Endogeneity in stochastic frontier models : copula approach without external instruments

Tran, Kien C. and Tsionas, Efthymios G. (2015) Endogeneity in stochastic frontier models : copula approach without external instruments. Economics Letters, 133. pp. 85-88. ISSN 0165-1765

[thumbnail of CopulaSF_April_13_2015]
PDF (CopulaSF_April_13_2015)
CopulaSF_April_13_2015.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (103kB)


This papers considers an alternative estimation procedures for estimating stochastic frontier models with endogenous regressors when no external instruments are available. The approach we propose is based on copula function to directly model the correlation between the endogenous regressors and the composed errors. Estimation of model parameters is done using maximum likelihood. Monte Carlo simulations are used to assess and compare the finite sample performances of the proposed estimation procedures.

Item Type:
Journal Article
Journal or Publication Title:
Economics Letters
Additional Information:
This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 133, 2015 DOI: 10.1016/j.econlet.2015.05.026
Uncontrolled Keywords:
?? stochastic frontier modelendogenous regressorscopula functionmaximum likelihoodfinanceeconomics and econometricsc11c13discipline-based research ??
ID Code:
Deposited By:
Deposited On:
13 Apr 2016 15:18
Last Modified:
15 Jul 2024 15:17