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Modelling multi-output stochastic frontiers using copulas

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Carta, Alessandro and Steel, Mark F. J. (2009) Modelling multi-output stochastic frontiers using copulas. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.27).

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Abstract

The aim of this work is to introduce a new econometric methodology for multi-output production frontiers. In the context of a system of frontier equations, we use
a flexible multivariate distribution for the inefficiency error term. This multivariate
distribution is constructed through a copula function which allows for separate modelling of the marginal inefficiency distributions and the dependence. We pay specific
attention to the elicitation of a sensible (improper) prior and provide a simple sufficient condition for posterior propriety. Inference is conducted through a Markov chain
Monte Carlo sampler. We use Bayes factors to compare various copula specifications
in the empirical context of Dutch dairy farm data, with two outputs.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH): Production possibility curve, Copulas (Mathematical statistics), Dairy farms -- Holland -- Econometric models
Series Name: Working papers
Publisher: University of Warwick. Centre for Research in Statistical Methodology
Place of Publication: Coventry
Official Date: 2009
Dates:
DateEvent
2009Published
Volume: Vol.2009
Number: No.27
Number of Pages: 27
Institution: University of Warwick
Status: Not Peer Reviewed
Access rights to Published version: Open Access

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