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Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function

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Author Info
Greene, W.H.

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Abstract

The normal-gamma stochastic forntier model was proposed in Greene and Beckers and Hammond as an extension of the normal-exponential proposed in the original derivations of the stochastic frontier by Aigner, Lovell, and Schmidt. The normal-gamma model has the virtue of providing a richer and more flexible parameterization of the inefficiency distribution in the stochastic frontier model than either of the canonical forms, normal-half norma and normal-exponential.

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Publisher Info
Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 00-05.

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Length: 18 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:nystfi:00-05

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Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Web page: http://w4.stern.nyu.edu/finance/
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Related research
Keywords: MODELS ; DISTRIBUTION ; MATHEMATICAL ANALYSIS;

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Find related papers by JEL classification:
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
D33 - Microeconomics - - Distribution - - - Factor Income Distribution

References listed on IDEAS
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.:

  1. Christensen, Laurits R & Greene, William H, 1976. "Economies of Scale in U.S. Electric Power Generation," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 655-76, August. [Downloadable!] (restricted)
  2. Jondrow, James & Knox Lovell, C. A. & Materov, Ivan S. & Schmidt, Peter, 1982. "On the estimation of technical inefficiency in the stochastic frontier production function model," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 233-238, August. [Downloadable!] (restricted)
  3. John F. Geweke & Michael P. Keane & David E. Runkle, 1994. "Statistical inference in the multinomial multiperiod probit model," Staff Report 177, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  4. Battese, George E. & Corra, Greg. S., 1977. "Estimation Of A Production Frontier Model: With Application To The Pastoral Zone Of Eastern Australia," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 21(03), December. [Downloadable!]
  5. William C. Horrace & Peter Schmidt, 2002. "Confidence Statements for Efficiency Estimates from Stochastic Frontier Models," Econometrics 0206006, EconWPA. [Downloadable!]
  6. Meeusen, Wim & van den Broeck, Julien, 1977. "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 435-44, June. [Downloadable!] (restricted)
  7. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July. [Downloadable!] (restricted)
  8. Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May. [Downloadable!] (restricted)
  9. Beckers, Dominique E. & Hammond, Christopher J., 1987. "A tractable likelihood function for the normal-gamma stochastic frontier model," Economics Letters, Elsevier, vol. 24(1), pages 33-38. [Downloadable!] (restricted)
  10. Greene, William H., 1990. "A Gamma-distributed stochastic frontier model," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 141-163. [Downloadable!] (restricted)
Full references

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.)

  1. Mehdi Farsi & Massimo Filippini, 2008. "Effects of ownership, subsidization and teaching activities on hospital costs in Switzerland," Health Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 335-350. [Downloadable!]
    Other versions:
  2. William Greene, 2004. "Distinguishing between heterogeneity and inefficiency: stochastic frontier analysis of the World Health Organization's panel data on national health care systems," Health Economics, John Wiley & Sons, Ltd., vol. 13(10), pages 959-980. [Downloadable!]
    Other versions:
  3. Murray D Smith, 2004. "Stochastic Frontier Models With Correlated Error Components," Econometric Society 2004 Australasian Meetings 121, Econometric Society. [Downloadable!]
  4. Donald F. Vitaliano, 2003. "Estimation of the Return on Capital in Municipal Water Systems," Rensselaer Working Papers in Economics 0313, Rensselaer Polytechnic Institute, Department of Economics, revised Feb 2005. [Downloadable!]
  5. William Greene, 2002. "Fixed and Random Effects in Stochastic Frontier Models," Working Papers 02-16, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
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