Model averaging estimators for the stochastic frontier model

doi:10.1007/s11123-019-00547-8

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	Model averaging estimators for the stochastic frontier model
	Parmeter, Christopher F.1; Wan, Alan T. K.2; Zhang, Xinyu3
	2019-06-01
发表期刊	JOURNAL OF PRODUCTIVITY ANALYSIS
ISSN	0895-562X
卷号	51 期号:2-3 页码:91-103
摘要	Model uncertainty is a prominent feature in many applied settings. This is certainty true in the efficiency analysis realm where concerns over the proper distributional specification of the error components of a stochastic frontier model is, generally, still open along with which variables influence inefficiency. Given the concern over the impact that model uncertainty is likely to have on the stochastic frontier model in practice, the present research proposes two distinct model averaging estimators, one which averages over nested classes of inefficiency distributions and another that has the ability to average over distinct distributions of inefficiency. Both of these estimators are shown to produce optimal weights when the aim is to uncover conditional inefficiency at the firm level. We study the finite-sample performance of the model average estimator via Monte Carlo experiments and compare with traditional model averaging estimators based on weights constructed from model selection criteria and present a short empirical application.
关键词	Optimality J-fold cross-validation Efficiency Model selection
DOI	10.1007/s11123-019-00547-8
语种	英语
资助项目	National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[71631008]
WOS研究方向	Business & Economics ; Mathematical Methods In Social Sciences
WOS类目	Business ; Economics ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000472216100001
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/34932
专题	系统科学研究所
通讯作者	Parmeter, Christopher F.
作者单位	1.Univ Miami, Dept Econ, Miami, FL 33136 USA 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Parmeter, Christopher F.,Wan, Alan T. K.,Zhang, Xinyu. Model averaging estimators for the stochastic frontier model[J]. JOURNAL OF PRODUCTIVITY ANALYSIS,2019,51(2-3):91-103.
APA	Parmeter, Christopher F.,Wan, Alan T. K.,&Zhang, Xinyu.(2019).Model averaging estimators for the stochastic frontier model.JOURNAL OF PRODUCTIVITY ANALYSIS,51(2-3),91-103.
MLA	Parmeter, Christopher F.,et al."Model averaging estimators for the stochastic frontier model".JOURNAL OF PRODUCTIVITY ANALYSIS 51.2-3(2019):91-103.