- Tytuł:
- Bayesian Inference and Gibbs Sampling in Generalized True Random-Effects Models
- Autorzy:
- Makieła, Kamil
- Powiązania:
- https://bibliotekanauki.pl/articles/2076439.pdf
- Data publikacji:
- 2017
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
generalized true random-effects model
stochastic frontier analysis
Gibbs sampling
Bayesian inference
cost efficiency
transient and persistentefficiency - Opis:
- The paper investigates Bayesian approach to estimate generalized true random-effects models (GTRE). The analysis shows that under suitably defined priors for transient and persistent inefficiency terms the posterior characteristics of such models are well approximated using simple Gibbs sampling. No model re-parameterization is required. The proposed modification not only allows us to make more reasonable (less informative) assumptions as regards prior transient and persistent inefficiency distribution but also appears to be more reliable in handling especially noisy datasets. Empirical application furthers the research into stochastic frontier analysis using GTRE models by examining the relationship between inefficiency terms in GTRE, true random-effects, generalized stochastic frontier and a standard stochastic frontier model.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2017, 1; 69-95
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
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