Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity

Liu, Junrong; Sickles, Robin C.; Tsionas, Efthymios G.

doi:10.3390/econometrics5030033

Cited by 11 publications

(6 citation statements)

References 35 publications

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“…Bayesian estimators of panel stochastic frontiers have been developed by Liu et al . (), which builds on earlier work by Van den Broeck, Koop, Osiewalski, and Steel (1994) and Tsionas (). The Bounded Inefficiency Model of Almanidis et al .…”

Section: Decomposition Of Economic Growth‐innovation and Efficiency Cmentioning

confidence: 59%

“…Space limits the possibility of dealing with the many other approaches that have been proposed to estimate the panel stochastic frontier and provide a decomposition of TFP growth into innovative and catch-up, or technical efficiency. Bayesian estimators of panel stochastic frontiers have been developed by Liu et al (2017), which builds on earlier work by Van den Broeck, Koop, Osiewalski, and Steel (1994) and Tsionas (2006). The Bounded Inefficiency Model of Almanidis et al (2014) and related models of Lee (1996), Lee and Lee (2012), and Orea and Steinbuks (2012), and the "True" Fixed Effects Model of Greene (2005a,b) are also possible estimators to consider.…”

Section: Decomposition Of Economic Growth-innovation and Efficiency Cmentioning

confidence: 99%

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World Productivity Growth: A Model Averaging Approach

Duygun

Hao

Isaksson

et al. 2017

Pacific Economic Review

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Policy makers and the economic researchers who provide them estimates of economic activity need to have an informative and scientifically‐based method to develop a consensus estimate for the most basic of the productivity measures, total factor productivity (TFP) growth. We discuss methods to combine the various estimates based on different empirical specifications that model and estimate productivity growth. We also discuss the various econometric approaches used in the profession to estimate productivity growth. Our focus is on world TFP growth.

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Section: Decomposition Of Economic Growth‐innovation and Efficiency Cmentioning

confidence: 59%

Section: Decomposition Of Economic Growth-innovation and Efficiency Cmentioning

confidence: 99%

World Productivity Growth: A Model Averaging Approach

Duygun

Hao

Isaksson

et al. 2017

Pacific Economic Review

View full text Add to dashboard Cite

show abstract

“…Finally, as in virtually any other field involving statistics, various Bayesian approaches for SFA have been developed. Among the classical works on this are due to Koop et al (1994Koop et al ( , 1995Koop et al ( , 1997Koop et al ( , 1999 and more recently by Griffin and Steel (2007), Tsionas and Papadakis (2010) and Liu et al (2017), to mention a few. For the context of banking these types of models were considered by Kumbhakar and Tsionas (2005) and Malikov et al (2016), to mention examples.…”

Section: Other Variations Of Sfamentioning

confidence: 99%

Review of Modern Approaches for Assessing the Effectiveness of Banking

Леонов¹

2021

JAER

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In the current circumstances of digital transformation of the economy, the study of the efficiency of commercial banks is widely demanded and provides an opportunity for identifying the prerequisites for the formation of a sustainable financial system. Despite the large number of scientific publications in this field, there are no systematic studies that summarize the existing methodological framework for the study of the effectiveness of banking activities. The purpose of the article is to critically analyze the approaches to assessing the efficiency of banking activities and prospects for its improvement in the digital economy. The complexity of assessing the effectiveness of commercial banks consists in the multiplicity of forms of output and resources used for this process. In this study, the author puts forward a hypothesis that the implementation of modern approaches and methods to assess the effectiveness of banking activities can improve the accuracy of the assessment itself, and help identify factors that increase the effectiveness of such activities. The article is based on English-language scientific papers published in between 2016 and 2020 and indexed in the international scientometric database «Web of Science». The author applies the method of systematic bibliographic study of the set of publications, highlights the main discussion issues of the recent years, namely, research methodology, internal efficiency factors, country specifics of banking activities. The article reveals the content, certain issues, and the limits of the applicability of the nonparametric method of data envelopment analysis and the parametric method of stochastic frontier analysis in assessing the effectiveness of activities. Particular attention is paid to the generalization of research results in terms of identifying factors that have a significant impact on the effectiveness of commercial banks: ownership structure, returns to scale, regulation. The author highlights the increasing role of information technology as a key production factor, highlights the phenomenon of breaking the value chain in banking activities, the formation of new business models and the functioning of banking ecosystems. The scientific and practical significance of the article lies in the gain of knowledge, which might provide the basis for the development of measures to improve banking regulation, as well as serve as the framework for the identification of the most effective forms of banking intermediation.

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“…They focus on the asymptotics with large N and small T , in which case the TFE estimator is not consistent without the error being i.i.d. Liu et al (2017) use Bayesian stochastic frontier models, the other category of estimation method besides the traditional method using least squares or MLE. Their models do not rely on restrictive prior information and assume timevarying heterogeneous individual effects, following the previous models of Kneip et al (2012), Ahn et al (2013), Bai (2013), and Bai and Carrion-i-Silverstre (2013).…”

Section: Measurement Of Efficiencymentioning

confidence: 99%

The agency problem revisited: a structural analysis of managerial productivity and CEO compensation in large US commercial banks

Sickles

2020

Empir Econ

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The paper analyzes performance, incentives, and the inefficiencies that may arise due to agency problems and market power using a newly developed panel of large US commercial banks that have too-big-to-fail nature. We use a structural model to characterize managerial efficiency, which complements technical efficiency in standard stochastic frontier models. We incorporate managerial decisions, bank-specific characteristics, and market competition in deriving managerial efficiency. Data on the 50 largest commercial banks in the USA during 2000 and 2017 are collected from the Call Reports and are matched with CEO compensation from S&P's ExecuComp database. The paper connects empirical evidence with economic theory and contributes to the literature on efficiency and management. The ultimate goal is to better understand the linkages among managerial performance, CEO compensation, and the size and scope of bank operations. Current results point to robust empirical findings. Economies of scale have steadily declined throughout the period and are not positively related to managerial performance and CEO compensation. The size of a bank does not seem to be justified by the evidence in that larger banks offer larger bonuses and tend to have lower managerial efficiency and diminishing scale economies.

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Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity

Cited by 11 publications

References 35 publications

World Productivity Growth: A Model Averaging Approach

World Productivity Growth: A Model Averaging Approach

Review of Modern Approaches for Assessing the Effectiveness of Banking

The agency problem revisited: a structural analysis of managerial productivity and CEO compensation in large US commercial banks

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