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Markov switching stochastic frontier model

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  • Efthymios G. Tsionas
  • Subal C. Kumbhakar

Abstract

In this paper, we propose a new approach to stochastic frontier models, viz., a Markov switching structure to accommodate cross-sectional parameter heterogeneity and temporal variation in the parameters and technical inefficiency distributions. The Markov Chain Monte Carlo techniques are developed and implemented for Bayesian inferences on parameters and technical efficiency. We illustrate new methods by estimating world production frontiers using international panel data on 59 countries observed for 26 years. Copyright Royal Economic Socciety 2004

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 2 (December)
Pages: 398-425

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Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:398-425

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Cited by:
  1. Yélou, Clément & Larue, Bruno & Tran, Kien C., 2010. "Threshold effects in panel data stochastic frontier models of dairy production in Canada," Economic Modelling, Elsevier, vol. 27(3), pages 641-647, May.
  2. Vouldis, Angelos T. & Michaelides, Panayotis G. & Tsionas, Efthymios G., 2010. "Estimating semi-parametric output distance functions with neural-based reduced form equations using LIML," Economic Modelling, Elsevier, vol. 27(3), pages 697-704, May.
  3. Drake, Leigh & Hall, Maximilian J.B. & Simper, Richard, 2009. "Bank modelling methodologies: A comparative non-parametric analysis of efficiency in the Japanese banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 1-15, February.
  4. Lu, Zeng-Hua, 2009. "Covariate selection in mixture models with the censored response variable," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2710-2723, May.
  5. Bos, J.W.B. & Economidou, C. & Koetter, M. & Kolari, J.W., 2010. "Do all countries grow alike?," Journal of Development Economics, Elsevier, vol. 91(1), pages 113-127, January.
  6. Pavlos Almanidis, 2013. "Accounting for heterogeneous technologies in the banking industry: a time-varying stochastic frontier model with threshold effects," Journal of Productivity Analysis, Springer, vol. 39(2), pages 191-205, April.
  7. Hung-pin Lai, 2013. "Estimation of the threshold stochastic frontier model in the presence of an endogenous sample split variable," Journal of Productivity Analysis, Springer, vol. 40(2), pages 227-237, October.

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