Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
Modeling the error terms in stochastic frontier models of production systems requires multivariate distributions with certain characteristics. We argue that canonical vine copulas offer a natural way to model the pairwise dependence between the two main error types that arise in production systems with multiple inputs. We introduce a vine copula construction that permits dependence between themagnitude (but not the sign) of the errors. By using a recently proposed family of copulas, we show how to construct a simulated likelihood based on C-vines. We discuss issues that arise in the estimation of such models and outline why such models better reflect the dependencies that arise in practice. Monte Carlo simulations and a classic empirical application to electricity generation plants illustrate the utility of the proposed approach.
Язык оригинала | английский |
---|---|
Страницы (с-по) | 145-158 |
Число страниц | 14 |
Журнал | Dependence Modeling |
Том | 10 |
Номер выпуска | 1 |
DOI | |
Состояние | Опубликовано - 1 янв 2022 |
ID: 99587055