STOCHASTIC FRONTIER MODELS BY COPULAS AND AN APPLICATION

Najjari V., Bal H., Ozturk F., ALP İ.

UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS, cilt.78, sa.1, ss.31-41, 2016 (SCI-Expanded, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 78 Sayı: 1
  • Basım Tarihi: 2016
  • Dergi Adı: UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.31-41
  • Anahtar Kelimeler: Copulas, hyperbolic functions, MLE, stochastic frontier, technical efficiency, ARCHIMEDEAN COPULAS, GENERATOR, MARGINALS, FAMILY, ERROR
  • Ankara Üniversitesi Adresli: Evet

Özet

The main endeavor in this study is to use copulas in the stochastic frontier analysis (SFA) to estimate production frontier and also technical efficiency of DMUs. After presenting theorical discussion using copulas in SFA, we finalize our study by providing an application on real data set. We compare the yielded efficiency scores by using copulas with results of the standard SFA and also CCR and BCC models. We concentrate on several Archimedean families and specially three families which were newly presented to the literature. These new families have trigonometric and hyperbolic generators and they are more flexible in modeling dependence structures.