Pitfalls of normal-gamma stochastic frontier models

Ritter, Christian;Simar, Léopold
(1997) Journal of Productivity Analysis — Vol. 8, n° 2, p. 167-182 (1997)

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Abstract
Although conceptually pleasing, normal-gamma frontier models lead to difficult estimation problems. It is shown here that unless the sample size reaches several thousands of observations the shape parameter of the gamma density is hard to estimate, and that this carries over to estimates of the stochastic frontier, the individual inefficiencies, and the allocation of the overall variance to the stochastic frontier and to the inefficiencies.
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Ritter, C., & Simar, L. (1997). Pitfalls of normal-gamma stochastic frontier models. Journal of Productivity Analysis, 8(2), 167-182. https://doi.org/10.1023/A:1007751524050 (Original work published 1997)