Nonparametric efficiency estimation in stochastic environments: Noise-to-signal estimation, finite sample performance and hypothesis testing

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)2065-2080
Number of pages16
JournalJournal of Banking and Finance
Volume31
Issue number7
DOIs
Publication statusPublished - Jul 2007
Externally publishedYes

Fingerprint

Banking
Finite sample
Hypothesis testing
European banks
Production technology

Keywords

  • European banks
  • Finite sample performance
  • Hypothesis testing
  • Noise-to-signal estimation
  • Nonparametric efficiency estimation

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

@article{9236c24b27754ea885828f0d8c75385b,
title = "Nonparametric efficiency estimation in stochastic environments: Noise-to-signal estimation, finite sample performance and hypothesis testing",
abstract = "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.",
keywords = "European banks, Finite sample performance, Hypothesis testing, Noise-to-signal estimation, Nonparametric efficiency estimation",
author = "Thierry Post",
year = "2007",
month = "7",
doi = "10.1016/j.jbankfin.2006.08.004",
language = "English",
volume = "31",
pages = "2065--2080",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "7",

}

TY - JOUR

T1 - Nonparametric efficiency estimation in stochastic environments

T2 - Noise-to-signal estimation, finite sample performance and hypothesis testing

AU - Post, Thierry

PY - 2007/7

Y1 - 2007/7

N2 - 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.

AB - 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.

KW - European banks

KW - Finite sample performance

KW - Hypothesis testing

KW - Noise-to-signal estimation

KW - Nonparametric efficiency estimation

UR - http://www.scopus.com/inward/record.url?scp=34249704038&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=34249704038&partnerID=8YFLogxK

U2 - 10.1016/j.jbankfin.2006.08.004

DO - 10.1016/j.jbankfin.2006.08.004

M3 - Article

VL - 31

SP - 2065

EP - 2080

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 7

ER -