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Density Deconvolution with Laplace Errors and Unknown Variance

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Abstract

We consider density deconvolution with zero-mean Laplace errors in the context of an error component regression model. We adapt the minimax deconvolution methods of Meister (2006) to allow for unknown variance of the Laplace errors. We propose a semi-uniformly consistent deconvolution estimator for an ordinary smooth target density and a modified “variance truncation device" for the unknown Laplace error variance. We provide practical guidance for the choice of smoothness parameters of the target density. A simulation study and applications to a stochastic frontier model of US banks and a statistical measurement error model of daily saturated fat intake are provided.

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  • Jun Cai & William C. Horrace & Christopher F. Parmeter, 2020. "Density Deconvolution with Laplace Errors and Unknown Variance," Center for Policy Research Working Papers 225, Center for Policy Research, Maxwell School, Syracuse University.
    • Handle: RePEc:max:cprwps:225
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    File URL: https://surface.syr.edu/cpr/257/
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    Cited by:

    1. Horrace, William C. & Rothbart, Michah W. & Yang, Yi, 2022. "Technical efficiency of public middle schools in New York City," Economics of Education Review, Elsevier, vol. 86(C).
    2. William C. Horrace & Yulong Wang, 2022. "Nonparametric tests of tail behavior in stochastic frontier models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 537-562, April.
    3. Jun Cai & William C. Horrace & Christopher F. Parmeter, 2024. "Penalized sieve estimation of zero‐inefficiency stochastic frontiers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 41-65, January.

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    More about this item

    Keywords

    Efficiency Estimation; Laplace Distribution; Stochastic Frontier;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity

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