Abstract #300616

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #300616
Activity Number: 314
Type: Invited
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300616
Title: Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects
Author(s): Peter J. Schmidt*+
Companies: Michigan State University
Address: Marshall Hall, Boston, MI, 48824,
Keywords: panel data ; efficiency measurement
Abstract:

This paper allows a parametric function of time to interact with an individual-specific effect. The model can be estimated by generalized method of moments (GMM), exploiting the moment conditions implied by the exogeneity of the regressors. One can also exploit moment conditions implied by assumptions about the variances and covariances of the errors. In this model least squares is consistent, given white noise errors, but it is less efficient than the GMM estimator that uses the moment conditions implied by the white noise property of the errors. The paper applies the model to the analysis of the cost efficiency of Spanish savings banks.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003