縱橫資料下隨機邊界模型之技術效率的半參數估計方法

Semiparametric Estimation Method for Stochastic Production Frontier Panel Data Model with Time-Invariant Technical Efficiency

梁永能(Yung-Neng Liang)

指導教授 ： 鄧文舜

淡江大學/管理學院/統計學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00450

摘要

Deng 和Huang (2008) 延伸了Fan et al. (1996)所提出的橫斷面資料下的半參數隨機生產邊界模型為縱橫資料下的時間變量(time-variant)半參數隨機邊界模型，其方法容許技術效率隨時間改變。本論文參考Deng 和Huang (2008)的方法，探討的是縱橫資料下時間不變量(time-invariant)半參數隨機邊界模型，文中假定的技術效率是不會隨著時間的改變而改變，並且利用無母數迴歸的技巧來建構模型組合誤差項未知參數的估計量。經由蒙地卡羅模擬研究結果發現，本文所提出的估計方法是具有一致性(consistent)，因此適合應用在隨機邊界生產函數的估計。最後採用了96間台灣電子產業公司的資料來進行實證分析。

關鍵字

半參數隨機生產邊界模型 ； 核估計量 ； 技術效率 ； 縱橫資料 ； 組合誤差項

並列摘要

Deng and Haung (2008) extend the semiparametric stochastic frontier model of Fan et al. (1996). A semiparametric estimation procedure suitable for the case when panel data are available is proposed and time varying technical efficiency allowed therein. This dissertation considers the extended model with panel data and time-invariant technical efficiency. The proposed semiparametric estimation procedure is similar to that of Deng and Huang (2008) and also provides consistent estimators of the model parameters as demonstrated by the Monte Carlo simulations. An empirical application of the proposed procedure, which employs the panel data from 96 Taiwanese electronic firms over the period 1996-2001, is carried out.

並列關鍵字

Semiparametric stochastic production frontier model ； Kernel estimators ； Technical efficiency ； Panel data ； Composed error

參考文獻

Deng, W. S. and Huang, T. H. (2008), A Semiparametric Approach to Estimation of the Stochastic Frontier Model with Time-Variant Technical Efficiency, Academia Economic Papers, To appear.

Aigner, D. J. and S. F. Chu (1968), On Estimation the Industry Production Function, American Economic Review, 58, 826-839.

Aigner, D. J., C. A. K. Lovell, and C. P. Schmidt (1977), Formulation and Estimation of Stochastic Frontier Production Function Models, Journal of Econometrics, 6, 21-37.

Afriat, S. N. (1972), Efficiency Estimation of Production Functions, International Economic Review, 13, 568-598.

Battese, G. E. and T. J. Coelli (1992), Frontier Productions, Technical Efficiency and Panel Data: With Application to Paddy Farmers in India, Journal of Productivity Analysis, 3, 159-169.