Pitfalls of Normal-Gamma Stochastic Frontier Models

Christian Ritter and Leopold Simar
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Christian Ritter: CORE and Institut de Statistique, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1994041, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Although conceptually pleasing, normal-gamma frontier models lead to difficult estimation problems. It is shown here that unless the sample size reaches several thousands of observations the shape parameter of the gamma density is hard to estimate, and that this carries over to estimates of the stochastic frontier, the individual inefficiencies, and the allocation of the overall variance to the stochastic frontier and to the inefficiencies.

Keywords: Identifiability; -; least; squares; -; likelihood; -; profile; -; simulation (search for similar items in EconPapers)
Date: 1994-09-01
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Citations: View citations in EconPapers (26)

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Related works:
Journal Article: Pitfalls of Normal-Gamma Stochastic Frontier Models (1997)
Working Paper: Pitfalls of normal-gamma stochastic frontier models (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1994041

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