Application of the Information Matrix Test on the National Productivity Analysis as the Cause of International Trade

Dong-Joo Lee 한국무역연구원 2021 무역연구 Vol.17 No.6

Purpose In order to analyze the national competitiveness of the Korean economy, it is necessary to estimate the total factor productivity correctly, because incorrect assumptions in the model can lead to serious estimation errors. Therefore, in order to estimate the suitability of the model, an information matrix test was proposed as an applicable method to the actual stochastic frontier production function. Design/Methodology/Approach We first examine the large sample distribution properties of maximum likelihood estimation (MLE) and quasi-maximum likelihood estimation (QMLE), and introduce several versions of the stochastic frontier product function models proposed by different scholars. Finally, we derive the Information Matrix Test (Battese and Coelli, 1992) for the stochastic frontier production function model. Also, a Monte Carlo simulation was applied to verify the correctness of the model. Findings From the results, we derive an analytical form of the Information Matrix Test (Battese and Coelli, 1992) on the stochastic frontier production function model using the simplified form proposed by Lancaster (1984). and as a result of empirical analysis by applying this process to each of the seven countries (Korea, China, Japan, the United States, United Kingdom, Germany, France), each  value was below the 95% significance level in all countries, indicating that the translog production function model was specified correctly. Research Implications The Information Matrix Test by White (1982) is an important solution for misspecified regression models. To solve this issue, Lancaster (1984) suggested the simpler form of the Information Matrix Test of White (1982). However, this method is also complex to apply in a real model. Therefore, until now, the Information Matrix Test has not been properly implemented in a regression model. This study presents an analytical form of the Information Matrix Test for the stochastic frontier production function, which is very important for analyzing national, industrial, and corporate competitiveness.

확률적 생산프런티어를 이용한 국내 화력발전부문의 효율성 평가

유상열 한국자료분석학회 2012 Journal of the Korean Data Analysis Society Vol.14 No.1

The purpose of this study is to evaluate technical efficiencies of Korean thermoelectric power companies for the 2003-2010 period. We estimate a stochastic frontier production function with an exponential specification of time-varying efficiencies which incorporates panel data associate with observations on the sample of 5 thermoelectric power companies over 8 years. We also compare efficiencies of stochastic frontier analysis (SFA) with those of data envelopment analysis. Total number of employees and fuel usages (coal, oil, LNG) are used as input variables, and electricity is used as output variable. The main results of our paper are summarized as follows. First, maximum likelihood estimates for the stochastic frontier function show that there exist technical inefficiencies during 2003-2010, and efficiencies increase in a monotone over time. Second, technical efficiency measures based on SFA range between 0.723 and 0.821 during the above period. Third, the average efficiencies of total period are 0.774, 0.845, 0.938 based on SFA, CCR model and BCC model, respectively. Finally, S Power Co. is the most efficient in comparison with others based on SFA. The main contribution of this study is that we estimate a stochastic frontier production function and test time variant technical efficiencies of Korean thermoelectric power companies. 본 연구는 확률적 생산프런티어를 이용하여 국내 5개 화력발전회사의 연료 및 노동 효율성을 평가하기 위해 수행되었다. 분석기간은 2003년부터 2010년까지 8년간이며, 화력발전부문의 산출물은 전력판매량, 투입물로는 석탄, 유류, LNG, 생산직 종업원 수를 선택하였다. 연구결과를 요약하면 다음과 같다. 첫째, 확률적 생산프런티어를 최우법으로 추정한 결과 기술적 비효율성이 존재함을 검정하였다. 둘째, 국내 화력발전부문의 기술적 효율성은 시간 가변적이며, 시간이 경과함에 따라 효율성이 증가하였음을 알 수 있었다. 셋째, 추정된 확률적 생산프런티어를 이용하여 효율성을 평가한 결과 연도별 평균값은 2003년 0.723에서 2010년 0.821까지 단조 증가하였다. 개별 DMU 중에는 S발전이 가장 효율적인 것으로 나타났다. 넷째, 전체 표본에 대한 평균 효율성은 확률적 생산프런티어에 의한 값이 0.774이었고, 투입기준 CCR 효율성은 0.845, 투입기준 BCC 효율성은 0.938이었다. 본 연구는 확률적 생산프런티어를 적용하여 우리나라 화력발전부문의 연료 및 노동 효율성을 평가하고 효율성 값이 시간의 흐름에 따라 증가하였음을 통계적으로 검정하였다는데 공헌점이 있다.

