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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/114843
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/114843


    Title: A new approach to estimating a profit frontier using the censored stochastic frontier model
    Authors: 黃台心
    Huang, Tai-Hsin
    Chiang, Dien-Lin
    Lin, Chung-I
    Contributors: 金融系
    Keywords: Translog profit frontier;Censored stochastic frontier model;Profit efficiency
    Date: 2017-01
    Issue Date: 2017-11-21 17:40:41 (UTC+8)
    Abstract: 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.
    Relation: The North American Journal of Economics and Finance, 39, 68-77
    Data Type: article
    DOI 連結: https://doi.org/10.1016/j.najef.2016.12.001
    DOI: 10.1016/j.najef.2016.12.001
    Appears in Collections:[金融學系] 期刊論文

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