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Title: A new approach to estimating a profit frontier using the censored stochastic frontier model
Authors: 黃台心
Huang, Tai-Hsin
Chiang, Dien-Lin
Lin, Chung-I
Contributors: 金融系
Keywords: Translog profit frontier;Censored stochastic frontier model;Profit efficiency
Date: 2017-01
Issue Date: 2017-11-21 17:40:41 (UTC+8)
Abstract: 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.
Relation: The North American Journal of Economics and Finance, 39, 68-77
Data Type: article
DOI 連結:
Appears in Collections:[金融學系] 期刊論文

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