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Hotelling tubes, confidence bands and conformal inference

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  • Roger Koenker

    (University College London)

Abstract

Stochastic frontier models and methods as pioneered by Peter Schmidt in Aigner et al. (J Econom 6:21–37, 1977), Horrace and Schmidt (J Product Anal 7:257–282, 1996), Amsler et al. (J Econom 190:280–288, 2016) constitute a rare departure from the usual econometric obsession with models for conditional means. They also provided an early stimulus for the development of quantile regression methods. After a brief tutorial on Hotelling tube methods for constructing confidence bands for nonparametric quantile regression, strengthened performance guarantees for such bands are described based on recent developments in conformal inference. These methods may be considered to be a rather idiosyncratic new approach to nonparametric inference for stochastic frontier models.

Suggested Citation

  • Roger Koenker, 2023. "Hotelling tubes, confidence bands and conformal inference," Empirical Economics, Springer, vol. 64(6), pages 2757-2769, June.
    • Handle: RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02344-z
    DOI: 10.1007/s00181-022-02344-z
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    References listed on IDEAS

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    1. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016. "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
    2. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
    3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    4. Krivobokova, Tatyana & Kneib, Thomas & Claeskens, Gerda, 2010. "Simultaneous Confidence Bands for Penalized Spline Estimators," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 852-863.
    5. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
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