Estimation of a Doubly Heteroscedastic Stochastic Frontier Cost Function
扩展了Caudill等人关于存在异方差无效率时随机前沿成本函数的估计方法，提出对两个随机项均假设异方差，以避免设定偏误和错误检验，并发现企业特定无效率测度对异方差修正非常敏感。
Abstract This article extends the results obtained by Caudill, Ford, and Cropper in estimating and testing stochastic frontier cost functions in the presence of heteroscedastic inefficiency using cross-section data. It suggests the estimation of the model under the assumption of heteroscedasticity in both random terms. This avoids any possible misspecification bias and the use of incorrect tests. The same data as used by Caudill et al. supports the new specification. Moreover, we find that firm-specific inefficiency measures are extremely sensitive to the proposed correction for heteroscedasticity. KEY WORDS: Heteroscedastic mixture of normalsLikelihood ratio testStochastic frontier