Stochastic Frontier Models with Dependent Errors based on Normal and Exponential Margins || Modelos de frontera estocástica con errores dependientes basados en márgenes normal y exponencial

Emilio Gómez-Déniz () and Jorge Pérez-Rodríguez ()
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Emilio Gómez-Déniz: Department of Quantitative Methods in Economics and TiDES Institute. University of Las Palmas de Gran Canaria (Spain)

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2017, vol. 23, issue 1, 3-23

Abstract: Following the recent work of Gómez-Déniz and Pérez-Rodríguez (2014), this paper extends the results obtained there to the normal-exponential distribution with dependence. Accordingly, the main aim of the present paper is to enhance stochastic production frontier and stochastic cost frontier modelling by proposing a bivariate distribution for dependent errors which allows us to nest the classical models. Closed-form expressions for the error term and technical efficiency are provided. An illustration using real data from the econometric literature is provided to show the applicability of the model proposed. || Continuando el reciente trabajo de Gómez-Déniz y Pérez-Rodríguez (2014), el presente artículo extiende los resultados obtenidos a la distribución normal-exponencial con dependencia. En consecuencia, el principal propósito de este artículo es mejorar el modelado de la frontera estocástica tanto de producción como de coste proponiendo para ello una distribución bivariante para errores dependientes que nos permitan encajar los modelos clásicos. Se obtienen las expresiones en forma cerrada para el término de error y la eficiencia técnica. Se ilustra la aplicabilidad del modelo propouesto usando datos reales existentes en la literatura econométrica.

Keywords: technical and cost efficiencies; stochastic frontier; marginal distribution; dependence; Sarmanov model; eficiencias técnica y de coste; frontera estocástica; distribución marginal; dependencia; modelo de Sarmanov (search for similar items in EconPapers)
JEL-codes: C01 C13 C21 C51 (search for similar items in EconPapers)
Date: 2017
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