Universität zu Köln

Hafner, Christian M., Manner, Hans and Simar, Leopold (2018). The wrong skewness problem in stochastic frontier models: A new approach. Econom. Rev., 37 (4). S. 380 - 401. PHILADELPHIA: TAYLOR & FRANCIS INC. ISSN 1532-4168

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Abstract

Stochastic frontier models are widely used to measure, e.g., technical efficiencies of firms. The classical stochastic frontier model often suffers from the empirical artefact that the residuals of the production function may have a positive skewness, whereas a negative one is expected under the model, which leads to estimated full efficiencies of all firms. We propose a new approach to the problem by generalizing the distribution used for the inefficiency variable. This generalized stochastic frontier model allows the sample data to have the wrong skewness while estimating well-defined and nondegenerate efficiency measures. We discuss the statistical properties of the model, and we discuss a test for the symmetry of the error term (no inefficiency). We provide a simulation study to show that our model delivers estimators of efficiency with smaller bias than those of the classical model even if the population skewness has the correct sign. Finally, we apply the model to data of the U.S. textile industry for 1958-2005 and show that for a number of years our model suggests technical efficiencies well below the frontier while the classical one estimates no inefficiency in those years.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hafner, Christian M. UNSPECIFIED UNSPECIFIED UNSPECIFIED Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED Simar, Leopold UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-203329
DOI:	10.1080/07474938.2016.1140284
Journal or Publication Title:	Econom. Rev.
Volume:	37
Number:	4
Page Range:	S. 380 - 401
Date:	2018
Publisher:	TAYLOR & FRANCIS INC
Place of Publication:	PHILADELPHIA
ISSN:	1532-4168
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language LIKELIHOOD; ERROR Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/20332