Estimation of firms efficiencies using a Kalman filter and stochastic efficiency model

Estimation of firms efficiencies using a Kalman filter and stochastic efficiency model

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Article ID: iaor20061184
Country: Japan
Volume: 48
Issue: 4
Start Page Number: 308
End Page Number: 317
Publication Date: Dec 2005
Journal: Journal of the Operations Research Society of Japan
Authors: ,
Keywords: management, performance, time series & forecasting methods
Abstract:

The efficiencies of firms should be evaluated, based on their historical financial data. Here a process for evaluation is proposed. Each historical data set is reduced to a distribution function with a mean and a variance estimated by Kalman filter. Then, a stochastic efficiency model is applied to this reduced data. Then a new efficiency measure is proposed and compared with existing measures. An application is made to three kinds of firms.

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