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Endogeneity in stochastic frontier models

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  • Amsler, Christine
  • Prokhorov, Artem
  • Schmidt, Peter

Abstract

Stochastic frontier models are typically estimated by maximum likelihood (MLE) or corrected ordinary least squares. The consistency of either estimator depends on exogeneity of the explanatory variables (inputs, in the production frontier setting). We will investigate the case that one or more of the inputs is endogenous, in the simultaneous equation sense of endogeneity. That is, we worry that there is correlation between the inputs and statistical noise or inefficiency.

Suggested Citation

  • Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016. "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
    • Handle: RePEc:eee:econom:v:190:y:2016:i:2:p:280-288
    DOI: 10.1016/j.jeconom.2015.06.013
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    More about this item

    Keywords

    Endogeneity; Stochastic frontier; Efficiency measurement;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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