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Fronteira de Produção Estocástica: Uma Abordagem Bayesiana

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  • Thaís C.O. da Fonseca

Abstract

The model of stochastic production frontier on the classical specification getsmaximum likelihood estimates of model parameters e agents productivity. Theproposed Bayesian specification, estimated using Monte Carlo Markov Chain(MCMC) gets a sample from the distribution of the parameter and productivityestimator, which make possible measure the expected value and the interval ofmaximum density. In this paper is showed the implementation of this model, and isshowed, empirically, that the maximum likelihood estimator has a bias greater thanthe Bayesian version, in particular for the second moments.

Suggested Citation

  • Thaís C.O. da Fonseca, 2005. "Fronteira de Produção Estocástica: Uma Abordagem Bayesiana," Discussion Papers 1073, Instituto de Pesquisa Econômica Aplicada - IPEA.
    • Handle: RePEc:ipe:ipetds:1073
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    References listed on IDEAS

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    1. Christian Ritter & Léopold Simar, 1997. "Pitfalls of Normal-Gamma Stochastic Frontier Models," Journal of Productivity Analysis, Springer, vol. 8(2), pages 167-182, May.
    2. Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May.
    3. Schmidt, Peter & Lin, Tsai-Fen, 1984. "Simple tests of alternative specifications in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 24(3), pages 349-361, March.
    4. Greene, William H., 1990. "A Gamma-distributed stochastic frontier model," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 141-163.
    5. 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.
    6. van den Broeck, Julien & Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1994. "Stochastic frontier models : A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 61(2), pages 273-303, April.
    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.
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