Smooth coefficient estimation of a seemingly unrelated regression

Daniel Henderson (), Subal Kumbhakar, Qi Li and Christopher Parmeter

Journal of Econometrics, 2015, vol. 189, issue 1, 148-162

Abstract: This paper proposes estimation and inference for the semiparametric smooth coefficient seemingly unrelated regression model. We discuss the imposition of cross-equation restrictions which are required by economic theory as well as methods for data driven bandwidth selection. A test of correct functional form for the entire system of equations is also constructed. Asymptotic and finite sample results are given. We illustrate our estimator by applying it to a cost system for US commercial banks. Our results show that most of the banks are operating under increasing returns to scale, but that returns to scale decrease with bank size.

Keywords: Semiparametric smooth coefficient model; System estimation; Bandwidth selection; Banking (search for similar items in EconPapers)
JEL-codes: C14 C39 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:1:p:148-162

DOI: 10.1016/j.jeconom.2015.07.002

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