隨機(jī)邊界模型課件

1、隨機(jī)邊界模型Stochastic Frontier Models連玉君中山大學(xué) 嶺南學(xué)院2013年12月9日 New Course: /Default.aspx?id=93 提綱SFA 簡(jiǎn)介截面SFA模型面板SFA模型雙邊SFA模型I. SFA 簡(jiǎn)介SFA 的模型設(shè)定思想SFA 圖示y1Source: Porcelli(2009)實(shí)證分析中的模型設(shè)定Q: 兩個(gè)干擾項(xiàng)如何處理？Note: 假設(shè) v, u 不相關(guān)，且二者與 x 也不相關(guān)正態(tài)分布和半正態(tài)分布的密度函數(shù)圖指數(shù)分布的密度函數(shù)圖半正態(tài)分布和指數(shù)分布對(duì)比效率的估計(jì)Jondrow, Lovell, Materov and Schmidt (1

2、982)，JLMS82 Battese and Coelli (1988)，BC88 Review: linear FE v.s. RE)FE (Fixed Effect Model) RE (Random Effect Model)Pooled OLSII. 面板隨機(jī)邊界模型Panel SFA可能的通用模型： ai : 公司個(gè)體效應(yīng), N -1 個(gè)公司虛擬變量; i : 不隨時(shí)間變化的常規(guī)干擾項(xiàng); vit : 隨時(shí)間變化的常規(guī)干擾項(xiàng); +i : 不隨時(shí)間變化的無(wú)效率項(xiàng) (persistent component) u+it : 隨時(shí)間變化的無(wú)效率項(xiàng) (transient component)

3、II. 面板隨機(jī)邊界模型Panel SFAPanel SFA: Pooled SFA modelPitt and Lee (1981), PL81 Panel SFA:隨機(jī)效應(yīng)模型 (RE-SFA)效率不隨時(shí)間變化Schmidt and Sickles (1984), SS84TE的估計(jì)Panel SFA:固定效應(yīng)模型 (FE-SFA)效率不隨時(shí)間變化Cornwell, Schmidt and Sickles (1990), CSS90Lee and Schmidt (1993), LS93Panel SFA: 效率時(shí)變模型Battese and Coelli(1992), BC92, 應(yīng)用非

4、常廣泛Panel SFA: 效率時(shí)變模型Greene難題 (Greene Problem)True-Model:Estimate-Model: Implications: TE 的估計(jì)值將是有偏的把那些個(gè)體異質(zhì)性(公司文化, CEO特征等)影響產(chǎn)出的因素都?xì)w為“無(wú)效率項(xiàng)”了Panel SFA: True FE SFAGreene(2005), TFE估計(jì)方法: 蠻力法 (brute force approach)直接估 N 個(gè)公司虛擬變量和 k 個(gè) 參數(shù)即可需要采用一些特殊的數(shù)值計(jì)算技巧Panel SFA: True FE SFAGreene(2005), TRE估計(jì)方法: MLE相對(duì)于傳統(tǒng)的

5、線性 RE 模型，只是增加了一個(gè)參數(shù)而已Panel SFA: True RE SFATsionas and Kumbhakar (2013), G-TRE對(duì)比: TREPanel SFA: Generalized TRE SFAWang and Ho (2010), Scaling-TFEgit：scaling function, 是公司特征變量(zit)的函數(shù)git：可以使非效率具有異質(zhì)性；git：縮放性質(zhì)使得我們可以用FD或組內(nèi)去心去除個(gè)體效應(yīng) iPanel SFA: Scaling-TFE SFAAhn and Sickles (2000), Dynamic-SFAi ：用于衡量第 i

6、家公司對(duì)非效率項(xiàng)的調(diào)整能力(speed)i 越大，表明公司克服其非效率行為的能力越強(qiáng)Panel SFA: dynamic SFA異質(zhì)性 SFA: Heterogeneous SFA基本思想模型設(shè)定思想異方差的設(shè)定(不確定性)均值的設(shè)定(無(wú)效率水平)異質(zhì)性 SFA: Heterogeneous SFA基本思想雙邊隨機(jī)邊界模型: two-tier SFA模型設(shè)定效率的估計(jì)雙邊隨機(jī)邊界模型: two-tier SFAThanksNew Course: /Default.aspx?id=93 References 1Aigner, D., C. Lovell, P. Schmidt, 1977, Fo

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