利用半參數法估計技術效率隨時間改變的隨機邊際模型

A Semiparametric Approach to the Estimation of the Stochastic Frontier Model with Time Variant Technical Efficiency

本研究根據Fan et al.(1996)所提出的半參數隨機邊際模型，朝向兩個方向延伸：一、從橫斷面模型推廣至縱橫資料模型。第二、參照Battese and Coelli(1992)的作法，容許技術效率隨時間改變。本文進行Monte Carlo模擬研究，發現本研究提出的估計方法，具有一致性，故適合應用於生產、成本及利潤函數的估計，進而探討相關生產效率議題。最後採用台灣86家電子業上市公司1995至2001年的資料，進行實證分析，並與參數估計法相互比較。

This article extends the semiparametric stochastic frontier model developed by Fan et al. (1996) in two ways. First, it proposes a semiparametric estimation procedure suitable for the case when panel data are available. Second, the strong assumption of time-invariant technical efficiency is relaxed such that Battese and Coelli’s (1992) model can be applied empirically. Our procedure is particularly useful in the examination of technical efficiency with respect to production, cost, and profit frontiers. Monte Carlo experiments and an empirical application of the proposed procedure employing panel data on 86 Taiwanese electronic firms over the period 1995-2001 are exemplified.