Frontier Estimation and Firm-Specific Inefficiency Measures in the Presence of Heteroscedasticity
提出一种处理异方差问题的前沿估计方法，利用银行成本数据估计异方差成本前沿模型，发现考虑异方差会显著改变无效率度量结果和公司排名。
Abstract The purpose of this article is to illustrate a straightforward and useful method for addressing the problem of heteroscedasticity in the estimation of frontiers. A heteroscedastic cost-frontier model is developed and estimated using bank cost data similar to that used by Ferrier and Lovell. Our results show dramatic changes in the estimated cost frontier and in the inefficiency measures when accounting for heteroscedasticity in the estimation process. We find that the rankings of firms by their inefficiency measures is affected markedly by the correction for heteroscedasticity but not by alternative distributional assumptions about the one-sided error term. KEY WORDS: Bank costsHeteroscedastic inefficiencyStochastic frontier