Pitfalls of Normal-Gamma Stochastic Frontier Models

Although conceptually pleasing, normal-gamma frontier models lead to difficult estimation problems. It is shown here that unless the sample size reaches several thousands of observations the shape parameter of the gamma density is hard to estimate, and that this carries over to estimates of the stochastic frontier, the individual inefficiencies, and the allocation of the overall variance to the stochastic frontier and to the inefficiencies.

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Year of publication:	1994-09-01
Authors:	RITTER, Christian ; SIMAR, Leopold
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	Identifiability \| least squares \| likelihood \| profile \| simulation

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 1994041
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005043082