BSFM: a computer program for Bayesian stochastic frontier models

MaRDI QIDQ1381519zbMATH OpenFDO

Authors Frans Arickx, Jan Broeckhove, Muriel Dejonghe, Julien van den Broeck

Publication date 17 March 1998

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

Bayesian estimationMonte-Carlo methods

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Bayesian inference (62F15) General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99)

Review text

The model \(y_i=h(x_i,\beta)+v_i-z_i\) is considered, where \(y_i\in R\), \(x_i\in R^d\), are known (observations), \(\beta\in R^k\) is an unknown vector parameter, \(v_i\) are normally \((0,\sigma^2)\) distributed, \(z_i\) are gamma distributed with the shape parameter \(j\) (\(j=1,2,3\)) and the unknown scale parameter \(\lambda\), \(h\) is a known function (frontier). A C++ program is described which performs Monte-Carlo iterative calculations of the a posterior distribution of \(\beta\). Results of empirical data analysis are presented for a linear model of the frontier.

Recommendations

• Bayesian and non-Bayesian analysis of gamma stochastic frontier models by Markov chain Monte Carlo methods
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Cited in

(2)

• BSFM
• Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

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