English  |  正體中文  |  简体中文  |  Items with full text/Total items : 58323/91876 (63%)
Visitors : 14072709      Online Users : 73
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/50338

    Title: 隨機邊界模型的變數衡量誤差問題:一般動差估計法的應用
    Other Titles: Stochastic frontoer models with errors in variables: A GMM approach
    Authors: 王泓仁;陳怡宜
    Contributors: 淡江大學經濟學系
    Keywords: 隨機邊界模型;衡量誤差;一般動差估計式;stochastic frontier model;measurement errors;generalized method of moments
    Date: 2009-03
    Issue Date: 2010-08-09 15:41:13 (UTC+8)
    Publisher: 臺北市:台灣大學經濟學系
    Abstract: 當隨機邊界模型逐漸被應用到不同的研究領域時,如何處理變數衡量誤差的問題,成爲亟待解決的課題。本文針對具有變數衡量誤差問題的隨機邊界模型,提出一組GMM估計式,以求得模型參數的不偏估計值。此GMM估計式是以模型的高階動差爲建構基礎,且是特別針對具有截斷式常態分配的隨機邊界模型所設計,而此類模型正是目前實證應用最廣的模型。蒙地卡羅的模擬結果顯示,該估計式在觀察數爲500的樣本中,即有良好的表現。
    As the use of stochastic frontier (SF) models increases in the various fields of economics and finance, the need to address the problem of measurement errors in variables becomes urgent. In this paper, we propose a generalized method of moment (GMM) estimator for a stochastic frontier model to correct the measurement error problem. The estimator differs from the method of moment (MoM) estimator of Chen and Wang (2004) in two important ways: (1) The GMM estimator is proposed for a SF model with a truncated-normal random variable, which is a more flexible and empirically-popular model than the half-normal SF model targeted by the MoM estimator. (2) The GMM estimator uses more moment conditions and is more efficient. Simulation results show that the GMM estimator performs quite well for data with a reasonable sample size.
    Relation: 經濟論文叢刊=Taiwan Economic Review 37(1),頁1-22
    DOI: 10.6277/ter.2009.371.1
    Appears in Collections:[Graduate Institute & Department of Economics] Journal Article

    Files in This Item:

    File Description SizeFormat
    1018-3833_37(1)p1-22.pdf815KbAdobe PDF357View/Open
    隨機邊界模型的變數衡量誤差問題:一般動差估計法的應用.pdf1398KbAdobe PDF0View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback