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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49004
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/49004


    Title: 探討半參數隨機邊界模型的技術與配置效率之一致性估計方法
    Consistent estimation of technical and allocative efficiencies for a semiparametric Stochastic Cost Frontier with Shadow Input Prices
    Authors: 陳冠臻
    Chen, Kuan Chen
    Contributors: 黃台心
    Huang, Tai Hsin
    陳冠臻
    Chen, Kuan Chen
    Keywords: 半參數成本邊界
    核估計式
    影子價格
    技術效率
    配置效率
    semiparametric cost frontier
    kernel estimation
    shadow prices
    technical efficiency
    allocative efficiency
    Date: 2009
    Issue Date: 2010-12-08 01:56:50 (UTC+8)
    Abstract: 傳統參數隨機成本邊界模型需事先假設其函數型態,但真正的函數型態未知,若是假設錯誤的函數型態可能存在模型設定誤差,另外過去估計成本函數時,大多著重於技術效率的衡量,而忽略配置效率,如此一來,將導致模型參數估計產生偏誤,影響後來效率的計算。基於上述的問題,本研究將應用半參數隨機成本邊界模型且同時考量技術效率與配置效率,不但函數設定具有彈性且能正確的衡量效率值,然而在考量配置效率的衡量後,增加模型估計的困難度,使得估計收斂不易,因此本研究提出一個五階段的估計步驟,應用蒙地卡羅模擬進行分析,該估計步驟不但能簡化估計且能得到技術與配置效率的一致性估計。最後則將本研究提出的估計方法應用在實證研究上,探討14個東歐國家在轉型期間其技術與配置效率的衡量,使用不平衡縱橫資料,共340家商業銀行進行實證分析。
    Conventional parametric stochastic cost frontier models are likely to suffer from biased inferences due to misspecification and the ignorance of allocative efficiency (AE). To fill up the gap in the literature, this article proposes a semiparametric stochastic cost frontier with shadow input prices that combines a parametric portion with a nonparametric portion and that allows for the presence of both technical efficiency (TE) and AE. The introduction of AE and the nonparametric function into the cost function complicates substantially the estimation procedure. We develop a new estimation procedure that leads to consistent estimators and valid TE and AE measures, which are proved by conducting Monte Carlo simulations. An empirical study using unbalanced panel data on 340 commercial banks from 14 East European countries over the period 1993-2004 is performed to help shed some light on the usefulness of our procedure.
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    Description: 博士
    國立政治大學
    金融研究所
    94352511
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352511
    Data Type: thesis
    DOI 連結: http://dx.doi.org/10.1007/s11123-012-0316-9
    DOI: 10.1007/s11123-012-0316-9
    Appears in Collections:[金融學系] 學位論文

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