@techreport{d27e7bcfbb16457a934aab6fa8b4c0ec,

title = "On the Use of Panel Data in Bayesian Stochastic Frontier Models",

abstract = "We consider a Bayesian analysis of the stochastic frontier model with composed error.Under a commonly used class of (partly) noninformative prior distributions, the existence of the posterior distribution and of posterior moments is examined.Viewing this model as a Normal linear regression model with regression parameters corresponding to both the frontier and the inefficiency terms, generates the insights used to derive results in a very wide framework.It is found that in pure cross-section models posterior inference is precluded under this ``usual'' class of priors.Existence of a well-defined posterior distribution crucially hinges upon the structure imposed on the inefficiency terms.Exploiting panel data naturally suggests the use of more structured models, where Bayesian inference can be conducted.",

keywords = "panel data, bayesian statistics, stochastic frontier models",

author = "C. Fern{\'a}ndez and J. Osiewalski and M.F.J. Steel",

note = "Pagination: 21",

year = "1996",

language = "English",

volume = "1996-17",

series = "CentER Discussion Paper",

publisher = "Econometrics",

type = "WorkingPaper",

institution = "Econometrics",

}