隨機(jī)邊界模型-中山大學(xué)嶺南

1、隨機(jī)邊界模型Stochastic Frontier Models,連玉君中山大學(xué) 嶺南學(xué)院arlionn@163.com2013年12月9日 New Course: http://baoming.pinggu.org/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,y1,,,,,,,,,,,Sourc

2、e: 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 (1982)，JLMS82 Battese and Coelli (1988)，BC88,Review: li

3、near FE v.s. RE)FE (Fixed Effect Model) RE (Random Effect Model)Pooled OLS,II. 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

4、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),II. 面板隨機(jī)邊界模型Panel SFA,,Panel SFA: Pooled SFA model,Pitt 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 (198

5、4), 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), LS93,Panel SFA: 效率時(shí)變模型,,,Battese and Coelli(1992), BC92, 應(yīng)用非常廣泛,Panel SFA: 效率時(shí)變模型,,Greene難題

6、(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 SFA,,,,Greene(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

7、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 SFA,Greene(2005), TRE估計(jì)方法: MLE相對(duì)于傳統(tǒng)的線性 RE 模型，只是增加了一個(gè)參數(shù)而已,Panel SFA: True RE SFA,Tsionas and Kumbhakar (2013), G-TRE對(duì)比: TRE,Panel SFA: Generalized TRE SFA,,Wang and Ho (20

8、10), 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) ?i,Panel SFA: Scaling-TFE SFA,,Ahn and Sickles (2000), Dynamic-SFA?i ：用于衡量第 i 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

9、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 SFA,Thanks,New Cour

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