Smooth coefficient estimation of a seemingly unrelated regression Academic Article

abstract

• 2015 Elsevier B.V. This paper proposes estimation and inference for the semiparametric smooth coefficient seemingly unrelated regression model. We discuss the imposition of cross-equation restrictions which are required by economic theory as well as methods for data driven bandwidth selection. A test of correct functional form for the entire system of equations is also constructed. Asymptotic and finite sample results are given. We illustrate our estimator by applying it to a cost system for US commercial banks. Our results show that most of the banks are operating under increasing returns to scale, but that returns to scale decrease with bank size.

authors

• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Henderson, D. J., Kumbhakar, S. C., Li, Q. i., & Parmeter, C. F.

citation count

• 26

complete list of authors

• Henderson, Daniel J||Kumbhakar, Subal C||Li, Qi||Parmeter, Christopher F

publication date

• January 2015

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Bandwidth Selection
• Banking
• Semiparametric Smooth Coefficient Model
• System Estimation

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2015.07.002

start page

• 148

end page

• 162

volume

• 189

issue

• 1

URL

• http://dx.doi.org/10.1016/j.jeconom.2015.07.002