Bayesian and non-bayesian analysis of gamma stochastic frontier models by Markov Chain Monte Carlo methods

SummaryThis paper considers simulation-based approaches for the gamma stochastic frontier model. Efficient Markov chain Monte Carlo methods are proposed for sampling the posterior distribution of the parameters. Maximum likelihood estimation is also discussed based on the stochastic approximation algorithm. The methods are applied to a data set of the U.S. electric utility industry.

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