FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERALIZED TRUE RANDOM‐EFFECTS model
提出一个面板数据随机前沿模型，将企业异质性与持久性和暂时性技术无效率分离，并用贝叶斯方法估计，蒙特卡洛模拟和银行数据验证了模型有效性。
SUMMARY This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time‐invariant/long‐term) and transient (time‐varying/short‐term) technical inefficiency. The model gives us a four‐way error component model, viz., persistent and time‐varying inefficiency, random firm effects and noise. We use Bayesian methods of inference to provide robust and efficient methods of estimating inefficiency components in this four‐way error component model. Monte Carlo results are provided to validate its performance. We also present results from an empirical application that uses a large panel of US commercial banks. Copyright © 2012 John Wiley & Sons, Ltd.