Stochastic frontier models with dependent error components  

Oleh:

Smith, Murray D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 1 (2008), page 172-192.
Topik: Stochastic Frontier Model; Copula; Sklar's Theorem; Dependence; Spearman's S?
Fulltext: 172.pdf (252.96KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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