A Monte Carlo Study on the Finite Sample Properties of the Gibbs Sampling Method for a Stochastic Frontier Model

Xingyuan Zhang

Journal of Productivity Analysis, 2000, vol. 14, issue 1, 83 pages

Abstract: In this paper we use Monte Carlo study to investigate the finite sample properties of the Bayesian estimator obtained by the Gibbs sampler and its classical counterpart (i.e. the MLE) for a stochastic frontier model. Our Monte Carlo results show that the MSE performance of the estimates of Gibbs sampling are substantially better than that of the MLE. Copyright Kluwer Academic Publishers 2000

Keywords: stochastic frontier; Gibbs sampler; Monte Carlo study (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jproda:v:14:y:2000:i:1:p:71-83

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DOI: 10.1023/A:1007895912705

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