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Efficient semiparametric estimation in stochastic frontier model

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  • PARK, Byeong

    (CORE and Institut of Statistics, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

  • SIMAR, Léopold

    (CORE and Institut of Statistics, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

This paper considers the semiparametric stochastic frontier model with panel data which arises in the problem of measuring technical inefficiency in production processes. We assume a parametric form for the frontier function, which is linear in production inputs. The density of the individual firm-specific effects is considered unknown. We construct an efficient estimator of the slope parameters in the frontier function . We also give an estimator of the level of the frontier function and its asymptotic properties are investigated. Furthermore, we provide a predictor of the individual effects which can be directly translated to firm-specific technical inefficiencies. Finally, we illustrate our methods through a real data example.

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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1992013.

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Date of creation: 01 Feb 1992
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Handle: RePEc:cor:louvco:1992013

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Keywords: Stochastic frontier model; semiparametric model; efficient estimation; information bound; panel data;

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Cited by:
  1. Bekker, Paul A., 2002. "Exact inference for the linear model with groupwise heteroscedastic spherical disturbances," Journal of Econometrics, Elsevier, vol. 111(2), pages 285-302, December.
  2. Iain Fraser & William C. Horrace, 2002. "Technical Efficiency of Australian Wool Production: Point and Confidence Interval Estimates," Public Economics 0206001, EconWPA, revised 11 May 2003.
  3. Paul A. Bekker & E. C. Leertouwer, 2000. "Exact Inference for the Linear Model with Groupwise Heteroscedasticity," Econometric Society World Congress 2000 Contributed Papers 1760, Econometric Society.
  4. Byeong Park & Seuck Song, 2007. "Comments on: Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 47-51, May.
  5. Panutat Satchachai & Peter Schmidt, 2010. "Estimates of technical inefficiency in stochastic frontier models with panel data: generalized panel jackknife estimation," Journal of Productivity Analysis, Springer, vol. 34(2), pages 83-97, October.
  6. Byeong U. Park & Robin C Sickles & Léopold Simar, 2002. "Semi parametric efficient estimation of dynamic panel data models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C6-1, International Conferences on Panel Data.
  7. Griffin, J. E. & Steel, M. F. J., 2004. "Semiparametric Bayesian inference for stochastic frontier models," Journal of Econometrics, Elsevier, vol. 123(1), pages 121-152, November.
  8. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Byeong Park & Robin C. Sickles & Leopold Simar, 2000. "Semiparametric Efficient Estimation of AR(1) Panel Data Models," Econometric Society World Congress 2000 Contributed Papers 1510, Econometric Society.
  10. Myungsup Kim & Yangseon Kim & Peter Schmidt, 2007. "On the accuracy of bootstrap confidence intervals for efficiency levels in stochastic frontier models with panel data," Journal of Productivity Analysis, Springer, vol. 28(3), pages 165-181, December.
  11. Gholamreza Hajargasht, 2003. "Semiparametric Estimation of Stochastic Frontiers A Bayesian Penalized Approach," CEPA Working Papers Series WP042003, School of Economics, University of Queensland, Australia.
  12. Tai-Hsin Huang & Tong-Liang Kao, 2006. "Joint estimation of technical efficiency and production risk for multi-output banks under a panel data cost frontier model," Journal of Productivity Analysis, Springer, vol. 26(1), pages 87-102, August.
  13. William C. Horrace & Peter Schmidt, 2000. "Multiple comparisons with the best, with economic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-26.
  14. William C. Horrace & Peter Schmidt, 2002. "Confidence Statements for Efficiency Estimates from Stochastic Frontier Models," Econometrics 0206006, EconWPA.

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