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題名:探討半參數隨機邊界模型的技術與配置效率之一致性估計方法
作者:陳冠臻 引用關係
作者(外文):Chen, Kuan Chen
校院名稱:國立政治大學
系所名稱:金融研究所
指導教授:黃台心
學位類別:博士
出版日期:2010
主題關鍵詞:半參數成本邊界核估計式影子價格技術效率配置效率semiparametric cost frontierkernel estimationshadow pricestechnical efficiencyallocative efficiency
原始連結:連回原系統網址new window
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  • 點閱點閱:38
傳統參數隨機成本邊界模型需事先假設其函數型態,但真正的函數型態未知,若是假設錯誤的函數型態可能存在模型設定誤差,另外過去估計成本函數時,大多著重於技術效率的衡量,而忽略配置效率,如此一來,將導致模型參數估計產生偏誤,影響後來效率的計算。基於上述的問題,本研究將應用半參數隨機成本邊界模型且同時考量技術效率與配置效率,不但函數設定具有彈性且能正確的衡量效率值,然而在考量配置效率的衡量後,增加模型估計的困難度,使得估計收斂不易,因此本研究提出一個五階段的估計步驟,應用蒙地卡羅模擬進行分析,該估計步驟不但能簡化估計且能得到技術與配置效率的一致性估計。最後則將本研究提出的估計方法應用在實證研究上,探討14個東歐國家在轉型期間其技術與配置效率的衡量,使用不平衡縱橫資料,共340家商業銀行進行實證分析。
Conventional parametric stochastic cost frontier models are likely to suffer from biased inferences due to misspecification and the ignorance of allocative efficiency (AE). To fill up the gap in the literature, this article proposes a semiparametric stochastic cost frontier with shadow input prices that combines a parametric portion with a nonparametric portion and that allows for the presence of both technical efficiency (TE) and AE. The introduction of AE and the nonparametric function into the cost function complicates substantially the estimation procedure. We develop a new estimation procedure that leads to consistent estimators and valid TE and AE measures, which are proved by conducting Monte Carlo simulations. An empirical study using unbalanced panel data on 340 commercial banks from 14 East European countries over the period 1993-2004 is performed to help shed some light on the usefulness of our procedure.
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