×

Robust nonparametric frontier estimation in two steps. (English) Zbl 07739042

Summary: We propose a robust methodology for estimating production frontiers with multi-dimensional input via a two-step nonparametric regression, in which we estimate the level and shape of the frontier before shifting it to an appropriate position. Our main contribution is to derive a novel frontier estimation method under a variety of flexible models which is robust to the presence of outliers and possesses some inherent advantages over traditional frontier estimators. Our approach may be viewed as a simplification, yet a generalization, of those proposed by Martins-Filho and coauthors, who estimate frontier surfaces in three steps. In particular, outliers, as well as commonly seen shape constraints of the frontier surfaces, such as concavity and monotonicity, can be straightforwardly handled by our estimation procedure. We show consistency and asymptotic distributional theory of our resulting estimators under standard assumptions in the multi-dimensional input setting. The competitive finite-sample performances of our estimators are highlighted in both simulation studies and empirical data analysis.

MSC:

62P20 Applications of statistics to economics

Software:

scar; sfa; Benchmarking

References:

[1] Aigner, D.; Lovell, C.; Schmidt, P., Formulation and estimation of stochastic frontier production function models, Journal of Econometrics, 6, 1, 21-37 (1977) · Zbl 0366.90026 · doi:10.1016/0304-4076(77)90052-5
[2] Badunenko, O.; Henderson, D. J.; Kumbhakar, S. C., When, where and how to perform efficiency estimation, Journal of the Royal Statistical Society Series A: Statistics in Society, 175, 4, 863-892 (2012) · doi:10.1111/j.1467-985X.2011.01023.x
[3] Bogetoft, P., Otto, L., (2020). Benchmarking with DEA and SFA. R package version 0, vol. 29. · Zbl 1213.90001
[4] Charnes, A.; Cooper, W. W.; Rhodes, E., Measuring the efficiency of decision making units, European Journal of Operational Research, 2, 6, 429-444 (1978) · Zbl 0416.90080 · doi:10.1016/0377-2217(78)90138-8
[5] Chen, Y.; Samworth, R. J., Generalized additive and index models with shape constraints, Journal of the Royal Statistical Society Series B: Statistical Methodology, 78, 4, 729-754 (2016) · Zbl 1414.62153 · doi:10.1111/rssb.12137
[6] Daraio, C.; Simar, L., Introducing environmental variables in nonparametric frontier models: A probabilistic approach, Journal of Productivity Analysis, 24, 1, 93-121 (2005) · doi:10.1007/s11123-005-3042-8
[7] Daraio, C.; Simar, L., Advanced Robust and Nonparametric Methods in Efficiency Analysis: Methodology and Applications (2007), Springer · Zbl 1149.91003
[8] Deprins, D.; Simar, L.; Tulkens, H.; Marchand, M.; Pestieau, P.; Tulkens, H., The Performance of Public Enterprises: Concepts and Measurements, Measuring labor inefficiency in post offices, 243-267 (1984), Amsterdam: North Holland, Amsterdam
[9] Fan, J., Design-adaptive nonparametric regression, Journal of the American Statistical Association, 87, 420, 998-1004 (1992) · Zbl 0850.62354 · doi:10.1080/01621459.1992.10476255
[10] Fan, J.; Gijbels, I., Data-driven bandwidth selection in local polynomial fitting: Variable bandwidth and spatial adaptation, Journal of the Royal Statistical Society: Series B (Methodological), 57, 2, 371-394 (1995) · Zbl 0813.62033 · doi:10.1111/j.2517-6161.1995.tb02034.x
[11] Fan, J.; Gijbels, I., Local Polynomial Modelling and Its Applications (1996), New York: Now Publishers Inc, New York · Zbl 0873.62037
[12] Fan, J.; Yao, Q., Efficient estimation of conditional variance functions in stochastic regression, Biometrika, 85, 3, 645-660 (1998) · Zbl 0918.62065 · doi:10.1093/biomet/85.3.645
[13] Fang, Y.; Xue, L.; Martins-Filho, C.; Yang, L., Robust estimation of additive boundaries with quantile regression and shape constraints, Journal of Business & Economic Statistics, 40, 2, 615-628 (2022) · Zbl 07928205 · doi:10.1080/07350015.2020.1847123
[14] Feng, O. Y.; Chen, Y.; Han, Q.; Carroll, R. J.; Samworth, R. J., Nonparametric, tuning-free estimation of S-shaped functions, Journal of the Royal Statistical Society Series B: Statistical Methodology, 84, 4, 1324-1352 (2022) · Zbl 07909616 · doi:10.1111/rssb.12481
[15] Feng, O. Y.; Chen, Y.; Han, Q.; Carroll, R. J.; Samworth, R. J., Sshaped: Nonparametric, Tuning-Free Estimation of S-Shaped Functions (2022)
[16] Ghosal, P.; Sen, B., On univariate convex regression, Sankhya A, 79, 2, 215-253 (2017) · Zbl 1380.62170 · doi:10.1007/s13171-017-0104-8
[17] Groeneboom, P.; Jongbloed, G.; Wellner, J. A., A canonical process for estimation of convex functions: The “invelope” of integrated brownian motion, The Annals of Statistics, 29, 1620-1652 (2001) · Zbl 1043.62026
