Full likelihood inference in normal-gamma stochastic frontier models

被引：31

作者：

Tsionas, EG ^{[1
]}

机构：

[1] Council Econ Advisers, Minist Natl Econ, Athens 10180, Greece

来源：

JOURNAL OF PRODUCTIVITY ANALYSIS | 2000年 / 13卷 / 03期

关键词：

stochastic frontier model; Gamma distribution; Bayesian analysis; Gibbs sampling; data augmentation; posterior simulation;

D O I：

10.1023/A:1007845424552

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper takes up inference in the stochastic frontier model with gamma distributed inefficiency terms, without restricting the gamma distribution to known integer values of its shape parameter (the Erlang form). The paper shows that Gibbs sampling with data augmentation can be used in a computationally efficient way to explore the posterior distribution of the model and conduct inference regarding parameters as well as functions of interest related to technical inefficiency.

引用

页码：183 / 205

页数：23

共 27 条

[21] THE CALCULATION OF POSTERIOR DISTRIBUTIONS BY DATA AUGMENTATION [J].

TANNER, MA ;

WING, HW .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1987, 82 (398) :528-540

[22]

TIERNEY L, 1994, ANN STAT, V22, P1701, DOI 10.1214/aos/1176325750

[23] Bayesian analysis of the multivariate Poisson distribution [J].

Tsionas, EG .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1999, 28 (02) :431-451

[24] Monte Carlo inference in econometric models with symmetric stable disturbances [J].

Tsionas, EG .

JOURNAL OF ECONOMETRICS, 1999, 88 (02) :365-401

[25] STOCHASTIC FRONTIER MODELS - A BAYESIAN PERSPECTIVE [J].

VANDENBROECK, J ;

KOOP, G ;

OSIEWALSKI, J ;

STEEL, MFJ .

JOURNAL OF ECONOMETRICS, 1994, 61 (02) :273-303

[26] COMPUTING BAYES FACTORS USING A GENERALIZATION OF THE SAVAGE-DICKEY DENSITY RATIO [J].

VERDINELLI, I ;

WASSERMAN, L .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1995, 90 (430) :614-618

[27]

YU B, 1997, IN PRESS STAT COMPUT

← 1 2 3 →