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Comparison of stochastic frontier models using the Hyvärinen factor

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  • Tsionas, Mike G.

Abstract

Motivated by problems of model comparison using the Bayes factor, the recent literature proposed the use of Hyvärinen factors. We take up model comparison using Hyvärinen factors in the context of stochastic frontier models in the normal-half-normal, normal-truncated-normal, and normal-exponential cases. We illustrate the new techniques in a data set of large U.S. banks.

Suggested Citation

  • Tsionas, Mike G., 2021. "Comparison of stochastic frontier models using the Hyvärinen factor," Economics Letters, Elsevier, vol. 202(C).
    • Handle: RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521000926
    DOI: 10.1016/j.econlet.2021.109815
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    References listed on IDEAS

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    1. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    2. Stephane Shao & Pierre E. Jacob & Jie Ding & Vahid Tarokh, 2019. "Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1826-1837, October.
    3. Emir Malikov & Subal C. Kumbhakar & Mike G. Tsionas, 2016. "A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of us Banks in 2001–2010," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1407-1429, November.
    4. Greene, William, 2005. "Reconsidering heterogeneity in panel data estimators of the stochastic frontier model," Journal of Econometrics, Elsevier, vol. 126(2), pages 269-303, June.
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    More about this item

    Keywords

    Model comparison; Bayesian analysis; Hyvärinen factor; Markov Chain Monte Carlo;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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