Maximum likelihood estimation of stochastic frontier models by the Fourier transform

DOI10.1016/J.JECONOM.2012.04.001zbMATH Open1443.62510OpenAlexW2169727885MaRDI QIDQ528038FDOQ528038

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

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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)

Cites Work

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Cited In (9)

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

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