On the Distribution of Estimated Technical Efficiency in Stochastic Frontier Models
2009/02/06
研討會日期 : 2009-02-06
時間 : 14:30
主講人 : 王偉祥先生
地點 : B110
演講者簡介 : 王偉祥先生為Ph.D. in Economics，Michigan State University (June 2009 expected)。其主要研究領域為Econometric Theory、Applied Econometrics 及 International Finance。目前正申請本所研究職務中。
演講摘要 : We consider a stochastic frontier model with error ε=v−u, where v is normal and u is half normal. We derive the distribution of the usual estimate of u, E(u|ε). We show that as the variance of v approaches zero, E(u|ε)−u converges to zero, while as the variance of v approaches infinity, E(u|ε) converges to E(u). We graph the density of E(u|ε) for intermediate cases. To show that E(u|ε) is a shrinkage of u towards its mean, we derive and graph the distribution of E(u|ε) conditional on u. We also consider the distribution of estimated inefficiency in the fixed-effects panel data setting.
