Conventional approaches for inference about efficiency in parametric stochastic frontier (PSF) models are based on percentiles of the estimated distribution of the one-sided error term, conditional on the composite error. When used as prediction intervals, coverage is poor when the...

In a single index Poisson regression model with unknown link function, the index parameter can be root- n consistently estimated by the method of pseudo maximum likelihood. In this paper, we study, by simulation arguments, the practical validity of the asymptotic behaviour of the pseudo maximum...