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Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms

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Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms. / Papadimitriou, Christos K.; Meintanis, Simos G.; Andrade, Bernardo B. et al.
In: Econometrics and Statistics, 18.08.2024.

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

Harvard

Papadimitriou, CK, Meintanis, SG, Andrade, BB & Tsionas, MG 2024, 'Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms', Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2024.08.002

APA

Papadimitriou, C. K., Meintanis, S. G., Andrade, B. B., & Tsionas, M. G. (in press). Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms. Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2024.08.002

Vancouver

Papadimitriou CK, Meintanis SG, Andrade BB, Tsionas MG. Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms. Econometrics and Statistics. 2024 Aug 18. doi: 10.1016/j.ecosta.2024.08.002

Author

Papadimitriou, Christos K. ; Meintanis, Simos G. ; Andrade, Bernardo B. et al. / Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms. In: Econometrics and Statistics. 2024.

Bibtex

@article{f0961312293d44208e8c63d5ba14666d,
title = "Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms",
abstract = "Goodness–of–fit tests for the distribution of the composed error term in a Stochastic Frontier Model (SFM) are suggested. The focus is on the case of a normal/gamma SFM and the heavy–tailed stable/gamma SFM. In the first case the moment generating function is used as tool while in the latter case the characteristic function of the error term is employed. In both cases our test statistics are formulated as weighted integrals of properly standardized data. The new normal/gamma test is consistent, and is shown to have an intrinsic relation to moment–based tests. The finite–sample behavior of resampling versions of both tests is investigated by Monte Carlo simulation, while several real–data applications are also included.",
author = "Papadimitriou, {Christos K.} and Meintanis, {Simos G.} and Andrade, {Bernardo B.} and Tsionas, {Mike G.}",
year = "2024",
month = aug,
day = "18",
doi = "10.1016/j.ecosta.2024.08.002",
language = "English",
journal = "Econometrics and Statistics",
issn = "2452-3062",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Specification tests for normal/gamma and stable/gamma stochastic frontier models based on empirical transforms

AU - Papadimitriou, Christos K.

AU - Meintanis, Simos G.

AU - Andrade, Bernardo B.

AU - Tsionas, Mike G.

PY - 2024/8/18

Y1 - 2024/8/18

N2 - Goodness–of–fit tests for the distribution of the composed error term in a Stochastic Frontier Model (SFM) are suggested. The focus is on the case of a normal/gamma SFM and the heavy–tailed stable/gamma SFM. In the first case the moment generating function is used as tool while in the latter case the characteristic function of the error term is employed. In both cases our test statistics are formulated as weighted integrals of properly standardized data. The new normal/gamma test is consistent, and is shown to have an intrinsic relation to moment–based tests. The finite–sample behavior of resampling versions of both tests is investigated by Monte Carlo simulation, while several real–data applications are also included.

AB - Goodness–of–fit tests for the distribution of the composed error term in a Stochastic Frontier Model (SFM) are suggested. The focus is on the case of a normal/gamma SFM and the heavy–tailed stable/gamma SFM. In the first case the moment generating function is used as tool while in the latter case the characteristic function of the error term is employed. In both cases our test statistics are formulated as weighted integrals of properly standardized data. The new normal/gamma test is consistent, and is shown to have an intrinsic relation to moment–based tests. The finite–sample behavior of resampling versions of both tests is investigated by Monte Carlo simulation, while several real–data applications are also included.

U2 - 10.1016/j.ecosta.2024.08.002

DO - 10.1016/j.ecosta.2024.08.002

M3 - Journal article

JO - Econometrics and Statistics

JF - Econometrics and Statistics

SN - 2452-3062

ER -