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Autor
Das Arabinda (Acharya Prafulla Chandra College, Indie)
Tytuł
Copula-based Stochastic Frontier Model with Autocorrelated Inefficiency
Źródło
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2015, vol. 7, nr 2, s. 111-126, tab., bibliogr. 42 poz.
Słowa kluczowe
Stochastyczny model graniczny, Modele stochastyczne, Funkcje połączeń, Symulacja Monte Carlo
Stochastic frontier model, Stochastic models, Copula Functions, Monte Carlo simulation
Uwagi
summ.; Klasyfikacja JEL: C15, C23, C51
Abstrakt
The paper considers the modeling and estimation of the stochastic frontier model where the error components are assumed to be correlated and the inefficiency error is assumed to be autocorrelated. The multivariate Farlie-Gumble-Morgenstern (FGM) and normal copula are used to capture both the contemporaneous and the temporal dependence between, and among, the noise and the inefficiency components. The intractable multiple integrals that appear in the likelihood function of the model are evaluated using the Halton sequence based Monte Carlo (MC) simulation technique. The consistency and the asymptotic efficiency of the resulting simulated maximum likelihood (SML) estimators of the present model parameters are established. Finally, the application of model using the SML method to the real life US airline data shows significant noise-inefficiency dependence and temporal dependence of inefficiency. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
2080-0886
Język
eng
URI / DOI
http://dx.doi.org/DOI: 10.24425/cejeme.2015.119212
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