期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：1
页码：69-95
语种：English
出版社：Polska Akademia Nauk
摘要：The paper investigates Bayesian approach to estimate generalized truerandom-effects models (GTRE). The analysis shows that under suitably definedpriors for transient and persistent inefficiency terms the posterior characteristicsof such models are well approximated using simple Gibbs sampling. No modelre-parameterization is required. The proposed modification not only allowsus to make more reasonable (less informative) assumptions as regards priortransient and persistent inefficiency distribution but also appears to be morereliable in handling especially noisy datasets. Empirical application furthersthe research into stochastic frontier analysis using GTRE models by examiningthe relationship between inefficiency terms in GTRE, true random-effects,generalized stochastic frontier and a standard stochastic frontier model.
