Robust estimation in stochastic frontier models

DOI10.1016/J.CSDA.2016.08.005zbMATH Open1467.62017arXiv1507.07902OpenAlexW2465404645MaRDI QIDQ1658542FDOQ1658542

Authors: Junmo Song, Dong-hyun Oh, Jiwon Kang 

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: This study proposes a robust estimator for stochastic frontier models by integrating the idea of Basu et al. [1998, Biometrika 85, 549-559] into such models. We verify that the suggested estimator is strongly consistent and asymptotic normal under regularity conditions and investigate robust properties. We use a simulation study to demonstrate that the estimator has strong robust properties with little loss in asymptotic efficiency relative to the maximum likelihood estimator. A real data analysis is performed for illustrating the use of the estimator.

Full work available at URL: https://arxiv.org/abs/1507.07902

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zbMATH Keywords

outliersrobustnessstochastic frontier modelminimum density power divergence estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cited In (8)

• Nonparametric frontier estimation: A robust approach.
• ROBUSTIFIED EXPECTED MAXIMUM PRODUCTION FRONTIERS
• Outliers, Sample Size and Robust Estimation of Stochastic Frontier Production Models
• Robustness in stochastic frontier analysis
• Robust maximum likelihood estimation of stochastic frontier models
• Consistent estimation of the fixed effects stochastic frontier model
• 2nd special issue on robust analysis of complex data
• Robust estimation of the SUR model

Uses Software

• frontier

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