A Monte Carlo Study on the Finite Sample Properties of the Gibbs Sampling Method for a Stochastic Frontier Model

Journal of Productivity Analysis

Volumn 14, Issue 1, 2000, Pages 71-83

  Zhang, Xingyuan ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

Gibbs sampler; Monte Carlo study; Stochastic frontier

Indexed keywords

EID: 0034372870     PISSN: 0895562X     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007895912705     Document Type: Article

References (18)

1. Aigner, D. J., C. A. K. Lovell, and P. Schmidt. (1977). "Formulation and Estimation of Stochastic Frontier Production Function Models." Journal of Econometrics 6, 21-37.
2. van den Broeck, J., G. Koop, J. Osiewalski, and M. F. J. Steel. (1994). "Stochastic Frontier Models." Journal of Econometrics 61, 273-303.
3. Chib, S. and E. Greenberg. (1995). "Markov Chain Monte Carlo Simulation Methods in Econometrics." Unpublished Manuscript.
4. Coelli, T. J. (1995). "Estimators and Hypothesis Tests for a Stochastic Frontier Function: A Monte Carlo Analysis." Journal of the Productivity Analysis 6, 247-268.
5. Ferreira, P. E. (1975). "A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes." Journal of the American Statistical Association 70, 370-374.
6. Gelfand, A. E. and A. F. M. Smith. (1990). "Sampling Based Approaches to Calculating Marginal Densities." Journal of the American Statistical Association 85, 398-409.
7. Gelfand, A. E., S. I. Hills, A. Racine-Poon, and A. F. M. Smith. (1990). "Illustration of Bayesian Inference in Normal Data Models Using Gibbs Sampling." Journal of the American Statistical Association 85, 972-985.
8. rd Symposium on the Interface. Interface Foundation of North America.
9. Greene, W. H. (1990). "A Gamma-Distributed Stochastic Frontier Model." Journal of Econometrics 46,141-163.
10. Huang, C. J. (1984). "Estimation of Stochastic Frontier Production Function and Technical Inefficiency via the EM Algorithm." Southern Economic Journal 50, 847-856.
11. Jondrow, J., C. A. K. Lovell, I. S. Materov, and P. Schmidt. (1982). "On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Function Model." Journal of Econometrics 19, 233-238.
12. Judge, G., W. Griffiths, R. Carter-Hill, H. Lutkepohl, and T. Lee. (1985). The Theory and Practice of Econometrics. Second Edition, New York: Wiley.
13. Kennedy, P. and D. Simons. (1991). "Fighting the Teflon Factor: Comparing Classical and Bayesian Estimators for Autocorrelated Errors." Journal of Econometrics 48, 15-27.
14. Koop, J., J. Osiewalski, and M. F. J. Steel. (1997). "Bayesian Efficiency Analysis Through Individual Effects: Hospital Cost Frontiers." Journal of Econometrics 76, 77-105.
15. Meeusen, W. and J. van den Broeck. (1977). "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error." International Economic Review 18, 435-444.
16. Olsen, J. A., P. Schmidt, and D. M. Waldman. (1980). "A Monte Carlo Study of Estimators of the Stochastic Frontier Production Function." Journal of Econometrics 13, 67-82.
17. Osiewalski, J. and M. F. J. Steel. (1998). "Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models." Journal of Productivity Analysis 10, 103-117.
18. Stevenson, R. E. (1980). "Likelihood Functions for Generalized Stochastic Frontier Estimation." Journal of Econometrics 13, 57-66.