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A Bayesian estimator for stochastic frontier models with errors in variables |
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| Authors: | Sheng-Kai Chang Yi-Yi Chen Hung-Jen Wang |
| Affiliation: | 1. Department of Economics, National Taiwan University, 27 Hsu-Chow Road, Taipei, 100, Taiwan 2. Department of Economics, Tamkang University, 151 Ying-chuan Road, Tamsui, 251, Taiwan 3. The Institute of Economics, Academia Sinica, 128 Academia Road, Section 2, Nankang, Taipei, 115, Taiwan |
| Abstract: | A Bayesian estimator is proposed for a stochastic frontier model with errors in variables. The model assumes a truncated-normal distribution for the inefficiency and accommodates exogenous determinants of inefficiency. An empirical example of Tobin??s Q investment model is provided, in which the Q variable is known to suffer from measurement error. Results show that correcting for measurement error in the Q variable has an important effect on the estimation results. |
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