The most commonly used approaches to parametric (stochastic frontier) analysis of efficiency in panel data, notably the fixed and random effects models, fail to distinguish between cross individual heterogeneity and inefficiency. This blending of effects is particularly problematic in the World Health Organization's (WHO) panel data set on health care delivery, which is a 191 country, 5-year pa...

Ž . We examine the pricing of initial public offering IPO and seasoned equity offering Ž . SEO firms using a stochastic frontier methodology. The stochastic frontier framework models the difference between the maximum possible value of the firm and its actual market capitalization at the time of the offering as a function of observable firm characteristics. Using a new data set, we find that co...

In the standard stochastic frontier model, the two-sided error term V and the one-sided technical inefficiency error term W are assumed to be independent. In this paper, we relax this assumption by modeling the dependence between V and W using copulas. Nine copula families are considered and their parameters are estimated using maximum simulated likelihood. The best model is then selected using...

This paper contributes to the discussion about the performance and e¢ ciency of Portuguese secondary schools, using the stochastic production frontier analysis. We discuss the impact of school variables and the environment on output (measured by the average national examination scores), as determinants of the shape of technology and degree of e¢ ciency. We …nd, in particular, that teacher senio...

Received analyses based on stochastic frontier modeling with panel data have relied primarily on results from traditional linear fixed and random effects models. This paper examines several extensions of these models that employ nonlinear techniques. The fixed effects model is extended to the stochastic frontier model using results that specifically employ the nonlinear specification. Based on ...

This paper studies the time-consistent investment strategy for a defined contribution (DC) pension plan under the mean–variance criterion. Since the time horizon of a pension fund management problem is relatively long, two background risks are taken into account: the inflation risk and the salary risk. Meanwhile, there are a risk-free asset, a stock and an inflation-indexed bond available in th...

This paper examines relative performance of electricity distribution systems in the UK and Japan between 1985 and 1998 using costbased benchmarking with data envelopment analysis (DEA) and stochastic frontier analysis (SFA) methods. The results suggest that the productivity gain in the UK electricity distribution has been larger than in the Japanese sector. In particular, productivity growth ac...