Publication:
Bayesian estimation of inefficiency heterogeneity in stochastic frontier models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGalán Camacho, Jorge Eduardo
dc.contributor.authorLopes Moreira Da Veiga, María Helena
dc.contributor.authorWiper, Michael Peter
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2012-05-18T11:32:12Z
dc.date.available2012-05-18T11:32:12Z
dc.date.issued2012-05
dc.description.abstractEstimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is unaccounted for. However, it is not clear in general in which component of the error distribution the covariates should be included. In the classical context, some studies include covariates in the scale parameter of the inefficiency with the property of preserving the shape of its distribution. We extend this idea to Bayesian inference for stochastic frontier models capturing both observed and unobserved heterogeneity under half normal, truncated and exponential distributed inefficiencies. We use the WinBugs package to implement our approach throughout. Our findings using two real data sets, illustrate the relevant effects on shrinking and separating individual posterior efficiencies when heterogeneity affects the scale of the inefficiency. We also see that the inclusion of unobserved heterogeneity is still relevant when no observable covariates are available.
dc.description.sponsorshipFinancial support from the Spanish Ministry of Education and Science, research projects ECO2009-08100, MTM2010-17323 and SEJ2007-64500 is also gratefully acknowledged.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws121007
dc.identifier.urihttps://hdl.handle.net/10016/14335
dc.identifier.uxxiDT/0000000961
dc.language.isoeng
dc.relation.hasversionhttp://hdl.handle.net/10016/23474
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries12-07
dc.relation.projectIDGobierno de España. ECO2009-08100
dc.relation.projectIDGobierno de España. MTM2010-17323
dc.relation.projectIDGobierno de España. SEJ2007-64500
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.jelC11
dc.subject.jelC51
dc.subject.jelC23
dc.subject.jelD24
dc.subject.otherStochastic Frontier Models
dc.subject.otherHeterogeneity
dc.subject.otherBayesian Inference
dc.titleBayesian estimation of inefficiency heterogeneity in stochastic frontier models
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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