Likelihood computation in the normal-gamma stochastic frontier model

DOI10.1007/S00180-017-0768-5zbMath1417.65034OpenAlexW2759722126MaRDI QIDQ1643020

Bernardo B. de Andrade, Geraldo S. Souza

Publication date: 18 June 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-017-0768-5

zbMATH Keywords

Fourier transformGaussian quadraturerandom effectsrandomized quasi-Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Uses Software

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• LIMDEP
• MersenneTwister
• quadgk
• quadva

Cites Work

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• Maximum likelihood estimation of stochastic frontier models by the Fourier transform
• Computing the probability density function of the stable Paretian distribution
• A gamma-distributed stochastic frontier model
• A tractable likelihood function for the normal-gamma stochastic frontier model
• Likelihood functions for generalized stochastic frontier estimation
• Formulation and estimation of stochastic frontier production function models
• Vectorized adaptive quadrature in MATLAB
• Bayesian and non-Bayesian analysis of gamma stochastic frontier models by Markov chain Monte Carlo methods
• Numerical approximation of probability mass functions via the inverse discrete Fourier transform
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
• Mersenne twister
• Calculation of Gauss-Kronrod quadrature rules
• Stochastic Frontier Analysis
• Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation *
• [https://portal.mardi4nfdi.de/wiki/Publication:5578526 Gaussian Quadratures for the Integrals � ∞ 0 exp(-x 2 )f(x)dx and � b 0 exp(-x 2 )f(x)dx]
• Estimating the Mean and Variance of Normal Populations from Singly Truncated and Doubly Truncated Samples
• Numerical Methods of Statistics

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