This paper considers the estimation of Kumbhakar et al. (J Prod Anal. doi:10.1007/s11123-012-0303-1, 2012) (KLH) four random components stochastic frontier (SF) model using MLE techniques. We derive the log-likelihood function of the model using results from the closed-skew normal distribution. Our Monte Carlo analysis shows that MLE is more efficient and less biased than the multi-step KLH estimator. Moreover, we obtain closed-form expressions for the posterior expected values of the random effects, used to estimate short-run and long-run (in)efficiency as well as random-firm effects. The model is general enough to nest most of the currently used panel SF models; hence, its appropriateness can be tested. This is exemplified by analyzing empirical results from three different applications

Colombi, R., Kumbhakar, S., Martini, G., Vittadini, G. (2014). Closed-Skew Normality in Stochastic Frontiers with Individual Effects and Long/Short Run Efficienty. JOURNAL OF PRODUCTIVITY ANALYSIS, 42(2), 123-136 [10.1007/s11123-014-0386-y].

Closed-Skew Normality in Stochastic Frontiers with Individual Effects and Long/Short Run Efficienty

Vittadini, G.
2014

Abstract

This paper considers the estimation of Kumbhakar et al. (J Prod Anal. doi:10.1007/s11123-012-0303-1, 2012) (KLH) four random components stochastic frontier (SF) model using MLE techniques. We derive the log-likelihood function of the model using results from the closed-skew normal distribution. Our Monte Carlo analysis shows that MLE is more efficient and less biased than the multi-step KLH estimator. Moreover, we obtain closed-form expressions for the posterior expected values of the random effects, used to estimate short-run and long-run (in)efficiency as well as random-firm effects. The model is general enough to nest most of the currently used panel SF models; hence, its appropriateness can be tested. This is exemplified by analyzing empirical results from three different applications
Articolo in rivista - Articolo scientifico
Closed-skew normal distribution, Individual effects, Long/short-run efficiency, Stochastic frontiers
English
2014
42
2
123
136
none
Colombi, R., Kumbhakar, S., Martini, G., Vittadini, G. (2014). Closed-Skew Normality in Stochastic Frontiers with Individual Effects and Long/Short Run Efficienty. JOURNAL OF PRODUCTIVITY ANALYSIS, 42(2), 123-136 [10.1007/s11123-014-0386-y].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/50495
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