Title

A stochastic frontier regression model with dynamic frontier

Article Type

Research Article

Publication Title

Communications in Statistics: Simulation and Computation

Abstract

We consider a stochastic frontier regression model with a time dependent efficiency process, which is assumed to follow an exponential autoregressive sequence. The likelihood for the model is derived in the context of a bivariate exponential distribution. Bayesian method is suggested for the estimation of parameters. We apply the model and the estimation procedure to a panel of US airlines data and show empirically that the model is dynamic in the sense that it reveals improvement in the efficiency or reduction in the inefficiency over time.

First Page

1415

Last Page

1428

DOI

10.1080/03610918.2015.1011333

Publication Date

6-2-2020

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