A new family of copulas, with application to estimation of a production frontier system

Christine Amsler, Artem Prokhorov, Peter Schmidt

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This paper makes two contributions. The first is to propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is correlated with |w2 − 1/2|. We show how this family of copulas can be applied to the error structure in an econometric production frontier model. The second contribution is to give some general results on how to extend a two-dimensional copula to three or more dimensions. This extension is necessary in our production frontier model when there are multiple inputs, but our results apply more generally to the extension of arbitrary two-dimensional copulas. We also report the results of some simulations and we give an empirical example.

Original languageEnglish
Number of pages14
JournalJournal of Productivity Analysis
Volume55
Issue number1
DOIs
StatePublished - Feb 2021

Scopus subject areas

  • Business and International Management
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Keywords

  • Allocative inefficiency
  • Copula
  • Production frontier
  • Technical inefficiency

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