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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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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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: |
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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Status: | Not Peer Reviewed | ||||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 (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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