J. Galán Camacho, H. Veiga, M. Wiper
Estimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is not accounted for. However, it is not clear in general in which component of the error distribution the covariates should be included. In the classical context, some studies include covariates in the scale parameter of the inefficiency distribution and in this paper, we extend this idea to Bayesian stochastic frontier models by capturing both observed and unobserved heterogeneity in the scale parameter of half normal, truncated normal and exponentially distributed inefficiencies. Our findings from two real data sets illustrate the relevant effects on shrinking and separating individual posterior efficiencies when heterogeneity is captured in the scale parameter of the inefficiency. We also see that the inclusion of unobserved heterogeneity is relevant when no observable covariates are available.
Palabras clave: estadística
Programado
MC1 Métodos bayesianos 1
17 de abril de 2012 12:00
Salón Madrid
