کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7358126 1478571 2018 46 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consistent inference in fixed-effects stochastic frontier models
ترجمه فارسی عنوان
استنتاج مداوم در مدل های مواجهه تصادفی اثرات ثابت
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
The classical stochastic frontier panel data models provide no mechanism to disentangle individual time invariant unobserved heterogeneity from inefficiency. Greene (2005a, b) proposed the so-called “true” fixed-effects specification that distinguishes these two latent components. However, due to the incidental parameters problem, his maximum likelihood estimator may lead to biased variance estimates. We propose two alternative estimators that achieve consistency for n→∞ with fixed T. Furthermore, we extend the Chen et al. (2014) results providing a feasible estimator when the inefficiency is heteroskedastic and follows a first-order autoregressive process. We investigate the behavior of the proposed estimators through Monte Carlo simulations showing good finite sample properties, especially in small samples. An application to hospitals' technical efficiency illustrates the usefulness of the new approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 202, Issue 2, February 2018, Pages 161-177
نویسندگان
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