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Estimation of a Doubly Heteroscedastic Stochastic Frontier Cost Function

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Author Info
Hadri, Kaddour

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Abstract

This article extends the results obtained by S. B. Caudill, J. M. Ford, and D. M. Gropper (1995) in estimating and testing stochastic frontier cost functions in the presence of heteroskedastic inefficiency using cross-section data. It suggests the estimation of the model under the assumption of heteroskedasticity in both random terms. This avoids any possible misspecification bias and the use of incorrect tests. The same data as used by Caudill, Ford, and Gropper supports the new specification. Moreover, the author finds that firm-specific inefficiency measures are extremely sensitive to the proposed correction for heteroskedasticity.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 17 (1999)
Issue (Month): 3 (July)
Pages: 359-63
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Handle: RePEc:bes:jnlbes:v:17:y:1999:i:3:p:359-63

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  1. Anna Bottasso & Maurizio Conti, 2003. "Cost Inefficiency in the English and Welsh Water Industry: An Heteroskedastic Stochastic Cost Frontier Approach," Economics Discussion Papers 573, University of Essex, Department of Economics. [Downloadable!]
  2. Liu, Yanyan, 2006. "Model Selection in Stochastic Frontier Analysis: Maize Production in Kenya," 2006 Annual meeting, July 23-26, Long Beach, CA 21281, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  3. Andrew Street, 2003. "How much confidence should we place in efficiency estimates?," Health Economics, John Wiley & Sons, Ltd., vol. 12(11), pages 895-907. [Downloadable!]
  4. Tiziana Laureti, 2008. "Modelling Exogenous Variables in Human Capital Formation through a Heteroscedastic Stochastic Frontier," International Advances in Economic Research, Springer, vol. 14(1), pages 76-89, February. [Downloadable!] (restricted)
  5. Mikko Mäkinen, 2007. "Do Stock Opiton Schemes Affect Technical Inefficiency? Evidence from Finland," Discussion Papers 1085, The Research Institute of the Finnish Economy. [Downloadable!]
  6. Carlos Martins-FIlho & Feng Yao, 2004. "A Nonparametric Model of Frontiers," Econometric Society 2004 Latin American Meetings 102, Econometric Society. [Downloadable!]
  7. Kim, Taeyoon & Brorsen, Wade & Kenkel, Philip, 2008. "Estimation of Efficiency with the Stochastic Frontier Cost Function and Heteroscedasticity: A Monte Carlo Study," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6408, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  8. Konstantinos Giannakas & Kien C. Tran & Vangelis Tzouvelekas, 2003. "Predicting technical effciency in stochastic production frontier models in the presence of misspecification: a Monte-Carlo analysis," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 153-161, January. [Downloadable!] (restricted)
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