Estimation of the Boundary of a Variable Observed With Symmetric Error

B-Tier
Journal: Journal of the American Statistical Association
Year: 2020
Volume: 115
Issue: 529
Pages: 425-441

Authors (3)

Jean-Pierre Florens (not in RePEc) Léopold Simar (Université Catholique de Louva...) Ingrid Van Keilegom (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Consider the model Y=X+ε with X=τ+Z , where τ is an unknown constant (the boundary of X), Z is a random variable defined on R+ , ε is a symmetric error, and ε and Z are independent. Based on an iid sample of Y, we aim at identifying and estimating the boundary τ when the law of ε is unknown (apart from symmetry) and in particular its variance is unknown. We propose an estimation procedure based on a minimal distance approach and by making use of Laguerre polynomials. Asymptotic results as well as finite sample simulations are shown. The paper also proposes an extension to stochastic frontier analysis, where the model is conditional to observed variables. The model becomes Y=τ(w1,w2)+Z+ε , where Y is a cost, w1 are the observed outputs and w2 represents the observed values of other conditioning variables, so Z is the cost inefficiency. Some simulations illustrate again how the approach works in finite samples, and the proposed procedure is illustrated with data coming from post offices in France.

Technical Details

RePEc Handle
repec:taf:jnlasa:v:115:y:2020:i:529:p:425-441
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29