Robust estimation in stochastic frontier models

• DOI: 10.1016/j.csda.2016.08.005
• Publication Date: 2016-08-29T13:34:14Z
• Authors: Junmo Song; Dong-hyun Oh; Jiwon Kang
• Keywords: Methodology (stat.ME); FOS: Computer and information sciences; Statistics - Other Statistics; Other Statistics (stat.OT); 0502 economics and business; 05 social sciences; 0101 mathematics; 01 natural sciences; Statistics - Methodology

43 pages, 5 figures<br/>This study proposes a robust estimator for stochastic frontier models by integrating the idea of Basu et al. [1998, Biometrika 85, 549-559] into such models. We verify that the suggested estimator is strongly consistent and asymptotic normal under regularity conditions and investigate robust properties. We use a simulation study to demonstrate that the estimator has strong robust properties with little loss in asymptotic efficiency relative to the maximum likelihood estimator. A real data analysis is performed for illustrating the use of the estimator.<br/>