Stochastic frontier models with dependent error components

Murray D. Smith*

*Awdur cyfatebol y gwaith hwn

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygladolygiad gan gymheiriaid

Crynodeb

In the productivity modelling literature, the disturbances U (representing technical inefficiency) and V (representing noise) of the composite error W = V - U of the stochastic frontier model are assumed to be independent random variables. By employing the copula approach to statistical modelling, the joint behaviour of U and V can be parametrized thereby allowing the data the opportunity to determine the adequacy of the independence assumption. In this context, three examples of the copula approach are given: the first is algebraic (the Logistic-Exponential stochastic frontier model with margins bound by the Farlie-Gumbel-Morgenstern copula), the second uses a cross-section of cost data sampled from the US electrical power industry and the third constructs a model for panel data that is then used to conduct a Monte Carlo exercise in which estimator bias is examined when the dependence structure is incorrectly ignored.

Iaith wreiddiolSaesneg
Tudalennau (o-i)172-192
Nifer y tudalennau21
CyfnodolynEconometrics Journal
Cyfrol11
Rhif cyhoeddi1
Dyddiad ar-lein cynnar04 Ion 2008
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 01 Maw 2008
Cyhoeddwyd yn allanolIe

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