Since 2014
Local Exponential Frontier Estimation
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Local Exponential Frontier Estimation
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| Creator |
Martins-Filho, Carlos; Department of Economics, University of Colorado
Ziegelmann, Flávio Augusto; UFRGS Torrent, Hudson da Silva; UFRGS |
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| Subject |
nonparametric frontier models; local exponential smoothing; local exponential regression
C14; C21 — — |
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| 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.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
CNPq, FAPERGS
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| Date |
2014-07-22
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/26508
10.12660/bre.v33n22013.26508 |
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| Source |
Brazilian Review of Econometrics; Vol 33, No 2 (2013); 171-216
Brazilian Review of Econometrics; Vol 33, No 2 (2013); 171-216 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/26508/28253
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