Model averaging estimators for the stochastic frontier model

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

4 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)91–103
Journal / PublicationJournal of Productivity Analysis
Volume51
Issue number2-3
Online published4 Apr 2019
Publication statusPublished - Jun 2019

Abstract

Model uncertainty is a prominent feature in many applied settings. This is certainty true in the efficiency analysis realm where concerns over the proper distributional specification of the error components of a stochastic frontier model is, generally, still open along with which variables influence inefficiency. Given the concern over the impact that model uncertainty is likely to have on the stochastic frontier model in practice, the present research proposes two distinct model averaging estimators, one which averages over nested classes of inefficiency distributions and another that has the ability to average over distinct distributions of inefficiency. Both of these estimators are shown to produce optimal weights when the aim is to uncover conditional inefficiency at the firm level. We study the finite-sample performance of the model average estimator via Monte Carlo experiments and compare with traditional model averaging estimators based on weights constructed from model selection criteria and present a short empirical application.

Research Area(s)

  • Efficiency, J-fold cross-validation, Model selection, Optimality

Citation Format(s)

Model averaging estimators for the stochastic frontier model. / Parmeter, Christopher F.; Wan, Alan T. K.; Zhang, Xinyu.

In: Journal of Productivity Analysis, Vol. 51, No. 2-3, 06.2019, p. 91–103 .

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal