A specification test for the composed error term in the stochastic frontier model

Alecos Papadopoulos and Christopher F. Parmeter

Economics Letters, 2023, vol. 233, issue C

Abstract: We present a simple-to-compute but powerful specification test for the distribution of the composite error term in the stochastic frontier model, that can test for noise distributions with non-zero excess kurtosis. This testing framework offers researchers the opportunity to test for a much wider array of distributional pairs than currently existing tests. This will potentially allow more robust modeling decisions in practice.

Keywords: Excess kurtosis; Skewness; Stochastic frontier; Specification testing (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004160

DOI: 10.1016/j.econlet.2023.111390

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