The theme of this thesis seeks to find modern testing techniques and estimation methods tosupport and extend the application of the stochastic frontier models. With a long time development,stochastic frontier (SF, her...
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The theme of this thesis seeks to find modern testing techniques and estimation methods tosupport and extend the application of the stochastic frontier models. With a long time development,stochastic frontier (SF, hereafter) models have various homogenous and heterogeneousmodel specifications, especially on the distribution of the inefficient term. Although many testsin the literature of SF models can help us choose the suitable model specification, these tests cannot help us know if we need to use a heterogeneous specification or what kind of heterogeneousspecification we should use in SF analysis. Hence, to find a test that can test most kinds of SFmodels is the first aim of this *** the other hand, with the extension to other econometric fields, the SF analysis requiresto use the panel data more frequently. Dynamic panel SF models are models which containsthe features of both dynamic panel models and SF models and have the value in SF analysiswhen using panel data. However, this kind of models are more difficult to estimate than eitherdynamic panel models or SF models. To seek a way to consistently estimate most kinds ofdynamic panel SF models is the second aim of this thesis. In this thesis, three chapters aregenerated to discuss the aforementioned testing and estimating issues in SF models:1. Evaluating Stochastic Frontier Models by the Simulated Integrated Conditional MomentTestThe problem of testing the distribution of the composite error or the functional form of thefrontier function in the SF models has become increasingly important in recent years. However,the tests mentioned in the literature of SF analysis are not able to jointly test the misspecificationof different aspects of SF models, especially the distribution of the composite error and thefunctional form of the frontier function. The lack of appropriate tests may lead to incorrectmodel specifications for empirical analysis. This paper applies the SICM test of Bierens andWang (2012) to SF mod
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