A specification test for the composed error term in the stochastic frontier model

We present a simple-to-compute but powerful specification test for the distribution of the composite error term in the stochastic frontier model, that can test for noise distributions with non-zero excess kurtosis. This testing framework offers researchers the opportunity to test for a much wider array of distributional pairs than currently existing tests. This will potentially allow more robust modeling decisions in practice. •Test of correct specification for stochastic frontier model.•Only requires skewness, relaxes kurtosis restrictions.•Good power compared to competitors.•Application reveals important empirical differences.