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  • CopulaSF_April_13_2015

    Rights statement: This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 133, 2015 DOI: 10.1016/j.econlet.2015.05.026

    Accepted author manuscript, 101 KB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Endogeneity in stochastic frontier models: copula approach without external instruments

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>08/2015
<mark>Journal</mark>Economics Letters
Volume133
Number of pages4
Pages (from-to)85-88
Publication StatusPublished
Early online date28/05/15
<mark>Original language</mark>English

Abstract

This papers considers an alternative estimation procedures for estimating stochastic frontier models with endogenous regressors when no external instruments are available. The approach we propose is based on copula function to directly model the correlation between the endogenous regressors and the composed errors. Estimation of model parameters is done using maximum likelihood. Monte Carlo simulations are used to assess and compare the finite sample performances of the proposed estimation procedures.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 133, 2015 DOI: 10.1016/j.econlet.2015.05.026