A Monte Carlo study on the finite sample properties of the Gibbs sampling method for a stochastic frontier model

被引：6

作者：

Zhang, XY ^{[1
]}

机构：

[1] Kobe Univ, Dept Econ, Nada Ku, Kobe, Hyogo 6578501, Japan

来源：

JOURNAL OF PRODUCTIVITY ANALYSIS | 2000年 / 14卷 / 01期

关键词：

stochastic frontier; Gibbs sampler; Monte Carlo study;

D O I：

10.1023/A:1007895912705

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we use Monte Carlo study to investigate the finite sample properties of the Bayesian estimator obtained by the Gibbs sampler and its classical counterpart (i.e. the MLE) for a stochastic frontier model. Our Monte Carlo results show that the MSE performance of the estimates of Gibbs sampling are substantially better than that of the MLE.

引用

页码：71 / 83

页数：13

共 18 条

[1] Aigner D., 1977, Journal of Econometrics, V6, P21, DOI [DOI 10.1016/0304-4076(77)90052-5, 10.1016/0304-4076(77)90052-5]
[2] CHIB S, 1995, UNPUB MARKOV CHAIN M
[3] ESTIMATORS AND HYPOTHESIS TESTS FOR A STOCHASTIC FRONTIER FUNCTION - A MONTE-CARLO ANALYSIS
COELLI, T
[J]. JOURNAL OF PRODUCTIVITY ANALYSIS, 1995, 6 (03) : 247 - 268
[4] BAYESIAN ANALYSIS OF A SWITCHING REGRESSION MODEL - KNOWN NUMBER OF REGIMES
FERREIRA, PE
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1975, 70 (350) : 370 - 374
[5] SAMPLING-BASED APPROACHES TO CALCULATING MARGINAL DENSITIES
GELFAND, AE
SMITH, AFM
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1990, 85 (410) : 398 - 409
[6] ILLUSTRATION OF BAYESIAN-INFERENCE IN NORMAL DATA MODELS USING GIBBS SAMPLING
GELFAND, AE
HILLS, SE
RACINEPOON, A
SMITH, AFM
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1990, 85 (412) : 972 - 985
[7] Geweke J., 1991, COMPUTING SCI STAT
[8] A GAMMA-DISTRIBUTED STOCHASTIC FRONTIER MODEL
GREENE, WH
[J]. JOURNAL OF ECONOMETRICS, 1990, 46 (1-2) : 141 - 163
[9] ESTIMATION OF STOCHASTIC FRONTIER PRODUCTION FUNCTION AND TECHNICAL INEFFICIENCY VIA THE EM ALGORITHM
HUANG, CJ
[J]. SOUTHERN ECONOMIC JOURNAL, 1984, 50 (03) : 847 - 856
[10] ON THE ESTIMATION OF TECHNICAL INEFFICIENCY IN THE STOCHASTIC FRONTIER PRODUCTION FUNCTION MODEL
JONDROW, J
LOVELL, CAK
MATEROV, IS
SCHMIDT, P
[J]. JOURNAL OF ECONOMETRICS, 1982, 19 (2-3) : 233 - 238

← 1 2 →