Estimation of the Boundary of a Variable Observed With Symmetric Error

Jean-Pierre Florens, Leopold Simar and Ingrid Van Keilegom ()
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Ingrid Van Keilegom: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2020049, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Consider the model Y=X+ε with X=τ+Z, where τ is an unknown constant (the boundary of X), Z is a random variable defined on R+, ε is a symmetric error, and ε and Z are independent. Based on an iid sample of Y, we aim at identifying and estimating the boundary τ when the law of ε is unknown (apart from symmetry) and in particular its variance is unknown. We propose an estimation procedure based on a minimal distance approach and by making use of Laguerre polynomials. Asymptotic results as well as finite sample simulations are shown. The paper also proposes an extension to stochastic frontier analysis, where the model is conditional to observed variables. The model becomes Y=τ(w1,w2)+Z+ε, where Y is a cost, w1 are the observed outputs and w2 represents the observed values of other conditioning variables, so Z is the cost inefficiency. Some simulations illustrate again how the approach works in finite samples, and the proposed procedure is illustrated with data coming from post offices in France.

Keywords: Characteristic function; Cumulant function; Flexible parametric family; Frontier estimation; Laguerre polynomials (search for similar items in EconPapers)
Pages: 17
Date: 2020-01-01
Note: In: Journal of the American Statistical Association, vol. 115, no. 529, p. 425-441 (2020)
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Estimation of the Boundary of a Variable Observed With Symmetric Error (2020)
Working Paper: Estimation of the Boundary of a Variable Observed with A Symmetric Error (2020)
Working Paper: Estimation of the Boundary of a Variable observed with Symmetric Error (2019)
Working Paper: Estimation of the Boundary of a Variable Observed with A Symmetric Error (2019)
Working Paper: Estimation of the Boundary of a Variable observed with Symmetric Error (2018)
Working Paper: Estimation of the boundary of a variable observed with symmetric error (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2020049

DOI: 10.1080/01621459.2018.1555093

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