Endogeneity in Stochastic Frontier Models

Stochastic frontier models are typically estimated by maximum likelihood (MLE) orcorrected ordinary least squares. The consistency of either estimator depends on exogeneity of the explanatory variables (inputs, in the production frontier setting). We will investigate the case that one or more of the inputs is endogenous, in the simultaneous equation sense of endogeneity. That is, we worry that there is correlation between the inputs and statistical noise or inefficiency. In a standard regression setting, simultaneity is handled by a number of procedures that are numerically or asymptotically equivalent. These include 2SLS; using the residual from the reduced form equations for the endogenous variables as a control function; and MLE of the system that contains the equation of interest plus the unrestricted reduced form equations for the endogenous variables (LIML). We will consider modifications of these standard procedures for the stochastic frontier setting. The paper is mostly a survey and combination of existing results from the stochastic frontier literature and the classic simultaneous equations literature, but it also contains some new results

Endogeneity in Stochastic Frontier Models

Stochastic frontier models are typically estimated by maximum likelihood (MLE) orcorrected ordinary least squares. The consistency of either estimator depends on exogeneity of the explanatory variables (inputs, in the production frontier setting). We will investigate the case that one or more of the inputs is endogenous, in the simultaneous equation sense of endogeneity. That is, we worry that there is correlation between the inputs and statistical noise or inefficiency. In a standard regression setting, simultaneity is handled by a number of procedures that are numerically or asymptotically equivalent. These include 2SLS; using the residual from the reduced form equations for the endogenous variables as a control function; and MLE of the system that contains the equation of interest plus the unrestricted reduced form equations for the endogenous variables (LIML). We will consider modifications of these standard procedures for the stochastic frontier setting. The paper is mostly a survey and combination of existing results from the stochastic frontier literature and the classic simultaneous equations literature, but it also contains some new results

A New Family of Copulas, with Application to Estimation of a Production Frontier System

In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is correlated with |w2 - ½|. We show how this family of copulas can be applied to the error structure in an econometric production frontier model. We also generalize the family of copulas to three or more dimensions, and we give an empirical application

Endogenous Environmental Variables In Stochastic Frontier Models

This paper considers a stochastic frontier model that contains environmental variables that affect the level of inefficiency but not the frontier. The model contains statistical noise, potentially endogenous regressors, and technical inefficiency that follows the scaling property, in the sense that it is the product of a basic (half-normal) inefficiency term and a parametric function of the environmental variables. The environmental variables may be endogenous because they are correlated with the statistical noise or with the basic inefficiency term. Several previous papers have considered the case of inputs that are endogenous because they are correlated with statistical noise, and if they contain environmental variables these are exogenous. One recent paper allows the environmental variables to be correlated with statistical noise. Our paper is the first to allow both the inputs and the environmental variables to be endogenous in the sense that they are correlated either with statistical noise or with the basic inefficiency term. Correlation of inputs or environmental variables with the basic inefficiency term raises non-trivial conceptual issues about the meaning of exogeneity, and technical issues of estimation of the model

Charles Haspel, architecte-paysagiste wurtembergeois actif à Genève au milieu du XIXe siècle, ou l’arbre qui cache la forêt

Jusque vers la fin du XIXe siècle, en l’absence de bureau d’architecte-paysagiste local, c’est vers l’étranger que se tournent les Genevois fortunés souhaitant effectuer de gros travaux dans leurs jardins. Envoyé par l’établissement Baumann à Bollwiller en Alsace, le « jardinier-décorateur » Charles Haspel, né à Schwäbisch-Hall en 1811, laisse de son séjour genevois attesté entre l’été 1845 et le printemps 1854, entrecoupé de nombreux déplacements, notamment à Berne, trois plans de belle facture. Il pourrait avoir joué un rôle décisif dans le parti général adopté lors de la requalification du bas du Parc La Grange suite à la construction de la route d’Hermance

A survey of stochastic frontier models and likely future developments

This paper summarizes the literature on stochastic frontier production function models. It covers the definition of technical efficiency, the basic cross-sectional stochastic frontier model, and the stochastic frontier model with panel data and time-invariant as well as time-varying technical inefficiency. It also discusses models in which technical inefficiency depends on explanatory variables. Finally, it discusses the problem of inference on the inefficiencies and makes some predictions about likely future developments in the field

A hierarchical panel data stochastic frontier model for the estimation of stochastic metafrontiers

[[abstract]]This paper proposes a stochastic frontiermodel with three composed errors, and therefore six error components. As in the metafrontier literature, firms belong to groups with a group-specific frontier. A firm has a level of short-run and long-run inefficiency relative to its group-specific frontier, as in existing models with two composed errors and four error components. But now there is also a group-specific inefficiency, that is, a shortfall of the group-specific frontier from the best practice metafrontier. The paper shows how to estimate this model and how to extract predictions of the various inefficiencies.[[notice]]補正完

Optimasi Portofolio Resiko Menggunakan Model Markowitz MVO Dikaitkan dengan Keterbatasan Manusia dalam Memprediksi Masa Depan dalam Perspektif Al-Qur`an

Risk portfolio on modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Since companies cannot insure themselves completely against risk, as human incompetence in predicting the future precisely that written in Al-Quran surah Luqman verse 34, they have to manage it to yield an optimal portfolio. The objective here is to minimize the variance among all portfolios, or alternatively, to maximize expected return among all portfolios that has at least a certain expected return. Furthermore, this study focuses on optimizing risk portfolio so called Markowitz MVO (Mean-Variance Optimization). Some theoretical frameworks for analysis are arithmetic mean, geometric mean, variance, covariance, linear programming, and quadratic programming. Moreover, finding a minimum variance portfolio produces a convex quadratic programming, that is minimizing the objective function ðð¥with constraintsð ð 𥠥 ðandð´ð¥ = ð. The outcome of this research is the solution of optimal risk portofolio in some investments that could be finished smoothly using MATLAB R2007b software together with its graphic analysis

Penilaian Kinerja Keuangan Koperasi di Kabupaten Pelalawan

This paper describe development and financial performance of cooperative in District Pelalawan among 2007 - 2008. Studies on primary and secondary cooperative in 12 sub-districts. Method in this stady use performance measuring of productivity, efficiency, growth, liquidity, and solvability of cooperative. Productivity of cooperative in Pelalawan was highly but efficiency still low. Profit and income were highly, even liquidity of cooperative very high, and solvability was good

Differential cross section measurements for the production of a W boson in association with jets in proton–proton collisions at √s = 7 TeV

Measurements are reported of differential cross sections for the production of a W boson, which decays into a muon and a neutrino, in association with jets, as a function of several variables, including the transverse momenta (pT) and pseudorapidities of the four leading jets, the scalar sum of jet transverse momenta (HT), and the difference in azimuthal angle between the directions of each jet and the muon. The data sample of pp collisions at a centre-of-mass energy of 7 TeV was collected with the CMS detector at the LHC and corresponds to an integrated luminosity of 5.0 fb[superscript −1]. The measured cross sections are compared to predictions from Monte Carlo generators, MadGraph + pythia and sherpa, and to next-to-leading-order calculations from BlackHat + sherpa. The differential cross sections are found to be in agreement with the predictions, apart from the pT distributions of the leading jets at high pT values, the distributions of the HT at high-HT and low jet multiplicity, and the distribution of the difference in azimuthal angle between the leading jet and the muon at low values.United States. Dept. of EnergyNational Science Foundation (U.S.)Alfred P. Sloan Foundatio