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

Peter Schmidt, Chirok Han and Luis Orea

No 519, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper considers models with time-varying individual effects (also known as factor models). The paper extends Ahn, Lee and Schmidt, Journal of Econometrics, 2001 and Bai, Econometrica, 2003 to allow a parametric function of time for the time factor. It provides a fixed-effects treatment of random effects models suggested by Kumbhakar and by Battese and Coelli for the frontier production function problem. The paper presents a number of GMM estimators based on assumptions of different strengths. Least squares has unusual properties: consistency depends on white noise errors, and given white noise errors it is less efficient than a GMM estimator. The model is applied to the measurement of the cost efficiency of Spanish banks

Keywords: GMM; fixed effects; factor model; time-varying individual effects (search for similar items in EconPapers)
JEL-codes: C13 C31 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Estimation of a panel data model with parametric temporal variation in individual effects (2005)
Working Paper: Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects (2002)
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