[18] Groeneboom, P.; Jongbloed, G.; Wellner, J. A., Estimation of a convex function: Characterizations and asymptotic theory, The Annals of Statistics, 29, 1653-1698 (2001) · Zbl 1043.62027 · doi:10.1214/aos/1015345958
[19] Han, Q., Wellner, J. A. (2016). Multivariate Convex Regression: Global Risk Bounds and Adaptation. doi:arXiv, 1601.06844.
[20] Horowitz, J. L.; Mammen, E., Nonparametric estimation of an additive model with a link function, The Annals of Statistics, 32, 2412-2443 (2004) · Zbl 1069.62035 · doi:10.1214/009053604000000814
[21] Johnson, A. L.; McGinnis, L. F., Outlier detection in two-stage semiparametric DEA models, European Journal of Operational Research, 187, 2, 629-635 (2008) · Zbl 1149.90076 · doi:10.1016/j.ejor.2007.03.041
[22] Khezrimotlagh, D.; Cook, W. D.; Zhu, J., A nonparametric framework to detect outliers in estimating production frontiers, European Journal of Operational Research, 286, 1, 375-388 (2020) · Zbl 1443.90215 · doi:10.1016/j.ejor.2020.03.014
[23] Kneip, A.; Simar, L.; Wilson, P. W., When bias kills the variance: Central limit theorems for DEA and FDH efficiency scores, Econometric Theory, 31, 2, 394-422 (2015) · Zbl 1441.62777 · doi:10.1017/S0266466614000413
[24] Lim, E.; Glynn, P. W., Consistency of multidimensional convex regression, Operations Research, 60, 1, 196-208 (2012) · Zbl 1342.62064 · doi:10.1287/opre.1110.1007
[25] Mammen, E., Estimating a smooth monotone regression function, The Annals of Statistics, 19, 724-740 (1991) · Zbl 0737.62038 · doi:10.1214/aos/1176348117
[26] Mammen, E.; Yu, K., IMS Lecture Notes Mono-graph Series, Asymptotics: Particles, Processes and Inverse Problems, 55, Additive isotone regression, 179-195 (2007), Institute of Mathematical Statistics · Zbl 1176.62035
[27] Martins-Filho, C.; Torrent, H.; Ziegelmann, F. A., Local exponential frontier estimation, Brazilian Review of Econometrics, 33, 171-216 (2013) · doi:10.12660/bre.v33n22013.26508
[28] Martins-Filho, C.; Yao, F., Nonparametric frontier estimation via local linear regression, Journal of Econometrics, 141, 1, 283-319 (2007) · Zbl 1418.62163 · doi:10.1016/j.jeconom.2007.01.005
[29] Masry, E., Multivariate regression estimation local polynomial fitting for time series, Stochastic Processes and Their Applications, 65, 1, 81-101 (1996) · Zbl 0889.60039 · doi:10.1016/S0304-4149(96)00095-6
[30] Meeusen, W.; Van Den Broeck, J., Efficiency estimation from cobb-douglas production functions with composed error, International Economic Review, 18, 2, 435 (1977) · Zbl 0366.90025 · doi:10.2307/2525757
[31] Papadopoulos, A.; Parmeter, C. F., Quantile methods for stochastic frontier analysis, Foundations and Trends in Econometrics, 12, 1, 1-120 (2022) · Zbl 07644937 · doi:10.1561/0800000042
[32] Parmeter, C. F.; Kumbhakar, S. C., Efficiency Analysis: A Primer on Recent Advances, Foundations and Trends \(####\) in Econometrics, 7, 3-4, 191-385 (2014) · Zbl 1307.62255 · doi:10.1561/0800000023
[33] Parmeter, C. F.; Racine, J. S.; Chen, X.; Swanson, Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr, Smooth constrained frontier analysis, 463-488 (2013), New York: Springer, New York
[34] Ruppert, D.; Sheather, S. J.; Wand, M. P., An effective bandwidth selector for local least squares regression, Journal of the American Statistical Association, 90, 432, 1257-1270 (1995) · Zbl 0868.62034 · doi:10.1080/01621459.1995.10476630
[35] Seifford, L., Data envelopment analysis: The evolution of the state of the art (1978-1995), Journal of Productivity Analysis, 7, 99-137 (1996)
[36] Seijo, E.; Sen, B., Nonparametric least squares estimation of a multivariate convex regression function, The Annals of Statistics, 39, 1633-1657 (2011) · Zbl 1220.62044 · doi:10.1214/10-AOS852
[37] Simar, L., Detecting outliers in Frontier models: A simple approach, Journal of Productivity Analysis, 20, 3, 391-424 (2003) · doi:10.1023/A:1027308001925
[38] Simar, L.; Wilson, P., Estimation and inference in nonparametric frontier models: Recent developments and perspectives, Foundations and Trends in Econometrics, 5, 411-435 (2013)
[39] Stone, C. J., The dimensionality reduction principle for generalized additive models, The Annals of Statistics, 14, 590-606 (1986) · Zbl 0603.62050 · doi:10.1214/aos/1176349940
[40] Sun, K.; Henderson, D. J.; Kumbhakar, S. C., Biases in approximating log production, Journal of Applied Econometrics, 26, 4, 708-714 (2011) · doi:10.1002/jae.1229
[41] Wang, L.; Xue, L.; Yang, L., Estimation of additive frontier functions with shape constraints, Journal of Nonparametric Statistics, 32, 2, 262-293 (2020) · Zbl 1442.62074 · doi:10.1080/10485252.2020.1721494
[42] Ziegelmann, F. A., Nonparametric estimation of volatility functions: The local exponentail estimator, Econometric Theory, 18, 4, 985-991 (2002) · Zbl 1109.62358 · doi:10.1017/S026646660218409X
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.