Maximum likelihood estimation of stochastic frontier models by the Fourier transform

DOI10.1016/J.JECONOM.2012.04.001MaRDI QIDQ528038zbMATH OpenOpenAlexFDO

Authors Efthymios G. Tsionas

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.615.3293, http://www.sciencedirect.com/science/article/pii/S0304407612000796

zbMATH Keywords

characteristic functionmaximum likelihoodgeneralized method of momentsmoment generating functionfast Fourier transformstochastic frontiers

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20)

Recommendations

• A gamma-distributed stochastic frontier model
• Formulation and estimation of stochastic frontier production function models
• Nonparametric stochastic frontiers: a local maximum likelihood approach
• Likelihood computation in the normal-gamma stochastic frontier model
• Stochastic frontier models. A Bayesian perspective

Cites work

• scientific article; zbMATH DE number 3711181 (Why is no real title available?)
• scientific article; zbMATH DE number 3757516 (Why is no real title available?)
• scientific article; zbMATH DE number 3191621 (Why is no real title available?)
• A gamma-distributed stochastic frontier model
• A tractable likelihood function for the normal-gamma stochastic frontier model
• Computing the probability density function of the stable Paretian distribution
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
• Empirical Characteristic Function Estimation and Its Applications
• Estimating mixtures of normal distributions via empirical characteristic function
• Estimation in Univariate and Multivariate Stable Distributions
• Estimation of stochastic frontier production functions with input-oriented technical efficiency
• Fast Fourier transforms: A tutorial review and a state of the art
• Formulation and estimation of stochastic frontier production function models
• Likelihood functions for generalized stochastic frontier estimation
• Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach
• Monte Carlo inference in econometric models with symmetric stable disturbances
• On Some Fourier Methods for Inference
• Posterior analysis of stochastic frontier models with truncated normal errors
• Regression-Type Estimation of the Parameters of Stable Laws
• Simulation of Estimates Using the Empirical Characteristic Function
• Stochastic Frontier Analysis
• The Joint Measurement of Technical and Allocative Inefficiencies
• The empirical characteristic function and its applications
• The estimation of the parameters of the stable laws

Cited in

(9)

• A gamma-distributed stochastic frontier model
• Some recent developments in efficiency measurement in stochastic frontier models
• Formulation and estimation of stochastic frontier production function models
• Performance estimation when the distribution of inefficiency is unknown
• A tractable likelihood function for the normal-gamma stochastic frontier model
• Coffee stochastic frontier model with maximum entropy
• The split-SV model
• Likelihood computation in the normal-gamma stochastic frontier model
• Multiple subordinated modeling of asset returns: implications for option pricing

This page was built for publication: Maximum likelihood estimation of stochastic frontier models by the Fourier transform

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528038)