We use a bivariate VAR model to model and predict the joint evolution of short term and long term interest rates. We introduce a GARCH effect on the innovations of the model in order to account for the changing volatility of the series. We test the cointegration of the two interest rates, which...

The American electric utility data, which are frequently analyzed in the context of frontier models, can be explained by a linear model without inefficiencies. the observed maximum likelihood for this linear model is very mildly smaller than the maximum likelihood for more flexible stochastic...

The main objective of the paper is to present a general framework for estimating production frontier models with panel data: a sample of firms i = 1, ... ,N is observed on several time periods t = 1. . .. , T. In this framework , nonparametric stochastic models for the frontier will be analysed....

This paper considers the semiparametric stochastic frontier model with panel data which arises in the problem of measuring technical inefficiency in production processes. We assume a parametric form for the frontier function, which is linear in production inputs. The density of the individual...

This paper develops a consistent bootstrap estimation procedure for obtaining confidence intervals for Malmquist indices of productivity and their decompositions. Although the exposition is in terms of input-oriented indices, the techniques can he trivially extended to the output orientation....

In Grosskopf (1995) and Banker (1995) different approaches and problems of statistical inference in DEA frontier models are presented. This paper focuses on the basic characteristics of DEA models from a statistical point of view. It arose from comments and discussions on both papers above. The...

This paper generalizes the results of Hausman and Taylor (1981), Schmidt and Sickles (1984), Cornwell, Schmidt and Sickles (1990) and Park and Simar (1992) to the efficient IV estimation of panel models in which the random effects are correlated with a subset of the regressors. The model in...

This paper complements the results of Hausman and Taylor (1981) and Cornwell, Schmidt and Sickles (1990) and generalizes Park and Simar (1994) by examining the semiparametric efficient estimation of panel models in which the random effects and the regressors have certain patterns of correlation....

A way for measuring the efficiency of enterprises is via the estimation of the so-called production frontier, which is the upper boundary of the support of the population density in the input and output space. It is reasonable to assume that the production frontier is a concave monotone...

Several recent papers in the American Economic Review examined important questions regarding productivity growth and its sources in industrialized countries: Fare, Grosskopf, Norris, and Zhang (FGNZ),1994 and Ray and Desli (RD), 1997. We examine two sets of issues raised by these papers, and...