This paper uses Monte Carlo experimentation to investigate the finite sample properties of the maximum likelihood (ML) estimators of the half-normal stochastic frontier production functions in the presence of heteroscedasticity. It is found that when heteroscedasticity exists correcting for it leads not only to a substantial improvement of the statistical properties of estimators but also to improved efficiency and ranking measures. On the other hand correcting for heteroscedasticity when there is none has serious adverse results. Hence, there is a need for testing for heteroscedasticity and if there is any the appropriate correction should be made.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
99/14.
Length: 18 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:exetec:99/14
Contact details of provider: Postal: School of Business and Economics University of Exeter Streatham Court Rennes Drive Exeter EX4 4PU Phone: (01392) 263218 Fax: (01392) 263242 Web page: http://www.exeter.ac.uk/sobe/ More information through EDIRC
Find related papers by JEL classification: C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models D24 - Microeconomics - - Production and Organizations - - - Production; Capital and Total Factor Productivity; Capacity Q12 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Micro Analysis of Farm Firms, Farm Households, and Farm Input Markets
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)