Flexible panel stochastic frontier model with serially correlated errors

Yu-Fan Huang, Sui Luo and Hung-Jen Wang ()

Economics Letters, 2018, vol. 163, issue C, 55-58

Abstract: We propose a flexible dynamic panel stochastic frontier model with a feasible estimation strategy. The model accommodates individual heterogeneity and allows for an ARMA(p,q) specification of the model’s serial correlations. Distribution assumptions are also flexible. The dynamics are specified through the composed error of the model, rather than through its individual components.

Keywords: Stochastic frontier models; Dynamic panels; Individual heterogeneity (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:163:y:2018:i:c:p:55-58

DOI: 10.1016/j.econlet.2017.11.034

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