Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function
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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|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| 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|
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- John F. Geweke & Michael P. Keane & David E. Runkle, 1994.
"Statistical inference in the multinomial multiperiod probit model,"
177, Federal Reserve Bank of Minneapolis.
- Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September.
- Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May.
- 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.
- 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.
- Greene, William H., 1990. "A Gamma-distributed stochastic frontier model," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 141-163.
- Efthymios Tsionas, 2000. "Full Likelihood Inference in Normal-Gamma Stochastic Frontier Models," Journal of Productivity Analysis, Springer, vol. 13(3), pages 183-205, May.
- 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.
- George E. Battese & Greg S. Corra, 1977. "Estimation Of A Production Frontier Model: With Application To The Pastoral Zone Of Eastern Australia," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 21(3), pages 169-179, December.
- 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.
- 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.
- 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.
- McFadden, Daniel & Ruud, Paul A, 1994. "Estimation by Simulation," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 591-608, November.
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