Inference in dynamic stochastic frontier models
提出一个允许技术无效率效应和动态技术无效率的随机前沿模型，使用贝叶斯推断方法提供推断和公司特定效率度量，并应用于1989-2000年美国大型商业银行面板数据。
Abstract An important issue in models of technical efficiency measurement concerns the temporal behaviour of inefficiency. Consideration of dynamic models is necessary but inference in such models is complicated. In this paper we propose a stochastic frontier model that allows for technical inefficiency effects and dynamic technical inefficiency, and use Bayesian inference procedures organized around data augmentation techniques to provide inferences. Also provided are firm‐specific efficiency measures. The new methods are applied to a panel of large US commercial banks over the period 1989–2000. Copyright © 2006 John Wiley & Sons, Ltd.