The “wrong skewness” problem: Moment constrained maximum likelihood estimation of the stochastic frontier model

Shirong Zhao and Christopher F. Parmeter

Economics Letters, 2022, vol. 221, issue C

Abstract: Wrong skewness in the stochastic frontier model leads to many empirical and conceptual problems. A variety of approaches have been proposed to deal with this issue. Here we offer a solution based on moment constraints of the assumed density.

Keywords: Maximum likelihood estimation; Efficiency; Half-normal distribution; Moments constraints (search for similar items in EconPapers)
JEL-codes: C1 C3 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:221:y:2022:i:c:s0165176522003755

DOI: 10.1016/j.econlet.2022.110901

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