Semiparametric-efficient estimation of AR(1) panel data models.

DOI10.1016/S0304-4076(03)00149-0MaRDI QIDQ1414626zbMATH OpenFDO

Authors Byeong U. Park, Robin C. Sickles, Léopold Simar

Publication date 4 December 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(03)00149-0

zbMATH Keywords

Autoregressive processBanking efficiencyPanel dataSemiparametric efficiency

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites work

• Another look at the instrumental variable estimation of error-components models
• Asymptotic efficiency in estimation with conditional moment restrictions
• Efficiency Bounds for Semiparametric Regression
• Efficiency of financial institutions: International survey and directions for future research
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• Efficient estimation of panel data models with strictly exogenous explanatory variables
• Efficient Semiparametric Estimation in a Stochastic Frontier Model
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
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Cited in

(12)

• Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings
• Computation and inference in semiparametric efficient estimation
• Semiparametric efficient estimation of dynamic panel data models
• Nonparametric stochastic frontiers: a local maximum likelihood approach
• A new panel data treatment for heterogeneity in time trends
• An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Semiparametric Efficient Distribution Free Estimation of Panel Models
• Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
• Statistical Approaches for Non‐parametric Frontier Models: A Guided Tour
• Battese-Coelli estimator with endogenous regressors
• On distinguishing the direct causal effect of an intervention from its efficiency-enhancing effects

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