Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effect

Chirok Han, Luis Orea and Peter Schmidt

No 33511, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

Abstract: This paper is an extenstion of Ahn, Lee and Schmidt (2001) to allow a parametric function for time-varying coefficients of the individual effects. it provides a fixed-effect treatment of models like those proposed by Kumbhakar (1990) and Battese and Coelli (1992). We present a number of GMM estimators based on different sets of assumptions. Least squares has unusual properties: its consistency requires white noise errors, and given the white noise errors it is less efficient than an GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks.

Keywords: Panel Data Models; Parametric temporal variation; Spanish savings banks (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:33511

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