Maximum Likelihood Estimator for Spatial Stochastic Frontier Models

Pavlyuk, Dmitry (2012): Maximum Likelihood Estimator for Spatial Stochastic Frontier Models. Published in: Proceedings of the 12th International Conference “Reliability and Statistics in Transportation and Communication” (2012): pp. 11-19.

Abstract

This research is devoted to analysis of efficiency estimation in presence of spatial relationships and spatial heterogeneity in data. We presented a general specification of the spatial stochastic frontier model, which includes spatial lags, spatial autoregressive disturbances and spatial autoregressive inefficiencies. Maximum likelihood estimators are derived for two special cases of the spatial stochastic frontier. Small-sample properties of these estimators and comparison with a standard non-spatial estimator were implemented using a set of Monte Carlo experiments. Finally, we tested our estimators on a real-world data set of European airports and discovered significant spatial components in data.

• Item Type: MPRA Paper
• Language: English
• Keywords: spatial stochastic frontier, maximum likelihood, efficiency, heterogeneity
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; L - Industrial Organization > L9 - Industry Studies: Transportation and Utilities > L93 - Air Transportation; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C31 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions ; Social Interaction Models

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