Bayesian Estimation of Stochastic Frontier Models with Multivariate Skew t Error Terms |
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| Authors: | Sylvie Tchumtchoua Dipak K Dey |
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| Institution: | 1. Department of Agricultural and Resource Economics , University of Connecticut , Storrs, Connecticut, USA sylvie.Tchumtchoua@uconn.edu;3. Department of Statistics , University of Connecticut , Storrs, Connecticut, USA |
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| Abstract: | The study of proportions is a common topic in many fields of study. The standard beta distribution or the inflated beta distribution may be a reasonable choice to fit a proportion in most situations. However, they do not fit well variables that do not assume values in the open interval (0, c), 0 < c < 1. For these variables, the authors introduce the truncated inflated beta distribution (TBEINF). This proposed distribution is a mixture of the beta distribution bounded in the open interval (c, 1) and the trinomial distribution. The authors present the moments of the distribution, its scoring vector, and Fisher information matrix, and discuss estimation of its parameters. The properties of the suggested estimators are studied using Monte Carlo simulation. In addition, the authors present an application of the TBEINF distribution for unemployment insurance data. |
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| Keywords: | Bayesian modeling Markov Chain Monte Carlo method Regression analysis Slice sampling |
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