Flexible Panel Stochastic Frontier Model with Serially Correlated Errors

11 Pages Posted: 13 Dec 2017 Last revised: 15 Mar 2021

See all articles by Yu-Fan Huang

Yu-Fan Huang

Capital University of Economics and Business, ISEM

Sui Luo

Capital University of Economics and Business

Hung-Jen Wang

Academia Sinica - Institute of Economics

Date Written: December 10, 2017

Abstract

We propose a flexible dynamic panel stochastic frontier model with a feasible estimation strategy. The model accommodates individual heterogeneity and allows for an ARMA (p, q) specification of the model’s serial correlations. Distribution assumptions are also flexible. The dynamics are specified through the composed error of the model, rather than through its individual components.

Keywords: stochastic frontier models; dynamic panels; individual heterogeneity

Suggested Citation

Huang, Yu-Fan and Luo, Sui and Wang, Hung-Jen, Flexible Panel Stochastic Frontier Model with Serially Correlated Errors (December 10, 2017). Economics Letters, Vol. 163, 2018, Available at SSRN: https://ssrn.com/abstract=3085468

Yu-Fan Huang (Contact Author)

Capital University of Economics and Business, ISEM ( email )

Beijing, 100070
China

HOME PAGE: http://sites.google.com/site/yufaneconnerd/home

Sui Luo

Capital University of Economics and Business ( email )

Beijing
China

Hung-Jen Wang

Academia Sinica - Institute of Economics ( email )

Nankang, Taiwan 115
Taiwan
886 2 27822791 ext 323 (Phone)
886 2 2785 3946 (Fax)

HOME PAGE: http://www.sinica.edu.tw/~wanghj/

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