GMM estimation of linear panel data models with time-varying individual effects

Abstract. Most of the literature related to the measurement of economic efficiency has based its analysis either on parametric or on non-parametric frontier methods. The choice of estimation method has been an issue of debate, with some researchers preferring the parametric and others the non-parametric approach. The aim of this paper is to provide a critical and detailed review of both core frontier methods. In our opinion, no approach is strictly preferable to any other. Moreover, a careful consideration of their main advantages and disadvantages, of the data set utilized, and of the intrinsic characteristics of the framework under analysis will help us in the correct implementation of these techniques. Recent developments in frontier techniques and economic efficiency measurement such as Bayesian techniques, bootstrapping, duality theory and the analysis of sampling asymptotic properties are also considered in this paper.

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“…34. A generalized method of moments is proposed to estimate the Lee and Schmidt model in Ahn, Lee and Schmidt (1994). 35.…”

Section: Discussionmentioning

confidence: 99%

Economic Efficiency and Frontier Techniques

Zamorano

2004

Journal of Economic Surveys

320

179

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“…Another major shortcoming of SURE model is that it doesn't consider the time variant in the model. Although, Ahn et al (2001) proposed generalized method of moments (GMM) to address this problem but still this estimation assumes the error term be identical and independently distributed, which might be other around in practice. Whereas, mean group (MG) estimator based on the common correlated effect (named as CCEMG) is asymptotically unbiased as N→∞ for both T fixed and T→∞.…”

Section: Iiiii Panel Methodsmentioning

confidence: 99%

Remittance and domestic labor productivity: Evidence from remittance recipient countries

et al. 2015

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For countries with significant labor force like China, India, Bangladesh, Pakistan etc. any longrun growth strategy should focus on augmenting the domestic labor productivity. The advent of globalization and factor mobility has given a recipe to reap up gains from labor abundance for most of the labor abundant countries by strategically converting abundant labor into capital. However, remittance inflow may become counterproductive strategy for growth, if it is viewed within the work-leisure framework. Using heterogeneous non-stationary panel data with crosssectional bias this empirical study explores the best fitted estimator to explain remittance and labor productivity dynamics for 21 top remittance recipient countries of the world. Our results suggest that though remittance has a positive impact on domestic labor productivity; however, there is new evidence that such impact diminishes after certain level.

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“…Examples are Cornwell, Schmidt and Sickles (1990), Kumbhakar (1990), Battese and Coelli (1992), Lee and Schmidt (1993) and Ahn, Lee and Schmidt (1995). While these studies propose flexible ways to estimate the temporal pattern of time-series variations in firms' inefficiency levels, they do so at the cost of imposing arbitrary restrictions on the dynamics.…”

Section: Introductionmentioning

confidence: 99%

Estimation of long-run inefficiency levels: a dynamic frontier approach

Ahn

Sickles²

2000

Econometric Reviews

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Cornwell, Schmidt, and Sickles (1990) and Kumbhakar (1990), among others, developed stochastic frontier production models which allow firm specific inefficiency levels to change over time. These studies assumed arbitrary restrictions on the short-run dynamics of efficiency levels which have little theoretical justification. Further, the models are inappropriate for estimation of long-run efficiencies. We consider estimation of an alternative frontier model in which firmspecific technical inefficiency levels are autoregressive. This model is particularly useful to examine a potential dynamic link between technical innovations and production inefficiency levels. We apply our methodology to a panel of US airlines.

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GMM estimation of linear panel data models with time-varying individual effects

Cited by 208 publications

References 26 publications

Economic Efficiency and Frontier Techniques

Economic Efficiency and Frontier Techniques

Remittance and domestic labor productivity: Evidence from remittance recipient countries

Estimation of long-run inefficiency levels: a dynamic frontier approach

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