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Goodness--of--fit tests for stochastic frontier models based on the characteristic function

Author

Listed:
  • Simos G. Meintanis

    (National and Kapodistrian University of Athens)

  • Christos K. Papadimitriou

    (National and Kapodistrian University of Athens)

Abstract

We consider goodness–of–fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the composed error term, and is formulated as a weighted integral of properly standardized data. The new test statistic is shown to be consistent and computationally convenient. Simulation results are presented whereby resampling versions of the new tests are compared to classical goodness–of–fit methods.

Suggested Citation

  • Simos G. Meintanis & Christos K. Papadimitriou, 2022. "Goodness--of--fit tests for stochastic frontier models based on the characteristic function," Journal of Productivity Analysis, Springer, vol. 57(3), pages 285-296, June.
    • Handle: RePEc:kap:jproda:v:57:y:2022:i:3:d:10.1007_s11123-022-00632-5
    DOI: 10.1007/s11123-022-00632-5
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    References listed on IDEAS

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    More about this item

    Keywords

    Goodness–of–fit; Parametric bootstrap; Maximum likelihood estimation; Normal/exponential distribution; Normal/gamma distribution;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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