Endogeneity in stochastic frontier models: Copula approach without external instruments

被引：55
|
作者：
Tran, Kien C. [1 ]
Tsionas, Efthymios G. [2 ]
机构：
[1] Univ Lethbridge, Dept Econ, Lethbridge, AB T1K 3M4, Canada
[2] Univ Lancaster, Sch Management, Dept Econ, Lancaster LA1 4YX, England
来源：
ECONOMICS LETTERS | 2015年 / 133卷
关键词：
Stochastic frontier model; Endogenous regressors; Copula function; Maximum likelihood; REGRESSORS;
D O I：
10.1016/j.econlet.2015.05.026
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This papers considers an alternative estimation procedures for estimating stochastic frontier models with endogenous regressors when no external instruments are available. The approach we propose is based on copula function to directly model the correlation between the endogenous regressors and the composed errors. Estimation of model parameters is done using maximum likelihood. Monte Carlo simulations are used to assess and compare the finite sample performances of the proposed estimation procedures. (C) 2015 Elsevier B.V. All rights reserved.
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页码：85 / 88
页数：4
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