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GMM estimation of stochastic frontier model with endogenous regressors

Author

Listed:
  • Tran, Kien C.
  • Tsionas, Efthymios G.

Abstract

A convenient and simple GMM procedure for estimating stochastic frontier models in the presence of endogenous regressors is proposed. Monte Carlo simulations show that the proposed estimator works very well in finite samples. We apply the proposed method to panel data of Norwegian dairy farms to illustrate the usefulness of the proposed approach.

Suggested Citation

  • Tran, Kien C. & Tsionas, Efthymios G., 2013. "GMM estimation of stochastic frontier model with endogenous regressors," Economics Letters, Elsevier, vol. 118(1), pages 233-236.
  • Handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:233-236
    DOI: 10.1016/j.econlet.2012.10.028
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
    3. Battese, G E & Coelli, T J, 1995. "A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data," Empirical Economics, Springer, vol. 20(2), pages 325-332.
    4. Kutlu, Levent, 2010. "Battese-coelli estimator with endogenous regressors," Economics Letters, Elsevier, vol. 109(2), pages 79-81, November.
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    Citations

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    Cited by:

    1. Frick, Fabian & Sauer, Johannes, 2016. "Deregulation and Productivity – Empirical Evidence on Dairy Production," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236032, Agricultural and Applied Economics Association.
    2. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016. "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
    3. Jiang, Nan & Sharp, Basil, 2014. "Cost Efficiency of Dairy Farming in New Zealand: A Stochastic Frontier Analysis," Agricultural and Resource Economics Review, Cambridge University Press, vol. 43(3), pages 406-418, December.
    4. repec:eee:econom:v:199:y:2017:i:2:p:131-140 is not listed on IDEAS
    5. repec:eee:proeco:v:201:y:2018:i:c:p:53-61 is not listed on IDEAS
    6. Malikov, Emir, 2016. "Estimating Multi-Product Production Functions and Productivity using Control Functions," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235108, Agricultural and Applied Economics Association.
    7. repec:taf:jnlasa:v:112:y:2017:i:519:p:948-965 is not listed on IDEAS
    8. repec:eee:econom:v:211:y:2019:i:2:p:539-559 is not listed on IDEAS
    9. Duygun, Meryem & Kutlu, Levent & Sickles, Robin C., 2014. "Measuring Productivity and Efficiency: A Kalman," Working Papers 15-010, Rice University, Department of Economics.
    10. Niskanen, Olli & Heikkilä, Anna-Maija, 2015. "The Impact of Parcel Structure on the Efficiency of Finnish Dairy Farms," Agricultural and Resource Economics Review, Cambridge University Press, vol. 44(1), pages 65-77, April.
    11. Subal C. Kumbhakar & Christopher F. Parmeter & Valentin Zelenyuk, 2017. "Stochastic Frontier Analysis: Foundations and Advances," Working Papers 2017-10, University of Miami, Department of Economics.
    12. repec:ebl:ecbull:eb-16-00551 is not listed on IDEAS
    13. repec:eee:ecolet:v:163:y:2018:i:c:p:152-154 is not listed on IDEAS
    14. Kutlu, Levent & Liu, Shasha & Sickles, Robin C., 2018. "Cost, Revenue, and Profit Function Estimates," Working Papers 18-006, Rice University, Department of Economics.
    15. repec:taf:applec:v:49:y:2017:i:59:p:5935-5939 is not listed on IDEAS
    16. Tran, Kien C. & Tsionas, Efthymios G., 2015. "Endogeneity in stochastic frontier models: Copula approach without external instruments," Economics Letters, Elsevier, vol. 133(C), pages 85-88.
    17. repec:ebl:ecbull:eb-17-00992 is not listed on IDEAS
    18. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017. "Endogenous environmental variables in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 199(2), pages 131-140.
    19. repec:nov:artigo:v:28:y:2018:i:3:p:778-806 is not listed on IDEAS
    20. Kutlu, Levent, 2017. "A constrained state space approach for estimating firm efficiency," Economics Letters, Elsevier, vol. 152(C), pages 54-56.
    21. Njuki, Eric & Bravo-Ureta, Boris E., 2016. "Measuring agricultural water productivity using a partial factor productivity approach," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia 246948, African Association of Agricultural Economists (AAAE).
    22. Griffiths, William E. & Hajargasht, Gholamreza, 2016. "Some models for stochastic frontiers with endogeneity," Journal of Econometrics, Elsevier, vol. 190(2), pages 341-348.
    23. Tsionas, Mike G., 2016. "Notes on technical efficiency estimation with multiple inputs and outputs," European Journal of Operational Research, Elsevier, vol. 249(2), pages 784-788.

    More about this item

    Keywords

    Endogeneity; Generalized method of moments; Maximum likelihood; Technical efficiency;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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