空间随机前沿模型的模拟极大似然估计及其应用.pdf

2010 International Conference on Future Information Technology and Management Engineering Simulated Maximum Likelihood Estimation of Spatial Stochastic Frontier Model and Its Application Jiaxian Lin1 Zhihe Long1 Kuanpin Lin2 1) School of Economics and Commerce, South China University of Technology, Guangzhou, China (linjiaxian@) 2) Department of Economics, Portland State University, Portland, Oregon, USA (link@) Abstract —This paper considers a spatial stochastic frontier model that accounts for possible unknown geographical variation of the outputs. The stochastic frontier model is augmented with a spatial autoregressive structure for the two-sided part of the disturbance, and the time-varying technical inefficiency is not imposed a rigorous function structure. Because of the spatial effect and the asymmetry composed error structure, it is intractable to employ maximum likelihood method directly to estimate the proposed model. Simulated maximum likelihood estimation is used instead. We derive the simulated likilihood function of the model, and present an application of the estimation method on China province-level panel data from 2000 to 2007. The results show that the spatial effect is highly significant, and the ignorance of the spatial effect produces significantly different rankings of technical efficiencies across production units. Keyword —stochastic frontier, spatial econometrics, simulated maximum likelihood, technical efficiency 空间随机前沿模型的模拟极大似然估计及其应用 林佳显1 龙志和1 林光平2 1) 华南理工大学经济与贸易学院，广州，广东，中国 2) 美国波特兰州立大学经济系，波特兰，俄勒冈，美国 摘 要 本文考察双边随机干扰项具有空间自相关结构的随机前沿模型，并采用模拟极大似然法来进行模型估计。在引入空间效 应的随机前沿模型分析框架下，由于存在空间效应和随机前沿模型特有的不对称复合误差项结构，直接采用极大似然法进行模型估计 存在一定的难度。本文完成模拟极大似然函数的数理推导，并将该方法应用于2000－2007 年全国31 个省（区市）的面板数据。实例 结果显示，空间效应的存在高度显著，将其忽略会产生显著不同的模型参数估计值和技术效率排序。