Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity

AStA Advances in Statistical Analysis - Tập 95 - Trang 435-452 - 2011
Georges Bresson1, Cheng Hsiao2,3,4, Alain Pirotte1,5
1ERMES (CNRS), Université Paris II / Sorbonne Universités, Paris, France
2University of Southern California, Los Angeles, USA
3City University of Hong Kong, Hong Kong, China
4WISE, Xiamen University, Xiamen, China
5IFSTTAR, French Institute of Science and Technology for Transport, Development and Networks, Noisy-le-Grand, France

Tóm tắt

This paper proposes a hierarchical Bayes estimator for a panel data random coefficient model with heteroskedasticity to assess the contribution of R&D capital to total factor productivity. Based on Hall (1993) data for 323 US firms over 1976–1990, we find that there appear to have substantial unobserved heterogeneity and heteroskedasticity across firms and industries that support the use of our Bayes inference procedure. We find much higher returns to R&D capital and a more pronounced downswing for the 1981–1985 period, followed by a more pronounced upswing than those yielded by the conventional feasible generalized least squares estimators or other estimates. The estimated elasticities of R&D capital are 0.062 for 1976–1980, 0.036 for 1981–1985 and 0.081 for 1986–1990, while the estimated elasticities of ordinary capital are much more stable over these periods.

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