中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 系统科学研究所
Model averaging estimators for the stochastic frontier model

文献类型：期刊论文

作者Parmeter, Christopher F.2; Wan, Alan T. K.1; Zhang, Xinyu3
刊名JOURNAL OF PRODUCTIVITY ANALYSIS
出版日期2019-06-01
卷号51期号:2-3页码:91-103
关键词Optimality J-fold cross-validation Efficiency Model selection
ISSN号0895-562X
DOI10.1007/s11123-019-00547-8
英文摘要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.
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
语种英语
WOS记录号WOS:000472216100001
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/34931]  
专题系统科学研究所
通讯作者Parmeter, Christopher F.
作者单位1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
2.Univ Miami, Dept Econ, Miami, FL 33136 USA
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.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。