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Modelling multi-output stochastic frontiers using copulas
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Carta, Alessandro and Steel, Mark F. J. (2012) Modelling multi-output stochastic frontiers using copulas. Computational Statistics & Data Analysis, Volume 56 (Number 11). pp. 3757-3773. doi:10.1016/j.csda.2010.07.007
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Official URL: http://dx.doi.org/10.1016/j.csda.2010.07.007
Abstract
The aim is to introduce a new econometric methodology for multi-output production frontiers. In the context of a system of frontier equations, a flexible multivariate distribution for the inefficiency error term is used. This multivariate distribution is constructed through a copula function which allows for separate modelling of the marginal inefficiency distributions and the dependence. Specific attention to the elicitation of a sensible (improper) prior is paid and simple sufficient conditions for posterior propriety are provided. Inference is conducted through a Markov chain Monte Carlo sampler. Bayes factors are used to compare various copula specifications in the empirical context of Dutch dairy farm data, with two outputs.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
| Journal or Publication Title: | Computational Statistics & Data Analysis | ||||
| Publisher: | Elsevier Science Ltd | ||||
| ISSN: | 0167-9473 | ||||
| Official Date: | 2012 | ||||
| Dates: |
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| Volume: | Volume 56 | ||||
| Number: | Number 11 | ||||
| Page Range: | pp. 3757-3773 | ||||
| DOI: | 10.1016/j.csda.2010.07.007 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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