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Hotelling tubes, confidence bands and conformal inference

In: Advances in Applied Econometrics

Author

Listed:
  • 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, 2024. "Hotelling tubes, confidence bands and conformal inference," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 295-307, Springer.
    • Handle: RePEc:spr:adschp:978-3-031-48385-1_12
    DOI: 10.1007/978-3-031-48385-1_12
    as

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