Modelling multi-output stochastic frontiers using copulas
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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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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|
|Number of Pages:||27|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple
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