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 language | English |
|---|---|
| Pages (from-to) | 2065-2080 |
| Number of pages | 16 |
| Journal | Journal of Banking and Finance |
| Volume | 31 |
| Issue number | 7 |
| DOIs | |
| Publication status | Published - Jul 2007 |
| Externally published | Yes |
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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
Nonparametric efficiency estimation in stochastic environments : Noise-to-signal estimation, finite sample performance and hypothesis testing. / Post, Thierry.
In: Journal of Banking and Finance, Vol. 31, No. 7, 07.2007, p. 2065-2080.Research output: Contribution to journal › Article
}
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 -