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A new family of copulas, with application to estimation of a production frontier system. / Amsler, Christine; Prokhorov, Artem; Schmidt, Peter.
в: Journal of Productivity Analysis, Том 55, № 1, 02.2021.Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
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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