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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/114843


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    题名: A new approach to estimating a profit frontier using the censored stochastic frontier model
    作者: 黃台心
    Huang, Tai-Hsin
    Chiang, Dien-Lin
    Lin, Chung-I
    贡献者: 金融系
    关键词: Translog profit frontier;Censored stochastic frontier model;Profit efficiency
    日期: 2017-01
    上传时间: 2017-11-21 17:40:41 (UTC+8)
    摘要: The translog profit functional form is widely used to study technical efficiency for banks. Although this functional form is known as being flexible, it is not applicable to those banks incurring economic losses. The recently developed approach, i.e., the censored stochastic frontier model (CSFM), by Tsay et al. (2013) appears to be superior to existing approaches, since CSFM does not need to transform negative profit into positive profit before taking the natural logarithm. The transformation with respect to the profit variable tends to bias the parameter estimates of the profit frontier and the subsequent profit efficiency measure. We show that the parameter estimates of CSFM have the desirable statistical properties. Moreover, empirical results reveal that the mean profit efficiency of CSFM is more robust than those models using transformed profits across the sub-periods 1991–1998 and 1999–2009.
    關聯: The North American Journal of Economics and Finance, 39, 68-77
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.najef.2016.12.001
    DOI: 10.1016/j.najef.2016.12.001
    显示于类别:[金融學系] 期刊論文

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