Bayesian stochastic frontier analysis using WinBUGS

Jim Griffin and Mark Steel

Journal of Productivity Analysis, 2007, vol. 27, issue 3, 163-176

Abstract: Markov chain Monte Carlo (MCMC) methods have become a ubiquitous tool in Bayesian analysis. This paper implements MCMC methods for Bayesian analysis of stochastic frontier models using the WinBUGS package, a freely available software. General code for cross-sectional and panel data are presented and various ways of summarizing posterior inference are discussed. Several examples illustrate that analyses with models of genuine practical interest can be performed straightforwardly and model changes are easily implemented. Although WinBUGS may not be that efficient for more complicated models, it does make Bayesian inference with stochastic frontier models easily accessible for applied researchers and its generic structure allows for a lot of flexibility in model specification. Copyright Springer Science+Business Media, LLC 2007

Keywords: Efficiency; Markov chain Monte Carlo; Model comparison; Regularity; Software; C11; C23; D24 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (97)

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Working Paper: Bayesian Stochastic Frontier Analysis Using WinBUGS (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jproda:v:27:y:2007:i:3:p:163-176

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DOI: 10.1007/s11123-007-0033-y

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