生产率与效率分析lecture8 随机前沿效率1.pptVIP

Estimating Firm-Specific TE Jondrow, Materov, Lovell Schmidt (1982) Battese and Coelli (1988) TE i = [(1- ? ( ? A + ? e i / ? A ) / (1- ? ( ? e i / ? A )] x exp( ? e i + ? A 2 / 2) where ? A = ? [ ? (1 - ? ) ? 2 ] and e i = lny i - x i ? Substitute ML estimates of ? , ? and ? 2 into this Testing Hypotheses Important to test for presence of technical inefficiency (TI) Do not impose TI by estimating SF model without testing for TI Options Wald test LR test Testing for TI (cont.) Options Wald test LR test H 0 : no TI in sample H A : TI in sample Wald test found to reject H 0 20% of time when H 0 false only 5% of time - Coelli (1995) poor size (prob. of Type I error) properties Testing for TI (cont.) Use LR test instead of Wald test H 0 : no TI in sample = H 0 : ? = 0 ? = ( ? u 2 / ? 2 ) ? u 2 variance of u ? 0 ? u 2 = 0 means all u i = 0 {because E[u] =f( ? u )} LR statistic -2{ln L R - ln L UR } = -2{ln L (H 0 ) - ln L ( H A )} LR ? ? 1 2 2020 年 6 月 2 日星期二 生产率与效率分析 lecture8- 随机前沿效率 1 The Stochastic Frontier - History Farrell (1957) 2 measures of firm efficiency technical efficiency (TE) obtain maximal output from given set of inputs allocative efficiency (AE) use inputs in optimal proportions, given input prices History (cont.) Recall technical efficiency (TE) allocative efficiency (AE) Focus on TE only For simplicity in explanation of stochastic frontiers (SF) History (cont.) To calculate efficiency must know production function of fully efficient firm Never know it Farrell estimate fully efficient production function History (cont.) Estimate fully efficient production function Two ways 1. non-parametric piece-wise linear technology Charnes, Cooper others DEA ( not Drug Enforcement Agency!) ignore in this session History (cont.) Estimate fully efficient production function Two ways 1. non-parametric piece-wise linear technology Charnes, Cooper others DEA ( Data Envelopment Analysis ) ignore in this session History (con