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The model gives us a four\u2010way error component model, viz., persistent and time\u2010varying inefficiency, random firm effects and noise. We use Bayesian methods of inference to provide robust and efficient methods of estimating inefficiency components in this four\u2010way error component model. Monte Carlo results are provided to validate its performance. We also present results from an empirical application that uses a large panel of US commercial banks. Copyright \u00a9 2012 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2300","type":"journal-article","created":{"date-parts":[[2012,9,25]],"date-time":"2012-09-25T13:06:24Z","timestamp":1348578384000},"page":"110-132","source":"Crossref","is-referenced-by-count":186,"title":["FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERALIZED TRUE RANDOM\u2010EFFECTS model"],"prefix":"10.1002","volume":"29","author":[{"given":"Efthymios G.","family":"Tsionas","sequence":"first","affiliation":[{"name":"Department of Economics Athens University of Economics and Business  Athens Greece"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Subal C.","family":"Kumbhakar","sequence":"additional","affiliation":[{"name":"Department of Economics State University of New York  Binghamton NY USA"},{"name":"University of Stavanger Business School  Stavanger Norway"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2012,9,25]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(77)90052-5"},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","unstructured":"ArellanoM BonhommeS.2006.Robust priors in nonlinear panel data models. 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