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...

A Bayesian alternative to Zhuo (2018) is presented. The method is of general interest as it presents an explicit formula for the local sensitivity of log marginal likelihood when observations vary by a small amount. The remarkable feature is that the formula is very easy to compute and does not require knowledge of the marginal likelihood which is, invariably, extremely difficult to compute. Si...

This paper evaluates a more integrated approach of regulation when doing international comparisons and represents the first cross-country study in the South American region in which quality and weather variables have been included in the analysis. A total of 82 electricity distribution firms operating in Argentina, Brazil, Chile and Peru have been analysed for the period 1998-2008. Stochastic f...

The “resource-based view of the firm” has become an important conceptual framework in strategic management but has been widely criticized for lack of an empirical base. To address this deficit, we utilize a new method for identifying inter-firm differences in efficiency within the context of stochastic frontier production functions. Using data on Japanese and U.S. automobile manufacturers, we d...

Using a worldwide panel data set for the period 1990-98 and a stochastic frontier estimation method, this paper measures the efficiency of countries in improving net primary enrollment and life expectancy. Per capita expenditures on the respective social sectors and the adult literacy rate are used as inputs in the estimation of the production frontiers, which are allowed to vary by region. An ...

We develop a stochastic frontier model with unknown locations and number of structural breaks for both efficiency and technology. The structural changes in technology and efficiency are different. It is possible to identify these two types of changes even under a short panel context. The algorithm to estimate the model is designed to avoid the potential pitfalls with panel data. Parallel comput...

Quality of service is of major economic significance in natural monopoly infrastructure industries. In this paper we present an efficiency analysis of electricity distribution networks from seven European countries. We apply the stochastic frontier analysis (SFA) method on multi-output translog input distance function models to estimate cost efficiency and scale economies. We show that introduc...

A Dynamic Bayesian Network (DBN) model for probabilistic assessment of tunnel construction performance is introduced. It facilitates the quantification of uncertainties in the construction process and of the risk from extraordinary events that cause severe delays and damages. Stochastic dependencies resulting from the influence of human factors and other external factors are addressed in the mo...