Estimation of the Boundary of a Variable Observed with A Symmetric Error

Jean-Pierre Florens, Leopold Simar and Ingrid van Keilegom
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Jean-Pierre Florens: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Ingrid van Keilegom: UCL - Université Catholique de Louvain = Catholic University of Louvain

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Abstract: Consider the model with , where tau is an unknown constant (the boundary of X), Z is a random variable defined on , epsilon is a symmetric error, and epsilon and Z are independent. Based on an iid sample of Y, we aim at identifying and estimating the boundary tau when the law of epsilon 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 , where Y is a cost, w(1) are the observed outputs and w(2) 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)
Date: 2020-03
New Economics Papers: this item is included in nep-eff
Note: View the original document on HAL open archive server: https://hal.science/hal-02929524v1
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Citations: View citations in EconPapers (7)

Published in Journal of the American Statistical Association, 2020, 115 (529), pp.425-451. ⟨10.1080/01621459.2018.1555093⟩

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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 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:hal:journl:hal-02929524

DOI: 10.1080/01621459.2018.1555093

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