Estimation of a panel data model with parametric temporal variation in individual effects |
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| Institution: | 1. Federal Reserve Bank of Atlanta, United States;2. University of Toronto, Canada;3. Imperial College London and Queen Mary University of London, United Kingdom;1. Unidad Medicina Intensiva, Hospital de Mataró, Barcelona, Spain;2. Unidad de Investigación, Hospital de Mataró, Barcelona, Spain;3. Unidad de Investigación Médica en Infección e Inmunidad (IMI), Hospital Clínico Universitario de Valladolid SACYL/IECSCYL, Barcelona, Spain;4. Universitat Autònoma de Barcelona, Barcelona, Spain;5. Ciber Enfermedades Respiratorias (CIBERES), Barcelona, Spain |
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| Abstract: | This paper is an extension of Ahn et al. (J. Econom. 101 (2001) 219) 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 (J. Econom. 46 (1990) 201) and Battese and Coelli (J. Prod. Anal. 3 (1992) 153). 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 white noise errors it is less efficient than a GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks. |
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