关键词: 真实固定效应随机前沿模型, 个体效应, 空间效应, 贝叶斯估计, 后验分布

Abstract: Ignoring individual effects and spatial effects would seriously affect the estimation of technical efficiencies, ignoring individual effects will shift the technical inefficiency items and ignoring spatial effects will result on the bias and inconsistent estimators. This paper simultaneously incorporates the spatial lagged terms of dependent variable and stochastic errors into true fixed effects stochastic frontier models, then construct the true fixed effects spatial stochastic frontier models which are more applicable. The changes within the model to remove additional parameters and use Bayesian method (need to deduce posterior distribution and execute MCMC sampling) to estimate parameters and technical efficiencies. The method truly overcomes the additional parameter problem which is simpler and more intuitive. The numerical simulations show that the estimation accuracies of parameters, individual effects and technical efficiencies are high, and with the sample size increasing, the estimation accuracies become higher.

Key words: The True Fixed Effects Stochastic Frontier Model, Individual Effects, Spatial Effects, Bayesian Estimation, Full Conditional Distribution