This paper considers models with time-varying individual effects (also known as factor models). The paper extends Ahn, Lee and Schmidt, Journal of Econometrics, 2001 and Bai, Econometrica, 2003 to allow a parametric function of time for the time factor. It provides a fixed-effects treatment of...

In this paper, we are interested in a stochastic frontier model in which observable characteristics of the firms affect their levels of technical inefficiency. Let u ≥ 0 be the one-sided error reflecting technical inefficiency, and let z be a set of variables that affect u. We write u as...

This paper considers the extension to panel data of models that are specified cross-sectionally in terms of a likelihood. It considers specifically the estimation of stochastic frontier models but the same issue arises in many other models. The model can be estimated for any single value of the...