2007-07-01
A Nonparametric Efficiency Estimation in Stochastic Environments II: noise-to-signal estimation, finite sample performance and hypothesis testing
Publication
Publication
Journal of Banking & Finance , Volume 31 - Issue 7 p. 2065- 2080
This study considers the issues of noise-to-signal estimation, finite sample performance and hypothesis testing for a new nonparametric and stochastic efficiency estimation technique. We apply the technique for analyzing the efficiency of European banks from various regions and with various specializations. The technique seems well suited for this application area because banking inputs and outputs generally are measured with error, the banking production technology is not well-defined and large banking data sets such as BankScope allow for a nonparametric approach.
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doi.org/10.1016/j.jbankfin.2006.08.004, hdl.handle.net/1765/14063 | |
ERIM Top-Core Articles | |
Journal of Banking & Finance | |
Organisation | Erasmus Research Institute of Management |
Post, T. (2007). A Nonparametric Efficiency Estimation in Stochastic Environments II: noise-to-signal estimation, finite sample performance and hypothesis testing. Journal of Banking & Finance, 31(7), 2065–2080. doi:10.1016/j.jbankfin.2006.08.004 |