Go to the content. | Move to the navigation | Go to the site search | Go to the menu | Contacts | Accessibility

| Create Account

Tancredi, Andrea (2002) Accounting for heavy tails in stochastic frontier models. [Working Paper] WORKING PAPER SERIES, 16/2002 . , PADOVA (Inedito)

Full text disponibile come:

PDF Document

Abstract (english)

This paper aims at introducing a new class of stochastic frontier models that can take account for fat tails composed errore. Quite surprisingly, all the stochastic frontier models proposed in literature cannot handle situations where the empirical distribution of the composed error has heavy tails. These situations are instead very common in applications. In particular, we will propose to model the composed error with the skew-t distribution. This is equivalent to assume a Student-t distribution for the measurement error and a half-t distribution for the inefficiency. In this way, we extend quite naturally, the stochastic frontier model where a normal distribution is assumed for the symmetric error and a half-normal distribution is assumed for the inefficiency term.

Statistiche Download - Aggiungi a RefWorks
EPrint type:Working Paper
Anno di Pubblicazione:November 2002
Key Words:Composed error; Efficiency analysis; Skew-t distribution
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7325
Depositato il:04 Nov 2014 11:37
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record