npsf (version 0.1.6)

banks05: U.S. Commercial Banks Data

Description

banks05 data frame contains selected variables from the U.S. commercial banks data of Koetter et al. (2012) for year 2005 and 500 banks randomly sampled from around 5000. Dependent variable was randomly generated, as described under 'Details', to satisfy the assumptions of doubly heteroskedastic stochastic cost frontier model. This data is, therefore, not suitable for research purposes.

Usage

data(banks05)

source

http://qed.econ.queensu.ca/jae/2014-v29.2/restrepo-tobon-kumbhakar/.

Details

The variable representing total operating costs was generated as follows: $$lnC = \beta0 + \beta1*lnw1 + \beta2*lnw2 + \gamma1*lny1 + \gamma2*lny2 + \nu + u,$$ where $\nu ~ N(0, exp(\alpha0 + \alpha1*LA))$ and $u ~ N+(\delta0 + \delta1*ER, exp(\omega0 + \omega1*ER)).$ More detailed description of input prices, outputs, and exogenous variables is provided in Koetter et al. (2012). See also related study of Restrepo-Tobon and Kumbhakar (2014).

References

Koetter, M., Kolari, J., and Spierdijk, L. (2012), Enjoying the quiet life under deregulation? Evidence from adjusted Lerner indices for U.S. banks. Review of Economics and Statistics, 94, 2, 462--480.

Restrepo-Tobon, D. and Kumbhakar, S. (2014), Enjoying the quiet life under deregulation? Not Quite. Journal of Applied Econometrics, 29, 2, 333--343.