농가 이질성과 생산기술효율성: 베이지안 확률경계분석

권오상 ( Oh-sang Kwon ),조현경 ( Hyunkyoung Cho ) 한국농업경제학회 2020 農業經濟硏究 Vol.61 No.4

This study constructs a multiple error component Bayesian stochastic frontier model to analyze production efficiencies of Korean farm households incorporating farm heterogeneity. A sampled data set of 400 farms for the period 2008-2012 is used. The analysis combines a Bayesian random effect multilevel/hierarchical model with a panel data stochastic frontier model. The results show that the usual SFA models without incorporating producer heterogeneity substantially over-estimate the level and dispersion of farm technical inefficiencies. It is also found that incorporating producer heterogeneity into the production frontier reduces the contribution of technical efficiency change to productivity change significantly. The study identifies the sources of frontier heterogeneity using the constructed multiple error component Bayesian SFA model.

몬테카를로 분석에 의한 효율성 추정방법의 비교

최태성,김성호 한국경영과학회 2002 經營 科學 Vol.19 No.1

In this paper we investigate the performance of the five efficiency estimation methods which include the stochastic frontier model estimated by maximum likelihood (SFML), the stochastic frontier model estimated by corrected ordinary least squares (SFCOLS), the data envelopment analysis (DEA) model, the combined estimation of SFML and DEA (SFML + DEA), and the combined estimation of SFCLOS and DEA (SFCOLS + DEA) using Monte Carlo analysis. The results include : 1) SFML provides most accurate efficiency estimates for the sample size 150 or over, 2) SFML + DEA or SFCOLS + DEA perform better for the cases with sample size 25, 50, and low random errors, 3) SFCOLS performs better for the case with sample size 25, 50 and very high random errors.

Semiparametric maximum likelihood estimation of stochastic frontier model with errors-in-variables

서병태,정석오 한국통계학회 2016 Journal of the Korean Statistical Society Vol.45 No.2

This paper presents a new technique to analyze a stochastic frontier model when covariates are incorporated with measurement errors. We propose a semiparametric mixture likelihood method to estimate the stochastic frontier model which is free from any erroneous specification of the distribution of latent covariates. Some numerical studies including a real data analysis were done, which highly support the proposed approach.

On relaxing the distributional assumption of stochastic frontier models

노호석,Ingrid Van Keilegom 한국통계학회 2020 Journal of the Korean Statistical Society Vol.49 No.1

Stochastic frontier models have been considered as an alternative to deterministic frontier models in that they attribute the deviation of the output from the production frontier to both measurement error and inefficiency. However, such merit is often dimmed by strong assumptions on the distribution of the measurement error and the inefficiency such as the normal-half normal pair or the normal-exponential pair. Since the distribution of the measurement error is often accepted as being approximately normal, herewe showhowto estimate various stochastic frontiermodelswith a relaxed assumption on the inefficiency distribution, building on the recent work of Kneip and his coworkers.We illustrate the usefulness of our method with data on Japanese local public hospitals.

The Agricultural Commercialisation and its Impact on Economy Management: An Application of Duality-Neoclassic and Stochastic Frontier Approach

Helmi Noviar,Raja Masbar,Aliasuddin,Sofyan Syahnur,T. Zulham,Jumadil Saputra 대한산업공학회 2020 Industrial Engineeering & Management Systems Vol.19 No.3

Rice is the main source of livelihood and staple in Indonesia. This study examines the welfare of rice farmers ‘house-holds and the availability of rice in terms of domestic rice production. We analyse empirical evidence that households in the rice subsector have not achieved a sufficient level of commercialisation in terms of production. Duality-neoclassic and stochastic frontier approach were employed to evaluate the inefficiency and commercialisation of farmer households in rice production. From the three models, it shows that the level of commercialisation of rice farmers is still low and requires a strong policy instrument to improve commercialization and increase production.

