When faced with multiple inputs X ∈ Rp + and outputs Y ∈ Rq +, traditional quantile regression of Y conditional on X = x for measuring economic efficiency in the output (input) direction is thwarted by the absence of a natural ordering of Euclidean space for dimensions q (p) greater than one. Daouia and Simar (2007) used nonstandard conditional quantiles to address this problem, conditioning on Y ≥ y (X ≤ x) in the output (input) orientation, but the resulting quantiles depend on the a priori chosen direction. This paper uses a dimensionless transformation of the (p + q)-dimensional production process to develop an alternative formulation of distance from a realization of (X, Y ) to the efficient support boundary, motivating a new, unconditional quantile frontier lying inside the joint support of (X, Y ), but near the full, efficient frontier. The interpretation is analogous to univariate quantiles and corrects some of the dis- appointing properties of the conditional quantile-based approach. By contrast with the latter, our approach determines a unique partial-quantile frontier independent of the chosen orientation (input, output, hyperbolic or directional distance). We prove that both the resulting efficiency score and its estimator share desirable monotonic- ity properties. Simple arguments from extreme-value theory are used to derive the asymptotic distributional properties of the corresponding empirical efficiency scores (both full and partial). The usefulness of the quantile-type estimator is shown from an infinitesimal and global robustness theory viewpoints via a comparison with the previous conditional quantile-based approach. A diagnostic tool is developed to find the appropriate quantile-order; in the literature to date, this trimming order has been fixed a priori. The methodology is used to analyze the performance of U.S. credit unions, where outliers are likely to affect traditional approaches.
Abdelaati Daouia, Léopold Simar, and Paul Wilson, “Measuring Firm Performance using Nonparametric Quantile-type Distances”, Econometric Reviews, vol. 36, n. 1-3, 2017, pp. 156–181.
TSE Working Paper, n. 13-412, March 2013, revised November 2013