Some models for stochastic frontiers with endogeneity
We consider mostly Bayesian estimation of stochastic frontier models where one-sided inefficiencies and/or the idiosyncratic error term are correlated with the regressors. We begin with a model where a Chamberlain–Mundlak device is used to relate a transformation of time-invariant effects to the reg...
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Published in | Journal of econometrics Vol. 190; no. 2; pp. 341 - 348 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Amsterdam
Elsevier B.V
01.02.2016
Elsevier Sequoia S.A |
Subjects | |
Online Access | Get full text |
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Summary: | We consider mostly Bayesian estimation of stochastic frontier models where one-sided inefficiencies and/or the idiosyncratic error term are correlated with the regressors. We begin with a model where a Chamberlain–Mundlak device is used to relate a transformation of time-invariant effects to the regressors. This basic model is then extended in two directions: first an extra one-sided error term is added to allow for time-varying efficiencies. Second, a model with an equation for instrumental variables and a more general error covariance structure is introduced to accommodate correlations between both error terms and the regressors. An application of the first and second models to Philippines rice data is provided. |
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Bibliography: | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23 |
ISSN: | 0304-4076 1872-6895 |
DOI: | 10.1016/j.jeconom.2015.06.012 |