying inefficiency, random firm effects and noise. We use Bayesian methods of inference to provide robust and efficient methods of estimating inefficiency components in this four-way error component model. Monte Carlo results are provided to validate its performance. We also present results from an empirical application that uses a large panel of US commercial banks

AB - This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and transient (time-varying/short-term) technical inefficiency. The model gives us a four-way error component model, viz., persistent and time-varying inefficiency, random firm effects and noise. We use Bayesian methods of inference to provide robust and efficient methods of estimating inefficiency components in this four-way error component model. Monte Carlo results are provided to validate its performance. We also present results from an empirical application that uses a large panel of US commercial banks

U2 - 10.1002/jae.2300

DO - 10.1002/jae.2300

M3 - Journal article

VL - 29

SP - 110

EP - 132

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

SN - 0883-7252

IS - 1

ER -