Comparison of stochastic frontier models using the Hyvärinen factor

Mike Tsionas

Economics Letters, 2021, vol. 202, issue C

Abstract: Motivated by problems of model comparison using the Bayes factor, the recent literature proposed the use of Hyvärinen factors. We take up model comparison using Hyvärinen factors in the context of stochastic frontier models in the normal-half-normal, normal-truncated-normal, and normal-exponential cases. We illustrate the new techniques in a data set of large U.S. banks.

Keywords: Model comparison; Bayesian analysis; Hyvärinen factor; Markov Chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: C11 C13 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521000926

DOI: 10.1016/j.econlet.2021.109815

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