Consistent inference in fixed-effects stochastic frontier models

被引:86
作者
Belotti, Federico [1 ]
Ilardi, Giuseppe [2 ]
机构
[1] Univ Roma Tor Vergata, Dept Econ & Finance, Via Columbia 2, I-00133 Rome, Italy
[2] Bank Italy, Directorate Gen Econ Stat & Res, Rome, Italy
关键词
Stochastic frontiers; Fixed-effects; Panel data; Marginal simulated likelihood; Pairwise differencing; SIMULATED LIKELIHOOD ESTIMATION; TECHNICAL INEFFICIENCY; PANEL-DATA; EFFICIENCY; ESTIMATORS;
D O I
10.1016/j.jeconom.2017.09.005
中图分类号
F [经济];
学科分类号
02 ;
摘要
The classical stochastic frontier panel data models provide no mechanism to disentangle individual time invariant unobserved heterogeneity from inefficiency. Greene (2005a, b) proposed the so-called "true" fixed-effects specification that distinguishes these two latent components. However, due to the incidental parameters problem, his maximum likelihood estimator may lead to biased variance estimates. We propose two alternative estimators that achieve consistency for n -> infinity with fixed T. Furthermore, we extend the Chen et al. (2014) results providing a feasible estimator when the inefficiency is heteroskedastic and follows a first-order autoregressive process. We investigate the behavior of the proposed estimators through Monte Carlo simulations showing good finite sample properties, especially in small samples. An application to hospitals' technical efficiency illustrates the usefulness of the new approach. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码:161 / 177
页数:17
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