شماره ركورد كنفرانس
5549
عنوان مقاله
Panel nonlinear autoregressive stochastic frontier models with dynamic technical inefficiency
پديدآورندگان
Feizi Bahareh (feizi.bahareh@yahoo.com) Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran , Pourdarvish Ahmad (a.pourdarvish@umz.ac.ir) Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran
تعداد صفحه
5
كليدواژه
Semiparametric stochastic frontiers , Technical inefficiency , Panel data , Expectation maximization.
سال انتشار
1399
عنوان كنفرانس
دوازدهمين همايش ملي تخصصي آمار دانشگاه پيام نور
زبان مدرك
انگليسي
چكيده فارسي
In this paper, we consider the relationship of an autoregressive panel data to exogenous variable. In standard regression for finance data, it has been assumed the errors are uncorrelated, but this assumption fails in practical data. So, we introduce nonlinear autoregressive panel stochastic frontier model that error consists of statistical error and technical inefficiency. A semiparametric approach is proposed to estimate nonlinear autoregressive function for the model and apply Taylor series expansion, which has a parametric framework as a representation of the nonlinear function. Expectation maximization estimation method is applied for parametric estimation and the obtained nonlinear autoregressive function is adjusted by a nonparametric factor.
كشور
ايران
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