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A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers

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  • Glass, Anthony J.
  • Kenjegalieva, Karligash
  • Sickles, Robin C.

Abstract

By blending seminal literature on non-spatial stochastic frontier models with key contributions to spatial econometrics we develop a spatial autoregressive (SAR) stochastic frontier for panel data. The specification of the SAR frontier allows efficiency to vary over time and across the cross-sections. Efficiency is calculated from a composed error structure by assuming a half-normal distribution for inefficiency. The SAR frontier is estimated using maximum likelihood methods taking into account the endogenous SAR variable. The application of the estimator to an aggregate production frontier for European countries highlights, among other things, the asymmetry between efficiency spillovers to and from a country.

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  • Glass, Anthony J. & Kenjegalieva, Karligash & Sickles, Robin C., 2016. "A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers," Journal of Econometrics, Elsevier, vol. 190(2), pages 289-300.
  • Handle: RePEc:eee:econom:v:190:y:2016:i:2:p:289-300
    DOI: 10.1016/j.jeconom.2015.06.011
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    More about this item

    Keywords

    Spatial autoregressive dependence; Stochastic frontier analysis (SFA); Asymmetric directional efficiency spillovers; Aggregate production; European countries;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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