Title: Stochastic frontier analysis for (co)integrated panels
Authors: Anton Skrobotov - Russian Presidential Academy of National Economy and Public Administration and SPBU (Russia) [presenting]
Artem Prokhorov - University of Sydney (Australia)
Abstract: The standard stochastic frontier analysis is extended to allow integrated and cointegrated variables. We developed the statistical inference for the cointegrating vector under non-symmetric behaviour of the regression errors. Monte-Carlo evidence demonstrates the importance of taking into account cointegration.