Local exponential frontier estimation
In this paper we propose a local exponential estimator for a multiplicative nonparametric frontiermodel rst introduced by Martins-Filho & Yao (2007). We improve their estimation procedure by adoptinga variant of the local exponential smoothing introduced in Ziegelmann (2002). Our estimator is shown...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | Inglés |
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Fundacao Getulio Vargas
2014
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| Online Access: | https://hdl.handle.net/10568/149764 |
| _version_ | 1855514203257831424 |
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| author | Martins-Filho, Carlos Ziegelmann, Flávio Augusto da Silva Torrent, Hudson |
| author_browse | Martins-Filho, Carlos Ziegelmann, Flávio Augusto da Silva Torrent, Hudson |
| author_facet | Martins-Filho, Carlos Ziegelmann, Flávio Augusto da Silva Torrent, Hudson |
| author_sort | Martins-Filho, Carlos |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | In this paper we propose a local exponential estimator for a multiplicative nonparametric frontiermodel rst introduced by Martins-Filho & Yao (2007). We improve their estimation procedure by adoptinga variant of the local exponential smoothing introduced in Ziegelmann (2002). Our estimator is shown to beconsistent and asymptotically normal under mild regularity conditions. In addition, due to local exponentialsmoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filhoand Yao's estimator is avoided. A Monte Carlo study is performed to shed light on the nite sample proper-ties of the estimator and to contrast its performance with that of the estimator proposed in Martins-Filho &Yao (2007). We also conduct an empirical exercise in which a production function and associated ecienciesfor branches of nancial institutions in the United States are estimated. |
| format | Journal Article |
| id | CGSpace149764 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Fundacao Getulio Vargas |
| publisherStr | Fundacao Getulio Vargas |
| record_format | dspace |
| spelling | CGSpace1497642024-10-25T07:53:07Z Local exponential frontier estimation Martins-Filho, Carlos Ziegelmann, Flávio Augusto da Silva Torrent, Hudson regression analysis parametric programming In this paper we propose a local exponential estimator for a multiplicative nonparametric frontiermodel rst introduced by Martins-Filho & Yao (2007). We improve their estimation procedure by adoptinga variant of the local exponential smoothing introduced in Ziegelmann (2002). Our estimator is shown to beconsistent and asymptotically normal under mild regularity conditions. In addition, due to local exponentialsmoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filhoand Yao's estimator is avoided. A Monte Carlo study is performed to shed light on the nite sample proper-ties of the estimator and to contrast its performance with that of the estimator proposed in Martins-Filho &Yao (2007). We also conduct an empirical exercise in which a production function and associated ecienciesfor branches of nancial institutions in the United States are estimated. 2014 2024-08-01T02:49:54Z 2024-08-01T02:49:54Z Journal Article https://hdl.handle.net/10568/149764 en Limited Access Fundacao Getulio Vargas Martins-Filho, Carlos; Ziegelmann, Flávio Augusto; and da Silva Torrent, Hudson. 2014. Local exponential frontier estimation. Brazilian Review of Econometrics 33(2): 171-216. https://doi.org/10.12660/bre.v33n22013.26508 |
| spellingShingle | regression analysis parametric programming Martins-Filho, Carlos Ziegelmann, Flávio Augusto da Silva Torrent, Hudson Local exponential frontier estimation |
| title | Local exponential frontier estimation |
| title_full | Local exponential frontier estimation |
| title_fullStr | Local exponential frontier estimation |
| title_full_unstemmed | Local exponential frontier estimation |
| title_short | Local exponential frontier estimation |
| title_sort | local exponential frontier estimation |
| topic | regression analysis parametric programming |
| url | https://hdl.handle.net/10568/149764 |
| work_keys_str_mv | AT martinsfilhocarlos localexponentialfrontierestimation AT ziegelmannflavioaugusto localexponentialfrontierestimation AT dasilvatorrenthudson localexponentialfrontierestimation |