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Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models

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  • Jacek Osiewalski
  • Mark Steel

Abstract

In this paper we describe the use of modern numerical integration methods for making posterior inferences in composed error stochastic frontier models for panel data or individual cross- sections. Two Monte Carlo methods have been used in practical applications. We survey these two methods in some detail and argue that Gibbs sampling methods can greatly reduce the computational difficulties involved in analyzing such models. Copyright Kluwer Academic Publishers 1998

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  • Jacek Osiewalski & Mark Steel, 1998. "Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models," Journal of Productivity Analysis, Springer, vol. 10(1), pages 103-117, July.
    • Handle: RePEc:kap:jproda:v:10:y:1998:i:1:p:103-117
    DOI: 10.1023/A:1018302600587
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    11. van den Broeck, Julien & Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1994. "Stochastic frontier models : A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 61(2), pages 273-303, April.
    12. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July.
    13. Pitt, Mark M. & Lee, Lung-Fei, 1981. "The measurement and sources of technical inefficiency in the Indonesian weaving industry," Journal of Development Economics, Elsevier, vol. 9(1), pages 43-64, August.
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    Cited by:

    1. Efthymios G. Tsionas, 2006. "Inference in dynamic stochastic frontier models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 669-676, July.
    2. Myungsup Kim & Yangseon Kim & Peter Schmidt, 2007. "On the accuracy of bootstrap confidence intervals for efficiency levels in stochastic frontier models with panel data," Journal of Productivity Analysis, Springer, vol. 28(3), pages 165-181, December.
    3. Kamil Makieła & Błażej Mazur, 2020. "Bayesian Model Averaging and Prior Sensitivity in Stochastic Frontier Analysis," Econometrics, MDPI, vol. 8(2), pages 1-22, April.
    4. Makieła, Kamil & Marzec, Jerzy & Pisulewski, Andrzej, 2016. "Productivity Change Analysis of Polish Dairy Farms After Poland’s Accession to the EU – An Output Growth Decomposition Approach," MPRA Paper 80295, University Library of Munich, Germany.
    5. Supawat Rungsuriyawiboon & Chris O'Donnell, 2004. "Curvature-Constrained Estimates of Technical Efficiency and Returns to Scale for U.S. Electric Utilities," CEPA Working Papers Series WP072004, School of Economics, University of Queensland, Australia.
    6. Grigorios Emvalomatis, 2012. "Adjustment and unobserved heterogeneity in dynamic stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 37(1), pages 7-16, February.
    7. Lambarraa, Fatima, 2011. "Dynamic Efficiency Analysis of Spanish Outdoor and Greenhouse Horticulture Sector," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114408, European Association of Agricultural Economists.
    8. Fernández, C. & Osiewalski, J. & Steel, M.F.J., 1996. "On the Use of Panel Data in Bayesian Stochastic Frontier Models," Discussion Paper 1996-17, Tilburg University, Center for Economic Research.
    9. Jerzy Marzec & Andrzej Pisulewski, 2015. "Analysis of the Economic Activity of Dairy Farms in Poland: Results obtained from the Short-run Cost Function," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 39, pages 167-182.
    10. Tsionas, Mike G. & Patel, Pankaj C., 2023. "Accounting for intra-industry technological heterogeneity in the measurement of operations efficiency," International Journal of Production Economics, Elsevier, vol. 260(C).
    11. Junrong Liu & Robin C. Sickles & E. G. Tsionas, 2017. "Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity," Econometrics, MDPI, vol. 5(3), pages 1-21, July.
    12. Lambarraa, Fatima, 2012. "The Spanish Horticulture Sector: A dynamic efficiency analysis of Outdoor and Greenhouse farms," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126797, International Association of Agricultural Economists.
    13. Jacek Osiewalski & Justyna Wróblewska & Kamil Makieła, 2020. "Bayesian comparison of production function-based and time-series GDP models," Empirical Economics, Springer, vol. 58(3), pages 1355-1380, March.
    14. C. Charles Okeahalam, 2006. "Production Efficiency in the South African Banking Sector: A Stochastic Analysis," International Review of Applied Economics, Taylor & Francis Journals, vol. 20(1), pages 103-123.
    15. Lampe, Hannes W. & Hilgers, Dennis, 2015. "Trajectories of efficiency measurement: A bibliometric analysis of DEA and SFA," European Journal of Operational Research, Elsevier, vol. 240(1), pages 1-21.
    16. Henderson, Heath & Follett, Lendie, 2020. "A Bayesian framework for estimating human capabilities," World Development, Elsevier, vol. 129(C).
    17. Xingyuan Zhang, 2000. "A Monte Carlo Study on the Finite Sample Properties of the Gibbs Sampling Method for a Stochastic Frontier Model," Journal of Productivity Analysis, Springer, vol. 14(1), pages 71-83, July.
    18. Kamil Makie{l}a & B{l}a.zej Mazur, 2020. "Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging," Papers 2003.07150, arXiv.org, revised Oct 2020.
    19. Owusu, Rebecca & Kwadzo, Moses & Ghartey, William, 2022. "Regional Productivity Differential and Technology Gap In African Agriculture: A Stochastic Metafrontier Approach," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 10(1), January.
    20. Jerzy Marzec & Andrzej Pisulewski, 2017. "The Effect of CAP Subsidies on the Technical Efficiency of Polish Dairy Farms," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 243-273, September.
    21. Shabbir Ahmad, 2020. "Estimating input-mix efficiency in a parametric framework: application to state-level agricultural data for the United States," Applied Economics, Taylor & Francis Journals, vol. 52(36), pages 3976-3997, July.
    22. Arabinda Das, 2015. "Copula-based Stochastic Frontier Model with Autocorrelated Inefficiency," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 111-126, June.
    23. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July.
    24. Yangseon Kim & Peter Schmidt, 2000. "A Review and Empirical Comparison of Bayesian and Classical Approaches to Inference on Efficiency Levels in Stochastic Frontier Models with Panel Data," Journal of Productivity Analysis, Springer, vol. 14(2), pages 91-118, September.
    25. Luis R. Murillo‐Zamorano, 2004. "Economic Efficiency and Frontier Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 18(1), pages 33-77, February.

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