“…Finally, it is necessary to include country-specific explanatory variables in the estimated stochastic frontier models which describe the macro-economic, demographic and institutional factors of the country of each bank. It is not clear, however, whether these variables should be included in the frontier equation or in the inefficiency distribution (in the line of the paper of Galán, Veiga, & Wiper, 2014). The same can be said with respect to the modelling of the dynamic effects of the stochastic frontier model where, perhaps, AR(1) models could be used to describe their evolution in a more parsimonious way (see, for instance, Galán, Veiga, & Wiper, 2015).…”