“When, Where, and How” of Efficiency Estimation:Improved Procedures for Stochastic Frontier Modeling

Tsionas, Efthymios (2017) “When, Where, and How” of Efficiency Estimation:Improved Procedures for Stochastic Frontier Modeling. Journal of the American Statistical Association, 112 (519). pp. 948-965. ISSN 0162-1459

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Abstract

The issues of functional form, distributions of the error components, and endogeneity are for the most part still open in stochastic frontier models. The same is true when it comes to imposition of restrictions of monotonicity and curvature, making efficiency estimation an elusive goal. In this article, we attempt to consider these problems simultaneously and offer practical solutions to the problems raised by Stone and addressed by Badunenko, Henderson and Kumbhakar. We provide major extensions to smoothly mixing regressions and fractional polynomial approximations for both the functional form of the frontier and the structure of inefficiency. Endogeneity is handled, simultaneously, using copulas. We provide detailed computational experiments and an application to U.S. banks. To explore the posteriors of the new models we rely heavily on sequential Monte Carlo techniques.

Item Type:
Journal Article
Journal or Publication Title:
Journal of the American Statistical Association
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
127325
Deposited By:
Deposited On:
06 Sep 2018 15:02
Refereed?:
Yes
Published?:
Published
Last Modified:
23 Sep 2020 04:33