Samuele Centorrino, María Pérez-Urdiales
arXiv 26 Apr 2020 · Econometrics · publishedJournal of Econometrics (2021) · 15 citations (OpenAlex)
arXiv:2004.12369 · PDF · DOI · OpenAlex · Extracted main text
We propose and study a maximum likelihood estimator of stochastic frontier models with endogeneity in cross-section data when the composite error term may be correlated with inputs and environmental variables. Our framework is a generalization of the normal half-normal stochastic frontier model with endogeneity. We derive the likelihood function in closed form using three fundamental assumptions: the existence of control functions that fully capture the dependence between regressors and unobservables; the conditional independence of the two error components given the control functions; and the conditional distribution of the stochastic inefficiency term given the control functions being a folded normal distribution. We also provide a Battese-Coelli estimator of technical efficiency. Our estimator is computationally fast and easy to implement. We study some of its asymptotic properties, and we showcase its finite sample behavior in Monte-Carlo simulations and an empirical application to farmers in Nepal.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Amsler, Prokhorov \ Schmidt (2017) `Endogenous environmental variables in stochastic frontier models', Journal of Econometrics 199(2), 131 – 140 | 1.000 | 8 | 3 | 100% |
| 2 | Andrews (2001) `Testing when a parameter is on the boundary of the maintained hypothesis', Econometrica 69(3), 683–734 | 0.928 | 4 | 3 | 100% |
| 3 | Rotnitzky, Cox, Bottai \ Robins (2000) `Likelihood-based inference with singular information matrix', Bernoulli 6(2), 243–284 | 0.843 | 5 | 3 | 60% |
| 4 | Lee (1993) `Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Informatio… | 0.843 | 3 | 3 | 100% |
| 5 | Andrews (1999) `Estimation when a parameter is on a boundary', Econometrica 67(6), 1341–1383 | 0.822 | 9 | 4 | 56% |
| 6 | Sundberg (1974) `Maximum likelihood theory for incomplete data from an exponential family', Scandinavian Journal of Statistics 1(2), 49–58 | 0.811 | 4 | 2 | 100% |
| 7 | Battese \ Coelli (1988) `Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data', Journal of Eco… | 0.737 | 3 | 2 | 100% |
| 8 | Politis \ Romano (1994) `Large Sample Confidence Regions Based on Subsamples under Minimal Assumptions', Ann | 0.737 | 3 | 2 | 100% |
| 9 | Alvarez, Amsler, Orea \ Schmidt (2006) `Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics', Journal of Product… | 0.644 | 2 | 2 | 100% |
| 10 | Amsler, Prokhorov \ Schmidt (2016) `Endogeneity in stochastic frontier models', Journal of Econometrics 190(2), 280 – 288 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 55 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Recent Advances in Causal Analysis of the Stochastic Frontier Model | 0.874 | 8 | 2 |
| 2 | Assignment at the Frontier: Identifying the Frontier Structural Function and Bounding Mean Deviations | 0.405 | 1 | 1 |