# Robust Bayesian Inference in Stochastic Frontier Models

## Abstract

**:**

## 1. Introduction

## 2. Model

## 3. Illustration

## 4. Empirical Application

## 5. Concluding Remarks

## Funding

## Conflicts of Interest

## References

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1 | |

2 | The cost frontier is obtained by taking $-{y}_{i}$ and $-{x}_{i}$. Moreover, the extension to the case of panel data is straightforward. |

3 | The prior for ${\sigma}_{v}$ with $\underset{\_}{n}=0$ has been proposed by Fernández et al. (1997). |

4 | The neighborhood is defined as $\underset{\_}{n}+\nu $ and $\underset{\_}{q}+s$, where $\nu \in \left[{10}^{-4},3\right]$ and $s\in \left[{10}^{-4},1\right]$ following a uniform distribution. |

**Figure 5.**Normalized log marginal likelihood. Note: Log marginal likelihood is normalized so that its value at $\zeta =0.5$ is zero.

Parameters | GCD | RNE | acf(50) |
---|---|---|---|

$\beta $ | 1.619 | 0.582 | 0.392 |

${\sigma}_{v}$ | 1.303 | 0.618 | 0.403 |

${\sigma}_{u}$ | 1.202 | 0.588 | 0.380 |

$u$ | 1.719 | 0.449 | 0.344 |

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**MDPI and ACS Style**

Tsionas, M.G. Robust Bayesian Inference in Stochastic Frontier Models. *J. Risk Financial Manag.* **2019**, *12*, 183.
https://doi.org/10.3390/jrfm12040183

**AMA Style**

Tsionas MG. Robust Bayesian Inference in Stochastic Frontier Models. *Journal of Risk and Financial Management*. 2019; 12(4):183.
https://doi.org/10.3390/jrfm12040183

**Chicago/Turabian Style**

Tsionas, Mike G. 2019. "Robust Bayesian Inference in Stochastic Frontier Models" *Journal of Risk and Financial Management* 12, no. 4: 183.
https://doi.org/10.3390/jrfm12040183