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).

Preview

PDF WRAP_Carta_09-27w.pdf - Published Version - Requires a PDF viewer. Download (544Kb)

Request Changes to record.

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:	Date Event 2009 Published
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Status:	Not Peer Reviewed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

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads