In most empirical studies, once the best model has been selected according to a certain criterion, subsequent analysis is conducted conditionally on the chosen model. In other words, the uncertainty of model selection is ignored once the best model has been chosen. However, the true...

In this paper, we propose the copula-based maximum likelihood (ML) approach to estimate the multiple stochastic frontier (SF) models with correlated composite errors. The motivation behind the extension to system of SF regressions is analogous to the classical generalization to system of...