9 research outputs found
Efficiency gains in least squares estimation: A new approach
In pursuit of efficiency, we propose a new way to construct least squares estimators, as the minimizers of an augmented objective function that takes explicitly into account the variability of the error term and the resulting uncertainty, as well as the possible existence of heteroskedasticity. We initially derive an infeasible estimator which we then approximate using Ordinary Least Squares (OLS) residuals from a first-step regression to obtain the feasible “HOLS” estimator. This estimator has negligible bias, is consistent and outperforms OLS in terms of finite-sample Mean Squared Error, but also in terms of asymptotic efficiency, under all skedastic scenarios, including homoskedasticity. Analogous efficiency gains are obtained for the case of Instrumental Variables estimation. Theoretical results are accompanied by simulations that support them
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Moment Diagnostics and Quasi-Maximum Likelihood Estimation for the Stochastic Frontier Model
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Type II failure and specification testing in the Stochastic Frontier Model
•Empirical skewness and kurtosis can serve as useful diagnostics.•Present maximal bounds for skewness/kurtosis of error from stochastic frontier model.•Construct test of correct distributional assumptions.•Provide several empirical applications of test.
The distributional specifications for the composite regression error term most often used in stochastic frontier analysis are inherently bounded as regards their skewness and excess kurtosis coefficients. We derive general expressions for the skewness and excess kurtosis of the composed error term in the stochastic frontier model based on the ratio of standard deviations of the two separate error components as well as theoretical ranges for the most popular empirical specifications. While these simple expressions can be used directly to assess the credibility of an assumed distributional pair, they are likely to over reject. Therefore, we develop a formal test based on the implied ratio of standard deviations for the skewness and the kurtosis. This test is shown to have impressive power compared with other tests of the specification of the composed error term. We deploy this test on a range of well-known datasets that have been used across the efficiency community. For many of them we find that the classic distribution assumptions cannot be rejected
Το δίπλευρο υπόδειγμα στοχαστικού συνόρου: θεωρία και εφαρμογές, μοντέλα και εργαλεία
This PhD thesis, written in English with a summary in Greek, is a monograph on the Two-tier Stochastic Frontier model (2TSF). The model is capable of estimating the effects of two latent variables of opposite direction on the dependent variable in a regression context, and it has been applied to a wide variety of economic and non-economic phenomena. The thesis starts with a review of the literature, and then moves on to critically examine the various structural foundations that have been proposed for the model in the past. Then, five new 2TSF statistical models are presented in every technical detail so that they can be readily implemented, enlarging the applied scope of the model. Then we present two economic models, one where a new, targets-based bilateral Nash bargaining model is presented, and another for the contribution of Management to the output of a firm. Both can be estimated by a 2TSF econometric model. Five short empirical applications showcase the various theoretical results and tools. The thesis contains also the Bibliography List as well as an extensive Technical Appendix.Η παρούσα διδακτορική διατριβή, γραμμένη στην Αγγλική με περίληψη στα Ελληνικά, αποτελεί μονογραφία επί του Υποδείγματος Δίπλευρου Στοχαστικού Συνόρου. Το υπόδειγμα είναι κατάλληλο για να εκτιμά οικονομετρικά την επίδραση αφανών μεταβλητών αντίθετης φοράς επί μιας εξαρτημένης μεταβλητής σε μια σχέση παλινδρόμησης, και έχει εφαρμογή σε ένα ευρύ φάσμα οικονομικών και μη-οικονομικών φαινομένων. Η διατριβή ξεκινά με επισκόπηση της σχετικής βιβλιογραφίας και κριτική ανάλυση των διαφορετικών δομικών θεμελίων του υποδείγματος που έχουν προταθεί στο παρελθόν. Ακολούθως παρουσιάζονται αναλυτικά πέντε νέα στατιστικά μοντέλα στο πλαίσιο του υποδείγματος, σε όλες τις τεχνικές τους πτυχές, που διευρύνουν τις δυνατότητες εφαρμογής του. Παρουσιάζεται επίσης αναλυτικά η μεθοδολογία χρήσης Κόπουλα για την αντιμετώπιση της ενδογένειας των επεξηγηματικών μεταβλητών. Στο τμήμα των οικονομικών εφαρμογών, παρουσιάζονται δύο νέα οικονομικά μοντέλα, ένα διμερούς διαπραγμάτευσης Nash και ένα για την επίδραση της Διοίκησης επί του παραγόμενου προϊόντος, που μπορούν να εκτιμηθούν οικονομετρικά με τη χρήση του υποδείγματος Δίπλευρου Στοχαστικού Συνόρου. Η διατριβή περιλαμβάνει επίσης και πέντε σύντομες εφαρμογές σε πραγματικά δεδομένα που υποστηρίζουν εμπειρικά τα θεωρητικά αποτελέσματα. Η εργασία ολοκληρώνεται με τη βιβλιογραφία και εκτενές Τεχνικό Παράρτημα
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Modeling dependence in two-tier stochastic frontier models
The two-tier stochastic frontier model has seen widespread application across a range of social science domains. It is particularly useful in examining bilateral exchanges where unobserved side-specific information exists on both sides of the transaction. These buyer and seller specific informational aspects offer opportunities to extract surplus from the other side of the market, in combination also with uneven relative bargaining power. Currently, this model is hindered by the fact that identification and estimation relies on the potentially restrictive assumption that these factors are statistically independent. We present three different models for empirical application that allow for varying degrees of dependence across these latent informational/bargaining factors