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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Bibliographic Details
Published inJournal of econometrics Vol. 190; no. 2; pp. 341 - 348
Main Authors Griffiths, William E., Hajargasht, Gholamreza
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.02.2016
Elsevier Sequoia S.A
Subjects
Bayesian analysis
Bayesian method
Gibbs sampling
Instrumental variables
Philippines
Random variables
Rice
Studies
Technical efficiency
Philippines
C11, D24, C23, C12
Instrumental variables
Gibbs sampling
Technical efficiency
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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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2015.06.012