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Goodness--of--fit tests for stochastic frontier models based on the characteristic function

Simos G. Meintanis () and Christos K. Papadimitriou
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Simos G. Meintanis: National and Kapodistrian University of Athens
Christos K. Papadimitriou: National and Kapodistrian University of Athens

Journal of Productivity Analysis, 2022, vol. 57, issue 3, No 4, 285-296

Abstract: Abstract We consider goodness–of–fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the composed error term, and is formulated as a weighted integral of properly standardized data. The new test statistic is shown to be consistent and computationally convenient. Simulation results are presented whereby resampling versions of the new tests are compared to classical goodness–of–fit methods.

Keywords: Goodness–of–fit; Parametric bootstrap; Maximum likelihood estimation; Normal/exponential distribution; Normal/gamma distribution (search for similar items in EconPapers)
JEL-codes: C10 C12 C46 C52 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11123-022-00632-5

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