رسالة جامعية

Estimating the Fixed-Effect Stochastic Frontier Models with Error in Variables: A GMM Method

التفاصيل البيبلوغرافية
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
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