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Robust estimation in stochastic frontier models

Listed author(s):
  • Song, Junmo
  • Oh, Dong-hyun
  • Kang, Jiwon
Registered author(s):

    This study proposes a robust estimator for stochastic frontier models by integrating the idea of Basu et al. (1998) into such models. It is shown that the suggested estimator is strongly consistent and asymptotic normal under regularity conditions. The robust properties of the proposed approach are also investigated. A simulation study demonstrates that the estimator has strong robust properties with little loss in asymptotic efficiency relative to the maximum likelihood estimator. Finally, a real data analysis is performed to illustrate the use of the estimator.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167947316301864
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 105 (2017)
    Issue (Month): C ()
    Pages: 243-267

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    Handle: RePEc:eee:csdana:v:105:y:2017:i:c:p:243-267
    DOI: 10.1016/j.csda.2016.08.005
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    4. Jondrow, James & Knox Lovell, C. A. & Materov, Ivan S. & Schmidt, Peter, 1982. "On the estimation of technical inefficiency in the stochastic frontier production function model," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 233-238, August.
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    8. van den Broeck, Julien & Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1994. "Stochastic frontier models : A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 61(2), pages 273-303, April.
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    14. Sangyeol Lee & Junmo Song, 2009. "Minimum density power divergence estimator for GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(2), pages 316-341, August.
    15. Léopold Simar, 2003. "Detecting Outliers in Frontier Models: A Simple Approach," Journal of Productivity Analysis, Springer, vol. 20(3), pages 391-424, November.
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    19. Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G., 2007. "Nonparametric stochastic frontiers: A local maximum likelihood approach," Journal of Econometrics, Elsevier, vol. 137(1), pages 1-27, March.
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