Maximum likelihood estimation of stochastic frontier models by the Fourier transform

DOI10.1016/j.jeconom.2012.04.001zbMath1443.62510OpenAlexW2169727885MaRDI QIDQ528038

Efthymios G. Tsionas

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.615.3293

zbMATH Keywords

fast Fourier transformcharacteristic functiongeneralized method of momentsmaximum likelihoodmoment generating functionstochastic frontiers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10)

Related Items (6)

Likelihood computation in the normal-gamma stochastic frontier model ⋮ The split-SV model ⋮ Unnamed Item ⋮ Some recent developments in efficiency measurement in stochastic frontier models ⋮ Performance estimation when the distribution of inefficiency is unknown ⋮ Multiple subordinated modeling of asset returns: Implications for option pricing

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