Using Copulas to Model Time Dependence in Stochastic Frontier Models

DOI10.1080/07474938.2013.825126zbMath1491.62172MaRDI QIDQ5080458

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Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

copulaMLEGMMstochastic frontierMSMMSLE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (8)

Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies ⋮ Endogeneity in stochastic frontier models ⋮ Dependence modeling in stochastic frontier analysis ⋮ Technical and allocative inefficiency in production systems: a vine copula approach ⋮ On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors ⋮ Comparing cost efficiency between financial and non-financial holding banks and insurers in Taiwan under the framework of copula methods and metafrontier ⋮ A Bayesian semiparametric approach to stochastic frontiers and productivity ⋮ Imposing regularity conditions to measure banks' productivity changes in Taiwan using a stochastic approach

Uses Software

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• BaM
• copula
• copula

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Goodness-of-fit tests for copulas: A review and a power study
• Some results on the multivariate truncated normal distribution
• Reconsidering heterogeneity in panel data estimators of the stochastic frontier model
• The meta-elliptical distributions with given marginals
• An introduction to copulas.
• Formulation and estimation of stochastic frontier production function models
• Linkages: A tool for the construction of multivariate distributions with given nonoverlapping multivariate marginals
• Adaptive importance sampling for simulating copula-based distributions
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

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