DEA 기법을 활용한 공공부문 성과 측정 - 에너지관리공단의 경우

박재완(Jaewan Bahk),문춘걸(Choon-Geol Moon) 한국재정학회(구 한국재정·공공경제학회) 2006 재정논집 Vol.21 No.1

  Using Data envelopment analysis, we Measured the Performance of the 12 Branch offices of Korea Energy Management Corporation (KEMCO) for the period of 2000-2003. Firstly, we applied principal component analysis to 18 output categories and obtained 4 aggregate outputs. Then, applying DEA to 4 aggregate outputs and 2 inputs, we obtained the efficiency index, input slacks, and output shortages for each branch office To neutralize the effect of disparate managerial environment on performance, we estimated a stochastic frontier model relating input slacks and output shortages to environmental variables but we found on empirical evidence to support the presence of such effect.<BR>  Our DEA-PCA procedure and its empirical results assured us the our procedure cold complement KEMCO"s performance evaluation scheme objectively.   본 연구에서는 2000년~2003년 기간에 대하여 에너지관리공단 12개 지사의 성과를 자료포락분석법(DEA)으로 측정하였다. 주성분분석(PCA)을 적용하여 지사의 다양한 산출물로부터 4개의 결합산출을 도출한 후, 이 결합산출과 투입에 자료포락법을 적용하여 각 지사의 효율성지수, 과영투입량, 산출결손량을 측정하였다. 지사별로 상이한 경영환경이 효율성지수에 미치는 영향을 보정하기 위하여 경영환경변수가 과잉투입량과 산출결손량에 미친 영향을 분석하였으나 유의성이 없는 것으로 나타났다. 상대적 효율성 순위의 연도별 추이를 요약하면, 경기지사와 대구ㆍ경북지사는 효율성 순위가 하위권에서 최상위권으로 현저하게 향상된 반면 전북지사는 상위권에서 최하위권으로 현저하게 하락하였다. 강원지사와 충북지사는 지속적으로 최하위권에 머물러 있다.<BR>  본 연구에서 제시한 성과측정과정과 실증결과는 에너지관리공단이 적용하고 있는 성과측정의 틀을 과학적으로 보완할 수 있는 유용성을 확인시켜 주었다.

기업의 이윤효율과 ESG 성과 및 재무지표의 관계

김일중(Kim Il Joong),강상목(Kang Sang Mok) 산업연구원 2024 산업연구(JIET) Vol.8 No.2

본 연구의 목적은 한국의 KOSPI200 기업의 이윤효율을 측정하고 ESG, E, S, G 4개의 성과지수와 재무지표가 기업의 이윤효율에 미치는 영향을 살펴보고자 함이다. 이를 위하여 이윤효율과 그 결정요인을 동시에 추정하는 동시모형과 이를 분리하는 분리모형을 제시한다. 두 모형에서 측정한 이윤효율은 동시모형이 결정요인의 영향으로 분리모형보다 높게 나타났다. 이윤효율의 결정요인에서는 비슷하게 ESG, E, S, G 성과지수, 기업규모, 부채비율, ROA, 배당수익률이 영향을 미치는 것을 확인할 수 있다. ESG의 지수가 높을수록 이윤효율도 높았다. 대기업이 중견ㆍ중소기업보다 이윤효율은 크게 높았다. The purpose of this study is to measure the profit efficiency of KOSPI200 companies in Korea and to examine the impact of ESG, E, S, G four performance indices and financial indicators on the profit efficiency. To this end, we propose a simultaneous model that estimates the profit efficiency and its determinants simultaneously and a separate model that separates them. The profit efficiency measured by the two models showed that the simultaneous model was higher than the separate model due to the influence of the determinants. In the determinants of profit efficiency include factors such as ESG, E, S, G performance indices, company size, debt ratio, ROA, dividend yield were found to affect the decision of profit efficiency. The higher the ESG index, the higher the profit efficiency. Large companies had much higher profit efficiency than small and mediumsized companies.

경영 효율성 측정 및 영향요인 분석

이민호(Min-Ho Lee),이진경(Jin-Kyung Lee),강상목(Sang-Mok Kang) 한국자료분석학회 2024 Journal of the Korean Data Analysis Society Vol.26 No.3