格林 面板数据讲义-21.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data 21. Stochastic Frontier Models And Efficiency Measurement Applications Banking Accounting Firms, Insurance Firms Health Care: Hospitals, Nursing Homes Higher Education Fishing Sports: Hockey, Baseball World Health Organization – World Health Industries: Railroads, Farming, Several hundred applications in print since 2000 Neoclassical Production Technical Efficiency Technical Inefficiency Regression Basis Maintaining the Theory One Sided Residuals, ui 0 Deterministic Frontier Statistical Approach: Gamma Frontier. Not successful Nonstatistical Approach: Data Envelopment Analysis based on linear programming – wildly successful. Hundreds of applications; an industry with an army of management consultants Gamma Frontier The Stochastic Frontier Model Stochastic Frontier Disturbances Half Normal Model (ALS) Estimating the Stochastic Frontier OLS Slope estimator is unbaised and consistent Constant term is biased downward e’e/N estimates Var[ε]=Var[v]+Var[u]=?v2+ ?u2[(π-2)/ π] No estimates of the variance components Maximum Likelihood The usual properties Likelihood function has two modes: OLS with ?=0 and ML with ?0. Other Possible Distributions Normal vs. Exponential Models Estimating Inefficiency Dual Cost Function Application: Electricity Data OLS – Cost Function ML – Cost Function Estimated Efficiencies Firms Ranked by Output Panel Data Applications Ui is the ‘effect’ Fixed (OLS) or random effect (ML) Is inefficiency fixed over time? ‘True’ fixed and random effects Is inefficiency time varying? Where does heterogeneity show up in the model? Health Care Systems WHO Was Interested in Broad Goals of a Health System They Created a Measure – COMP = Composite Index Did They Rank Countries by COMP? Yes, but that was not what produced the number 37 ranking! The US Ranked 37th in Efficiency! World Health Organization WHO Results Based on FE Model SF Model with Country Heterogeneity Stochastic Front