English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88866/118573 (75%)
Visitors : 23566310      Online Users : 208
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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
    Chen, Kuan Chen
    Keywords: 半參數成本邊界
    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.
    Reference: Aigner, D.J., C.A.K. Lovell and P. Schmidt (1977) “Formulation and estimation of stochastic frontier production function models,” Journal of Econometrics, 6, 21-37.
    Altunbas, Y., E.P.M. Gardener, P. Molyneux, and B. Moore (2001) “Efficiency in European banking,” European Economic Review, 45, 1931-1955.
    Atkinson, S.E. and C. Cornwell (1994) “Parametric estimation of technical and allocative inefficiency with panel data,” International Economic Review, 35, 231- 243.
    Battese, G.E. and T.J. Coelli (1992) “Frontier production functions, technical efficiency and panel data:with application to paddy farmers in India,” Journal of Productivity Analysis, 3, 153-169.
    Bauer, P.W. (1990) “Recent development in the econometric estimation of frontiers,” Journal of Econometrics, 46, 39-56.
    Berger, A.N., G.A. Hancock, and D.B. Humphrey (1993) “Bank efficiency derived from the profit function,” Journal of Banking and Finance, 17, 317-347.
    Bonin, J.P., I. Hasan and P. Wachtel (2005a) “Bank performance, efficiency and ownership in transition countries,” Journal of Banking and Finance, 29, 31-53.
    Bonin, J.P., I. Hasan and P. Wachtel (2005b) “Privatization matters: Bank efficiency in transition countries,” Journal of Banking and Finance, 29, 2155-2178.
    Bos, J.W.B. and H. Schmiedel (2007) “Is there a single frontier in a single European banking market?” Journal of Banking and Finance, 31, 2081-2102.
    Deng, W.S. and T.H. Huang (2008) “A semiparametric approach to the estimation of the stochastic frontier model with time-variant technical efficiency,” Academia Economic Papers, 36, 167-193.
    Fan, Y. and Q. Li (1992) “The asymptotic expansion of kernel sum of square residuals and its application in hypotheses testing,” discussion paper, University of Windsor, Department of Economics.
    Fan, Y., Q. Li and A. Weersink (1996) “Semiparametric estimation of stochastic production frontier models,” Journal of Business and Economic Statistics, 14, 460-468.
    Ferrier, G.D. and C.A.K. Lovell (1990) “Measuring cost efficiency in banking,” Journal of Econometrics, 46, 229-245.
    Fries, S. and A. Taci (2005) “Cost efficiency of banks in transition: Evidence from 289 banks in 15 post-communist,” Journal of Banking and Finance, 29, 55- 81.
    Härdle, W. (1990), Applied Nonparametric Regression, U.K.: Cambridge University Press.
    Härdle, W and T.M. Stoker (1989) “Investigating smooth multiple regression by the method of average derivatives,” Journal of the American Statistical Association, 84, 986-995.
    Hasan, I. and K. Marton (2003) “Development and efficiency of the banking sector in a transitional economy: Hungarian experience,” Journal of Banking and Finance, 27, 2249-2271.
    Huang, T.H. (2000) “Estimating X-efficiency in Taiwanese banking using a Translog shadow profit function,” Journal of Productivity Analysis, 14, 225- 245.
    Huang, T.H. and M.H. Wang (2004) “Comparisons of economic inefficiency between output and input measures of technical inefficiency using Fourier flexible cost frontiers,” Journal of Productivity Analysis, 22, 123-142.
    Jemric, I. and B. Vujcic (2002) “Efficiency of banks in Croatia: a DEA approach,” Comparative Economic Studies, 44, 169-193.
    Kraft, E. and D. Tirtiroglu (1998) “Bank efficiency in Croatia: A stochastic frontier analysis,” Journal of Comparative Economics, 26, 282- 300.
    Kumbhakar, S.C. (1991) “The measurement and decomposition of cost inefficiency: The translog cost system,” Oxford Economic Papers, 43, 667-683.
    Kumbhakar, S.C. (1996a) “A parametric approach to efficiency measurement using a flexible profit function,” Southern Economic Journal, 473-487.
    Kumbhakar, S.C. (1996b) “Efficiency measurement with multiple outputs and multiple inputs,” Journal of Productivity Analysis, 7, 225-256.
    Kumbhakar, S.C. (1997) “Modeling allocative inefficiency in a translog cost function and cost share equations: An exact relationship,” Journal of Econometrics, 76, 351-356.
    Kumbhakar, S.C. and C.A.K. Lovell (2000), Stochastic Frontier Analysis, Cambridge University Press.
    Kumbhakar, S.C. and H.J. Wang (2006a) “Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis,” Journal of Econometrics, 134, 317-340.
    Kumbhakar, S.C. and H.J. Wang (2006b) “Estimation of technical and allocative inefficiency: a primal system approach,” Journal of Econometrics, 134, 419-440.
    Meeusen, W., and J. Van Den Broeck (1977) “Efficiency estimation from Cobb-Douglas production functions with composed error,” International Economic Review, 18, 435-444.
    Nadaraya, E.A. (1964) “On estimating regression,” Theory of Probability and Its Applications, 10, 186-190.
    Nikiel, E.M. and T.P. Opiela (2002) “Customer type and bank efficiency in Poland implications for emerging market banking,” Contemporary Economic Policy, 20, 255-271.
    Olson, J.A., P. Schmidt, and D.M. Waldman (1980) “A Monte Carlo study of estimators of stochastic frontier production,” Journal of Econometrics, 13, 67-82.
    Robinson, P.M. (1988), “Root-N-Consistent semiparametric regression,” Econometrica, 56, 931-954.
    Schmidt P. and R.C. Sickles (1984),“Production frontiers and panel data,”Journal of Business and Economic Statistics, 2, 367-374.
    Wand, M.P. and M.C. Jones (1995), Kernel smoothing, New York:Chapman and Hall Press.
    Watson, G..S. (1964) “Smooth regression analysis,” Sankhya, Series A, 26, 359-372.
    Weill, L. (2004) “Measuring cost efficiency in European banking: A comparison of frontier techniques,” Journal of Productivity Analysis, 21, 133-152.
    Wheelock, D.C. and P.W. Wilson (2001) “New evidence on returns to scale and product mix among U.S. commercial banks,” Journal of Monetary Economics, 47, 653-674.
    Yatchew, A. (1998) “Nonparametric regression techniques in economics,” Journal of Economic Literature, 36, 669-721.
    Yatchew, A. (2003), Semiparametric Regression for the Applied Econometrician, U.K.: Cambridge University Press.
    Yildirim, H.S. and G.C. Philippatos (2007), Efficiency of banks: Recent evidence from the transition economics of Europe — 1993-2000, European Journal of Finance, 13, 123-143.
    Description: 博士
    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

    Files in This Item:

    File SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback