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dc.contributor.authorBehr, Andreasen_US
dc.contributor.authorTente, Sebastianen_US
dc.date.accessioned2009-01-23en_US
dc.date.accessioned2009-08-13T10:00:42Z-
dc.date.available2009-08-13T10:00:42Z-
dc.date.issued2008en_US
dc.identifier.isbn978-3-86558-464-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/27682-
dc.description.abstractThe stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a half-normal distributed inefficiency term is applied, but other distributions are also discussed in relevant literature. The natural estimation method seems to be Maximum Likelihood (ML) estimation because of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of moments approach (MOM) (Olson et al., 1980) is superior for small and medium sized samples in combination with inefficiency not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we obtain decision rules for the choice of the superior estimation approach. Both estimation methods, ML and MOM, are applied to a sample of German commercial banks based on the Bankscope database for estimation of cost efficiency scores.en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and financial studies 2008,19en_US
dc.subject.jelC13en_US
dc.subject.jelD24en_US
dc.subject.ddc330en_US
dc.subject.keywordstochastic frontieren_US
dc.subject.keywordMaximum Likelihooden_US
dc.subject.keywordMethod of momentsen_US
dc.subject.keywordBank efficiencyen_US
dc.subject.stwTechnische Effizienzen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwMaximum-Likelihood-Methodeen_US
dc.subject.stwMomentenmethodeen_US
dc.subject.stwSimulationen_US
dc.subject.stwBanken_US
dc.subject.stwKostenstrukturen_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.titleStochastic frontier analysis by means of maximum likelihood and the method of momentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn589856022en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:200819-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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