Efthymios G. Tsionas

European common stochastic long-run trends

The paper examines convergence on the European level by using production functions which include capital and labor as factors of production. The methodology is based on principal-components analysis of common trends appropriate for heterogeneous panels. Using data for the 1960–1997 period and alternative specifications, it is found that convergence can be decisively rejected, although the number of common trends is relatively low (about four or five).

Bayesian quantile inference

The paper proposes a Bayesian interpretation of quantile regression that is shown to be equivalent to scale mixtures of normals leading to a skewed Laplace distribution. This representation of the model facilitates Bayesian analysis by means of Gibbs sampling with data augmentation, and nests regression in the L1 norm as a special case. The new methods are applied to an analysis of the patents - R&D relationship for U.S. firms and unit root inference for the dollar-deutschemark exchange rate.

Technical and Allocative Efficiency in European Banking

This paper specifies an empirical framework for estimating both technical and allocative efficiency using the translog cost-share system, thus providing a solution to the issue known in the literature as the Greene problem. The model is applied to a large panel of European banks and the results are compared with those of a model that does not include an allocative inefficiency term and also with those obtained by using a consistent Bayesian technique. Our results suggest that models which include only technical efficiency, significantly overestimate it, while parameter estimates from the model that includes both technical and allocative efficiency are very close to the ones obtained from the Bayesian approach, thus enhancing our confidence in the proposed methodology. Finally, the fact that allocative efficiency of banks in our sample improves more than technical efficiency underlines the importance of including an allocative inefficiency component in parametric efficiency models.

The performance of the Greek banking system in view of the EMU: results from a non-parametric approach

Abstract This paper estimates economic efficiency, TFP change, and technical change of the Greek banking system over the period 1993–1998. The beginning of the examination period coincides with the acceleration of liberalization and deregulation of the Greek financial system, in view of the country joining the EMU. The study uses Data Envelopment Analysis to measure technical and allocative efficiency. Also, productivity change is computed using the Malmquist Total Factor Productivity approach and is composed of technical and efficiency changes. The results show that the majority of the Greek banks operate close to best market practices, while allocative inefficiency costs seem to be more important than technical inefficiency costs. Also, the positive but not substantial TFP change of the Greek banking system is associated to efficiency improvement for the medium-sized banks and to technical change improvement for larger institutions.

Efficiency of the Greek banking system in view of the EMU: a heteroscedastic stochastic frontier approach

Abstract The paper estimates empirically cost efficiency of the Greek banking system for the period 1993–1998. The beginning of the examination period coincides with the acceleration of liberalization and deregulation of the Greek financial system, in view of the country joining the EMU. The study uses a multi-input, multi-output technology and adopts a heteroscedastic frontier model instead of a commonly used homoscedastic one to measure cost efficiency in the banking system. The empirical results show that larger banks are less efficient than smaller ones. Also, it is found that economic performance, bank loans and investments are positive related to the cost efficiency of the Greek commercial banking sector.

Monte Carlo inference in econometric models with symmetric stable disturbances

The paper develops Markov Chain Monte Carlo methods to perform exact posterior analysis in models with symmetric stable Paretian disturbances. It is shown how posterior moments and marginal densities of functions of parameters can be computed methodically by combining a Gibbs sampler with Metropolis independence chains. The new method is shown to perform satisfactorily in constructed examples. The method is also applied to a set of monthly real exchange rates and the question of difference versus trend stationarity is taken up jointly with the problem of inference about the parameter of the stable distribution.

Environmental Kuznets curves: Bayesian evidence from switching regime models

The purpose of the paper is to test empirically the existence of an environmental Kuznets curve (EKC), using switching regime models along with cross-sectional data and Bayesian Markov chain Monte Carlo methods to perform the computations. The models are based on the normal and Students t distributions. These methods allow us to present exact, finite-sample posterior distributions of switching regime model parameters as well as exact probabilities of separation of countries into regimes of high and low environmental degradation. Our evidence indicates a monotonic relationship between environmental degradation and income and thus rejects the existence of an EKC. Additionally, we find that several economic and demographic variables cannot explain the distinction between low and high damage countries.

BAYESIAN MULTIVARIATE POISSON REGRESSION

The paper proposes a regression model for the multivariate Poisson distribution. So far inference in multivariate Poisson distributions has been prevented by the fact that computation of the probability mass function is difficult. Bayesian methods of inference are proposed which are organized around computational methods based on Gibbs sampling with data augmentation. The new methods are illustrated using artificial data as well as European forest damage data.

Full Likelihood Inference in Normal-Gamma Stochastic Frontier Models

The paper takes up inference in the stochastic frontier model with gamma distributed inefficiency terms, without restricting the gamma distribution to known integer values of its shape parameter (the Erlang form). The paper shows that Gibbs sampling with data augmentation can be used in a computationally efficient way to explore the posterior distribution of the model and conduct inference regarding parameters as well as functions of interest related to technical inefficiency.

Banking Economic Efficiency In The Deregulation Period: Results From Heteroscedastic Stochastic Frontier Models

The paper provides quantitative estimates of technical and allocative inefficiency measures of the Greek banking sector in the deregulation period. Such estimates are useful tools for bank managers and policymakers in view of the extensive restructuring of the Greek financial system in recent years, and participation of Greece in the Euro-zone. The paper generalizes recent approaches based on heteroscedastic stochastic frontier models, and shows how to measure both technical and allocative efficiency in such models. The method is applied to cost function estimation for the banking sector. It is found that technical inefficiency is close to 20 per cent, allocative inefficiency is also a substantial part of costs, averaging 14 per cent, and both components have improved drastically in the deregulation period. This suggests that there is plenty of room for improvement in Greek bank profitability and competitiveness in the new European financial environment. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester