Estimation of Stochastic Frontier Models with Fixed Effects through Monte Carlo Maximum Likelihood
Estimation of nonlinear fixed-effects models is plagued by the incidental parameters problem. This paper proposes a procedure for choosing appropriate densities for integrating the incidental parameters from the likelihood function in a general context. The densities are based on priors that are upd...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2011/568457 |
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