Two-Stage Estimation of Unobserved Effects Panel Stochastic Frontier Models with Endogenous Regressors

11 Pages Posted: 14 Mar 2019

See all articles by Levent Kutlu

Levent Kutlu

University of Texas at Arlington - Department of Economics

Kien Tran

University of Lethbridge

Efthymios G. Tsionas

Lancaster University

Date Written: January 30, 2019

Abstract

This paper proposes an alternative estimation procedure for estimating the unobserved effects panel stochastic frontier models with endogenous regressors. Specifically, two-stage estimation method is used, where in the first stage, the frontier parameters are estimated based on GMM procedure, which is robust to the distributional assumptions of the composed error; whilst in the second stage, the remaining parameters are estimated by using MLE technique. Monte Carlo simulations indicate that the proposed estimation approach behaves well in finite samples.

JEL Classification: C13, C23, C36

Suggested Citation

Kutlu, Levent and Tran, Kien and Tsionas, Efthymios G., Two-Stage Estimation of Unobserved Effects Panel Stochastic Frontier Models with Endogenous Regressors (January 30, 2019). Available at SSRN: https://ssrn.com/abstract=3340300 or http://dx.doi.org/10.2139/ssrn.3340300

Levent Kutlu

University of Texas at Arlington - Department of Economics ( email )

University of Texas at Arlington, Economics Depart
Arlington, TX 76010
United States

Kien Tran (Contact Author)

University of Lethbridge ( email )

4401 University Drive
Lethbridge, Alberta T1K 3M4
Canada

Efthymios G. Tsionas

Lancaster University ( email )

Lancaster LA1 4YX
United Kingdom

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