Stochastic Frontier Models with Dependent Errors based on Normal and Exponential Margins release_rp3mrmwba5gf7a2auf6u45uada

by Francisco Javier, Blancas Peral, Angel, F Tenorio Villalón, Gómez -Déniz, Emilio, Jorge Pérez-Rodríguez

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Abstract

J our na l of Qua nt i t a t i v e Me t hods f or Ec onomi c s a nd Bus i ne s s Admi ni s t r a t i on Re v i s t a de Mé t o do s Cu a n t i t a t i v o s pa r a l a Ec o n o mí a y l a Empr e s a REVISTA DE M ´ ETODOS CUANTITATIVOS PARA LA ECONOM´IAECONOM´ECONOM´IA Y LA EMPRESA 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.
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