When, Where, and How of Efficiency Estimation: Improved Procedures for Stochastic Frontier Modeling

• 成果类型: Article
• 署名作者: Tsionas, Mike G.
• 署名单位: Lancaster University; Athens University of Economics & Business
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2016.1246364
• 发表日期: 2017
• 页码: 948-965
• 关键词: directional distances; Financial institutions; endogenous regressors; robust versions; dea estimators; inference; cost; outputs

摘要

The issues of functional form, distributions of the error components, and endogeneity are for the most part still open in stochastic frontier models. The same is true when it comes to imposition of restrictions of mono tonicity and curvature, making efficiency estimation an elusive goal. In this article, we attempt to consider these problems simultaneously and offer practical solutions to the problems raised by Stone and addressed by Badunenko, Henderson and Kumbhakar. We provide major extensions to smoothly mixing regressions and fractional polynomial approximations for both the functional form of the frontier and the structure of inefficiency. Endogeneity is handled, simultaneously, using copulas. We provide detailed computational experiments and an application to U.S. banks. To explore the posteriors of the new models we rely heavily on sequential Monte Carlo techniques.