Article

A gamma-moment approach to monotonic boundary estimation

Abdelaati Daouia, Stéphane Girard et Armelle Guillou

Résumé

The estimation of optimal support boundaries under the monotonicity constraint is relatively unexplored and still in full development. This article examines a new extreme-value based model which provides a valid alternative for complete envelopment frontier models that often suffer from lack of precision, and for purely stochastic ones that are known to be sensitive to model misspecification. We provide different motivating applications including the estimation of the minimal cost in production activity and the assessment of the reliability of nuclear reactors.

Mots-clés

Cost function; Edge data; Extreme-value index; Free disposal hull; Moment frontier;

Codes JEL

  • C13: Estimation: General
  • C14: Semiparametric and Nonparametric Methods: General
  • D20: General

Remplace

Abdelaati Daouia, Stéphane Girard et Armelle Guillou, « A gamma-moment approach to monotonic boundaries estimation », TSE Working Paper, n° 13-411, mai 2013.

Référence

Abdelaati Daouia, Stéphane Girard et Armelle Guillou, « A gamma-moment approach to monotonic boundary estimation », Journal of Econometrics, vol. 178, n° 2, février 2014, p. 727–740.

Voir aussi

Publié dans

Journal of Econometrics, vol. 178, n° 2, février 2014, p. 727–740