کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096415 | 1376526 | 2012 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Maximum likelihood estimation of stochastic frontier models by the Fourier transform
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Maximum likelihood estimation of stochastic frontier models by the Fourier transform Maximum likelihood estimation of stochastic frontier models by the Fourier transform](/preview/png/5096415.png)
چکیده انگلیسی
The paper is concerned with several kinds of stochastic frontier models whose likelihood function is not available in closed form. First, with output-oriented stochastic frontier models whose one-sided errors have a distribution other than the standard ones (exponential or half-normal). The gamma and beta distributions are leading examples. Second, with input-oriented stochastic frontier models which are common in theoretical discussions but not in econometric applications. Third, with two-tiered stochastic frontier models when the one-sided error components follow gamma distributions. Fourth, with latent class models with gamma distributed one-sided error terms. Fifth, with models whose two-sided error component is distributed as stable Paretian and the one-sided error is gamma. The principal aim is to propose approximations to the density of the composed error based on the inversion of the characteristic function (which turns out to be manageable) using the Fourier transform. Procedures that are based on the asymptotic normal form of the log-likelihood function and have arbitrary degrees of asymptotic efficiency are also proposed, implemented and evaluated in connection with output-oriented stochastic frontiers. The new methods are illustrated using data for US commercial banks, electric utilities, and a sample from the National Youth Longitudinal Survey.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 1, September 2012, Pages 234-248
Journal: Journal of Econometrics - Volume 170, Issue 1, September 2012, Pages 234-248
نویسندگان
Efthymios G. Tsionas,