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

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A new family of copulas, with application to estimation of a production frontier system. / Amsler, Christine; Prokhorov, Artem; Schmidt, Peter.

In: Journal of Productivity Analysis, Vol. 55, No. 1, 02.2021.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{096cb89667814c92ae1796ecd9d54bbb,

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

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.",

keywords = "Allocative inefficiency, Copula, Production frontier, Technical inefficiency",

author = "Christine Amsler and Artem Prokhorov and Peter Schmidt",

note = "Amsler, C., Prokhorov, A. & Schmidt, P. A new family of copulas, with application to estimation of a production frontier system. J Prod Anal 55, 1–14 (2021). https://doi.org/10.1007/s11123-020-00590-w",

year = "2021",

month = feb,

doi = "10.1007/s11123-020-00590-w",

language = "English",

volume = "55",

journal = "Journal of Productivity Analysis",

issn = "0895-562X",

publisher = "Springer Nature",

number = "1",

}

RIS

TY - JOUR

T1 - A new family of copulas, with application to estimation of a production frontier system

AU - Amsler, Christine

AU - Prokhorov, Artem

AU - Schmidt, Peter

N1 - Amsler, C., Prokhorov, A. & Schmidt, P. A new family of copulas, with application to estimation of a production frontier system. J Prod Anal 55, 1–14 (2021). https://doi.org/10.1007/s11123-020-00590-w

PY - 2021/2

Y1 - 2021/2

N2 - 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.

AB - 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.

KW - Allocative inefficiency

KW - Copula

KW - Production frontier

KW - Technical inefficiency

UR - http://www.scopus.com/inward/record.url?scp=85097033316&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/368fa442-b780-33dc-a865-53d44fce9cf7/

U2 - 10.1007/s11123-020-00590-w

DO - 10.1007/s11123-020-00590-w

M3 - Article

AN - SCOPUS:85097033316

VL - 55

JO - Journal of Productivity Analysis

JF - Journal of Productivity Analysis

SN - 0895-562X

IS - 1

ER -

ID: 85598596