Estimation of Stochastic Frontier Models with Fixed Effects through Monte Carlo Maximum Likelihood
Joint Authors
Oude Lansink, Alfons
Stefanou, Spiro E.
Emvalomatis, Grigorios
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-11-14
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Estimation of nonlinear fixed-effects models is plagued by the incidental parameters problem.
This paper proposes a procedure for choosing appropriate densities for integrating the incidental parameters from the likelihood function in a general context.
The densities are based on priors that are updated using information from the data and are robust to possible correlation of the group-specific constant terms with the explanatory variables.
Monte Carlo experiments are performed in the specific context of stochastic frontier models to examine and compare the sampling properties of the proposed estimator with those of the random-effects and correlated random-effects estimators.
The results suggest that the estimator is unbiased even in short panels.
An application to a cross-country panel of EU manufacturing industries is presented as well.
The proposed estimator produces a distribution of efficiency scores suggesting that these industries are highly efficient, while the other estimators suggest much poorer performance.
American Psychological Association (APA)
Emvalomatis, Grigorios& Stefanou, Spiro E.& Oude Lansink, Alfons. 2011. Estimation of Stochastic Frontier Models with Fixed Effects through Monte Carlo Maximum Likelihood. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-481409
Modern Language Association (MLA)
Emvalomatis, Grigorios…[et al.]. Estimation of Stochastic Frontier Models with Fixed Effects through Monte Carlo Maximum Likelihood. Journal of Probability and Statistics No. 2011 (2011), pp.1-13.
https://search.emarefa.net/detail/BIM-481409
American Medical Association (AMA)
Emvalomatis, Grigorios& Stefanou, Spiro E.& Oude Lansink, Alfons. Estimation of Stochastic Frontier Models with Fixed Effects through Monte Carlo Maximum Likelihood. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-481409
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481409