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高校应用数学学报
高校应用数学学报  2016, Vol. 31 Issue (2): 127-135    
    
动态异方差随机前沿模型的Bayesian推断
程迪1, 张世斌2
1. 内蒙古大学 数学科学学院, 内蒙古呼和浩特 010021
2. 上海海事大学 数学系, 上海浦东 201306
Bayesian inference for dynamic heterogeneity stochastic frontier model
CHENG Di1, ZHANG Shi-bin2
1. School of Math. Sci., Inner Mongolian Univ., Hohhot 010021, China
2. Dept. of Math., Shanghai Maritime Univ., Shanghai 201306, China
 全文: PDF 
摘要： 随机前沿模型中如果忽略单边干扰项的异质性(heterogeneity)往往导致错误的效率估计. 从个体特征的影响和方差的时变性两方面对单边干扰项进行考虑,提出异方差动态随机前沿模型. 利用Gibbs抽样方法对动态异方差随机前沿模型进行Bayesian分析. 导出了模型参数的后验条件分布, 对中小样本的模拟实验显示在最小后验均方误差准则下得到的参数估计值非常接近真值. 对电力公司的实际数据进行 分析显示对数无效率项的方差有一定的时变性.
关键词： 随机前沿模型;  Bayesian分析;  异方差;  Gibbs抽样;  Metropolis-Hastings抽样    
Abstract: If heterogeneity of the “inefficiency” term is disregarded, it will result in the incorrect estimate of this term in the stochastic frontier model. By combining the influence from characteristic differences of individuals with the time-varying property of variance, a dynamic heterogeneity stochastic frontier model is proposed. By the Gibbs sampling, the methodology for Bayesian analysis of the dynamic heterogeneity stochastic frontier model is given. For each model parameter, the posterior distribution is derived. A simulation study shows that under the criterion of minimizing the posterior mean square error, the Bayesian estimate is close to its true value for small and medium sized samples. From the Bayesian analysis based on the real electric power company generation data, it is evidenced that there exists the time-varying property for the variance of the logarithm “inefficiency” term.
Key words: stochastic frontier model    Bayesian inference    heterogeneity    Gibbs sampling    Metropolis-Hastings sampling
收稿日期: 2015-11-13 出版日期: 2018-05-17
CLC:  O212.8  
基金资助: 上海市自然科学基金(13ZR1419100); 上海市教委科研创新项目(14YZ115)
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引用本文:

程迪, 张世斌. 动态异方差随机前沿模型的Bayesian推断[J]. 高校应用数学学报, 2016, 31(2): 127-135.

CHENG Di, ZHANG Shi-bin. Bayesian inference for dynamic heterogeneity stochastic frontier model. Applied Mathematics A Journal of Chinese Universities, 2016, 31(2): 127-135.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2016/V31/I2/127

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