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Some models for stochastic frontiers with endogeneity

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  • Griffiths, William E.
  • Hajargasht, Gholamreza

Abstract

We consider mostly Bayesian estimation of stochastic frontier models where one-sided inefficiencies and/or the idiosyncratic error term are correlated with the regressors. We begin with a model where a Chamberlain–Mundlak device is used to relate a transformation of time-invariant effects to the regressors. This basic model is then extended in two directions: first an extra one-sided error term is added to allow for time-varying efficiencies. Second, a model with an equation for instrumental variables and a more general error covariance structure is introduced to accommodate correlations between both error terms and the regressors. An application of the first and second models to Philippines rice data is provided.

Suggested Citation

  • Griffiths, William E. & Hajargasht, Gholamreza, 2016. "Some models for stochastic frontiers with endogeneity," Journal of Econometrics, Elsevier, vol. 190(2), pages 341-348.
    • Handle: RePEc:eee:econom:v:190:y:2016:i:2:p:341-348
    DOI: 10.1016/j.jeconom.2015.06.012
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    References listed on IDEAS

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    More about this item

    Keywords

    Technical efficiency; Instrumental variables; Gibbs sampling;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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