A Monte Carlo Study on the Finite Sample Properties of the Gibbs Sampling Method for a Stochastic Frontier Model

Author: Zhang X.

Source: Journal of Productivity Analysis, Volume 14, Number 1, July 2000 , pp. 71-83(13)

Publisher: Springer

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Abstract:

In this paper we use Monte Carlo study to investigate the finite sample properties of the Bayesian estimator obtained by the Gibbs sampler and its classical counterpart (i.e. the MLE) for a stochastic frontier model. Our Monte Carlo results show that the MSE performance of the estimates of Gibbs sampling are substantially better than that of the MLE.

Keywords: stochastic frontier; Gibbs sampler; Monte Carlo study

Language: English

Document Type: Regular paper

Affiliations: 1: Department of Economics, Kobe University, Rokko, Nada-ku, Kobe 657-8501 Japan

Publication date: 2000-07-01