Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
Technical and allocative inefficiency in production systems : a vine copula approach. / Zhai, Jian; James, Robert; Prokhorov, Artem.
в: Dependence Modeling, Том 10, № 1, 01.01.2022, стр. 145-158.Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
}
TY - JOUR
T1 - Technical and allocative inefficiency in production systems
T2 - a vine copula approach
AU - Zhai, Jian
AU - James, Robert
AU - Prokhorov, Artem
N1 - Publisher Copyright: © 2022 Jian Zhai et al.
PY - 2022/1/1
Y1 - 2022/1/1
N2 - 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.
AB - 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.
KW - allocative inefficiency
KW - production frontier
KW - technical inefficiency
KW - vine copulas
UR - http://www.scopus.com/inward/record.url?scp=85131739259&partnerID=8YFLogxK
U2 - 10.1515/demo-2022-0108
DO - 10.1515/demo-2022-0108
M3 - Article
AN - SCOPUS:85131739259
VL - 10
SP - 145
EP - 158
JO - Dependence Modeling
JF - Dependence Modeling
SN - 2300-2298
IS - 1
ER -
ID: 99587055