2013
DOI: 10.1007/s11123-013-0377-4
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Bayesian estimation of inefficiency heterogeneity in stochastic frontier models

Abstract: Abstract_______________________________________________________________Estimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is unaccounted for. However, it is not clear in general in which component of the error distribution the covariates should be included. In the classical context, some studies include covariates in the scale parameter of the inefficiency with the property of preserving the shape of its dist… Show more

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Cited by 27 publications
(13 citation statements)
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“…We assess the fit and predictive performance of the different models using a version of the Deviance Information Criterion (DIC) called DIC 3 and the Log Predictive Score (LPS) (see Griffin and Steel, 2004;Galán et al, 2014, for applications of these criteria to Bayesian SFA models). The former is a stable variant of the within sample measure of fit introduced by Spiegelhalter et al (2002) commonly used in Bayesian analysis.…”
Section: Bayesian Inferencementioning
confidence: 99%
See 1 more Smart Citation
“…We assess the fit and predictive performance of the different models using a version of the Deviance Information Criterion (DIC) called DIC 3 and the Log Predictive Score (LPS) (see Griffin and Steel, 2004;Galán et al, 2014, for applications of these criteria to Bayesian SFA models). The former is a stable variant of the within sample measure of fit introduced by Spiegelhalter et al (2002) commonly used in Bayesian analysis.…”
Section: Bayesian Inferencementioning
confidence: 99%
“…Greene (2005) proposes different methods to deal with this kind of heterogeneity under the frequentist approach. In the Bayesian context,Galán et al (2014) propose the inclusion of a random parameter that can be modeled along with other observed covariates and which is found to perform well in capturing latent heterogeneity.…”
mentioning
confidence: 99%
“…The issue of dealing with unobserved heterogeneity has been recently accounted for by an increasing number of methodological papers (Greene 2005a, b;Emvalomatis 2012;Galán et al 2014). Most of them relied on fixedand random-effects panel data models, which former case capture unobserved heterogeneity through a set of firm specific intercepts that are simultaneously estimated with other parameters.…”
Section: Introductionmentioning
confidence: 99%
“…Finally, it is necessary to include country-specific explanatory variables in the estimated stochastic frontier models which describe the macro-economic, demographic and institutional factors of the country of each bank. It is not clear, however, whether these variables should be included in the frontier equation or in the inefficiency distribution (in the line of the paper of Galán, Veiga, & Wiper, 2014). The same can be said with respect to the modelling of the dynamic effects of the stochastic frontier model where, perhaps, AR(1) models could be used to describe their evolution in a more parsimonious way (see, for instance, Galán, Veiga, & Wiper, 2015).…”
Section: Discussionmentioning
confidence: 99%