Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix
This paper investigates the asymptotic distribution of the maximum likelihood estimator in a stochastic frontier function when the firms are all technically efficient. For such a situation the true parameter vector is on the boundary of the parameter space, and the scores are linearly dependent. The asymptotic distribution of the maximum likelihood estimator is shown to be a mixture of certain truncated distributions. The maximum likelihood estimates for different parameters may have different rates of stochastic convergence. The model can be reparameterized into one with a regular likelihood function. The likelihood ratio test statistic has the usual mixture of chi-square distributions as in the regular case.
Volume (Year): 9 (1993)
Issue (Month): 03 (June)
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