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Inference in the nonparametric stochastic frontier model

Author

Listed:
  • Parmeter, Christopher F.

    (University of Miami)

  • Simar, Léopold

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Van Keilegom, Ingrid

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Zelenyuk, Valentin

    (The University of Queensland)

Abstract

This article is the first in the literature to discuss in detail how to conduct various types of inference in the stochastic frontier model when it is estimated using nonparametric methods. We discuss a general and versatile inferential technique that allows for a range of practical hypotheses of interest to be tested. We also discuss several challenges that currently exist in this framework in an effort to alert researchers to potential pitfalls. Namely, it appears that when one wishes to estimate a stochastic frontier in a fully nonparametric framework, separability between inputs and determinants of inefficiency is an essential ingredient for the correct empirical size of a test. We showcase the performance of the test with a variety of Monte Carlo simulations.

Suggested Citation

  • Parmeter, Christopher F. & Simar, Léopold & Van Keilegom, Ingrid & Zelenyuk, Valentin, 2024. "Inference in the nonparametric stochastic frontier model," LIDAM Reprints ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2024013
    DOI: https://doi.org/10.1080/07474938.2024.2339193
    Note: In: Econometric Reviews, 2024, vol. 43(7), p. 518-539
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    References listed on IDEAS

    as
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    3. Léopold Simar & Ingrid Keilegom & Valentin Zelenyuk, 2017. "Nonparametric least squares methods for stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 47(3), pages 189-204, June.
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    Cited by:

    1. Tsionas, Mike & Parmeter, Christopher F. & Zelenyuk, Valentin, 2023. "Bayesian Artificial Neural Networks for frontier efficiency analysis," Journal of Econometrics, Elsevier, vol. 236(2).
    2. Mike Tsionas & Christopher F. Parmeter & Valentin Zelenyuk, 2021. "Bridging the Divide? Bayesian Artificial Neural Networks for Frontier Efficiency Analysis," CEPA Working Papers Series WP082021, School of Economics, University of Queensland, Australia.
    3. Centorrino, Samuele & Parmeter, Christopher F., 2024. "Nonparametric estimation of stochastic frontier models with weak separability," Journal of Econometrics, Elsevier, vol. 238(2).

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    More about this item

    Keywords

    Efficiency ; local-polynomial least-squares ; productivity analysis ; simulation ; stochastic frontier analysis;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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