Frontier estimation with local polynomials and high power-transformed data

Séphane Girard and Pierre Jacob

Journal of Multivariate Analysis, 2009, vol. 100, issue 8, 1691-1705

Abstract: We present a new method for estimating the frontier of a sample. The estimator is based on a local polynomial regression on the power-transformed data. We assume that the exponent of the transformation goes to infinity while the bandwidth goes to zero. We give conditions on these two parameters for obtaining almost complete convergence. The asymptotic conditional bias and variance of the estimator are provided and its good performance is illustrated for some finite sample situations.

Keywords: Local; polynomials; estimator; Power; transform; Frontier; estimation (search for similar items in EconPapers)
Date: 2009
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