Comparison of stochastic frontier models using the Hyvarinen factor

被引：0
作者：
Tsionas, Mike G. [1 ,2 ]
机构：
[1] Montpellier Business Sch, 2300 Ave Moulins, F-34080 Montpellier, France
[2] Univ Lancaster, Management Sch, Lancaster LA1 4YX, England
来源：
ECONOMICS LETTERS | 2021年 / 202卷
关键词：
Model comparison; Bayesian analysis; Hyvarinen factor; Markov Chain Monte Carlo;
D O I：
10.1016/j.econlet.2021.109815
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Motivated by problems of model comparison using the Bayes factor, the recent literature proposed the use of Hyvarinen factors. We take up model comparison using Hyvarinen factors in the context of stochastic frontier models in the normal-half-normal, normal-truncated-normal, and normal-exponential cases. We illustrate the new techniques in a data set of large U.S. banks. (c) 2021 Elsevier B.V. All rights reserved.
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页数：5
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