Stochastic frontier models with dependent errors based on normal and exponential margins

Emilio Gómez-Déniz, Jorge V. Pérez-Rodríguez

Following the recent work of Gómez-Déniz and Pérez-Rodríguez (2014), this paper extends the results obtained there to the normal-exponential distribution with dependence. Accordingly, the main aim of the present paper is to enhance stochastic production frontier and stochastic cost frontier modelling by proposing a bivariate distribution for dependent errors which allows us to nest the classical models. Closed-form expressions for the error term and technical efficiency are provided. An illustration using real data from the econometric literature is provided to show the applicability of the model proposed.

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Year of publication:	Junio 2017
Authors:	Gómez-Déniz, Emilio ; Pérez Rodríguez, Jorge V.
Published in:	Revista de métodos cuantitativos para la economía y la empresa. - Sevilla : [Verlag nicht ermittelbar], ISSN 1886-516X, ZDB-ID 2584041-1. - Vol. 23.2017, p. 3-23
Subject:	technical and cost efficiencies \| stochastic frontier \| marginal distribution \| dependence \| Sarmanov model \| Technische Effizienz \| Technical efficiency \| Statistische Verteilung \| Statistical distribution \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Effizienz \| Efficiency