رسالة جامعية
Estimating the Fixed-Effect Stochastic Frontier Models with Error in Variables: A GMM Method
| العنوان: | Estimating the Fixed-Effect Stochastic Frontier Models with Error in Variables: A GMM Method |
|---|---|
| العنوان البديل: | 估計具固定效果的隨機邊界模型的變數衡量誤差問題：一般動差估計法 |
| المؤلفون: | TONG ZHOU, 周童 |
| مرشدي الرسالة: | Hung-Jen Wang, 王泓仁 |
| سنة النشر: | 2016 |
| المجموعة: | National Digital Library of Theses and Dissertations in Taiwan |
| الوصف: | 104 Since Greene (2005) introduced the true-fixed effect stochastic frontier (TFESF) model, its estimation method has been gaining attention due to the complication from the heterogeneous effects (incidental parameters problem) in the microeconometric analysis. Traditional MLE methods have trouble dealing with it because of its inherently complex likelihood functions. The estimation also deteriorates into serious bias when measurement error problem arises for fixed effect panel data models. This paper proposes a two-step estimation strategy to address the two aforementioned problems. In the first step, we extend Hong and Tamer(2003) to obtain a consistent estimator of interest and the measurement error''s variance needed to estimate ineffciency parameters in stochastic frontier analysis in the second step. Then, we show how to extend Chen and Wang(2015) and derive the MoM estimator for TFESF models when its composite error varies in distribution. We derive closed-form estimators for two-parameter models (normal-half nor-mal or normal-exponential). Finally, simulation results indicate that our MoM estimators have good performance for finite sample sizes. |
| Original Identifier: | 104NTU05389019 |
| نوع الوثيقة: | 學位論文 ; thesis |
| وصف الملف: | 25 |
| الإتاحة: | http://ndltd.ncl.edu.tw/handle/03438499332762922393Test |
| رقم الانضمام: | edsndl.TW.104NTU05389019 |
| قاعدة البيانات: | Networked Digital Library of Theses & Dissertations |
| الوصف غير متاح. |