Stochastic frontier models with dependent error components
Abstractof 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. Copyright Royal Economic Society 2007
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 11 (2008)
Issue (Month): 1 (03)
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- Bonanno, Graziella, 2012.
"L’efficienza del sistema bancario italiano dal 2006 al 2010. Un’applicazione delle frontiere stocastiche
[The Efficiency of Italian Banking System over 2006-2010. An Application of the Stochast," MPRA Paper 42831, University Library of Munich, Germany.
- Carta, Alessandro & Steel, Mark F.J., 2012. "Modelling multi-output stochastic frontiers using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3757-3773.
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