Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix
dc.contributor.author | Lee, Lung-fei | en_US |
dc.date.accessioned | 2013-11-14T23:21:31Z | |
dc.date.available | 2013-11-14T23:21:31Z | |
dc.date.issued | 1992-05 | en_US |
dc.identifier.other | MichU DeptE CenREST W92-01 | en_US |
dc.identifier.other | D240 | en_US |
dc.identifier.other | C510 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/100837 | |
dc.description.abstract | This article has investigated the asymptotic distribution of the maximum likelihood estimator in a stochastic frontier function when the firms are all technically efficient. For such a situation, the true parameter vector is on the boundary of the parameter space, and the scores are linearly dependent. The maximum likelihood estimator is shown to be a mixture of certain truncated distributions. The maximum likelihood estimates for different parameters may have different rates of convergence. The model can be reparameterized into one with a regular likelihood function. The likelihood ratio test statistic has the usual mixture of chi-square distributions as in the regular case. | en_US |
dc.description.sponsorship | Center for Research on Economic and Social Theory, Department of Economics, University of Michigan | en_US |
dc.relation.ispartofseries | CREST Working Paper | en_US |
dc.subject | Stochastic Frontier Function Model | en_US |
dc.subject | Maximum Likelihood Method | en_US |
dc.subject | Parameter Vector | en_US |
dc.subject | Information Matrix | en_US |
dc.subject.other | Production | en_US |
dc.subject.other | Cost | en_US |
dc.subject.other | Capital and Total Factor Productivity | en_US |
dc.subject.other | Capacity | en_US |
dc.subject.other | Model Construction and Estimation | en_US |
dc.title | Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/100837/1/ECON294.pdf | |
dc.owningcollname | Economics, Department of - Working Papers Series |
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