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1.
Léopold Simar 《Journal of Productivity Analysis》2007,28(3):183-201
In frontier analysis, most nonparametric approaches (DEA, FDH) are based on envelopment ideas which assume that with probability
one, all observed units belong to the attainable set. In these “deterministic” frontier models, statistical inference is now
possible, by using bootstrap procedures. In the presence of noise, envelopment estimators could behave dramatically since
they are very sensitive to extreme observations that might result only from noise. DEA/FDH techniques would provide estimators
with an error of the order of the standard deviation of the noise. This paper adapts some recent results on detecting change
points [Hall P, Simar L (2002) J Am Stat Assoc 97:523–534] to improve the performances of the classical DEA/FDH estimators in the presence of noise. We
show by simulated examples that the procedure works well, and better than the standard DEA/FDH estimators, when the noise
is of moderate size in term of signal to noise ratio. It turns out that the procedure is also robust to outliers. The paper
can be seen as a first attempt to formalize stochastic DEA/FDH estimators.
相似文献
2.
In frontier analysis, most of the nonparametric approaches (DEA, FDH) are based on envelopment ideas which suppose that with probability one, all the observed units belong to the attainable set. In these deterministic frontier models, statistical theory is now mostly available (Simar and Wilson, 2000a). In the presence of super-efficient outliers, envelopment estimators could behave dramatically since they are very sensitive to extreme observations. Some recent results from Cazals et al. (2002) on robust nonparametric frontier estimators may be used in order to detect outliers by defining a new DEA/FDH deterministic type estimator which does not envelop all the data points and so is more robust to extreme data points. In this paper, we summarize the main results of Cazals et al. (2002) and we show how this tool can be used for detecting outliers when using the classical DEA/FDH estimators or any parametric techniques. We propose a methodology implementing the tool and we illustrate through some numerical examples with simulated and real data. The method should be used in a first step, as an exploratory data analysis, before using any frontier estimation. 相似文献
3.
Stochastic FDH/DEA estimators for frontier analysis 总被引:2,自引:2,他引:0
In this paper we extend the work of Simar (J Product Ananl 28:183–201, 2007) introducing noise in nonparametric frontier models. We develop an approach that synthesizes the best features of the two
main methods in the estimation of production efficiency. Specifically, our approach first allows for statistical noise, similar
to Stochastic frontier analysis (even in a more flexible way), and second, it allows modelling multiple-inputs-multiple-outputs
technologies without imposing parametric assumptions on production relationship, similar to what is done in non-parametric
methods, like Data Envelopment Analysis (DEA), Free Disposal Hull (FDH), etc.... The methodology is based on the theory of
local maximum likelihood estimation and extends recent works of Kumbhakar et al. (J Econom 137(1):1–27, 2007) and Park et al. (J Econom 146:185–198, 2008). Our method is suitable for modelling and estimation of the marginal effects onto inefficiency level jointly with estimation
of marginal effects of input. The approach is robust to heteroskedastic cases and to various (unknown) distributions of statistical
noise and inefficiency, despite assuming simple anchorage models. The method also improves DEA/FDH estimators, by allowing
them to be quite robust to statistical noise and especially to outliers, which were the main problems of the original DEA/FDH
estimators. The procedure shows great performance for various simulated cases and is also illustrated for some real data sets.
Even in the single-output case, our simulated examples show that our stochastic DEA/FDH improves the Kumbhakar et al. (J Econom
137(1):1–27, 2007) method, by making the resulting frontier smoother, monotonic and, if we wish, concave. 相似文献
4.
It is well-known that the naive bootstrap yields inconsistent inference in the context of data envelopment analysis (DEA)
or free disposal hull (FDH) estimators in nonparametric frontier models. For inference about efficiency of a single, fixed
point, drawing bootstrap pseudo-samples of size m < n provides consistent inference, although coverages are quite sensitive to the choice of subsample size m. We provide a probabilistic framework in which these methods are shown to valid for statistics comprised of functions of
DEA or FDH estimators. We examine a simple, data-based rule for selecting m suggested by Politis et al. (Stat Sin 11:1105–1124, 2001), and provide Monte Carlo evidence on the size and power of our tests. Our methods (i) allow for heterogeneity in the inefficiency
process, and unlike previous methods, (ii) do not require multivariate kernel smoothing, and (iii) avoid the need for solutions
of intermediate linear programs. 相似文献
5.
S. Grosskopf 《Journal of Productivity Analysis》1996,7(2-3):161-176
The purpose of this paper is to provide a brief and selective survey of statistical inference in nonparametric, deterministic, linear programming-based frontier models. The survey starts with nonparametric regularity tests, sensitivity analysis, two-stage analysis with regression, and nonparametric statistical tests. It then turns to the more recent literature which shows that DEA-type estimators are maximum likelihood, and, more importantly the results concerning the asymptotic properties of these estimators. Also included is a discussion of recent attempts to employ resampling methods to derive empirical distributions for hypothesis testing. 相似文献
6.
Understanding the effects of operational conditions and practices on productive efficiency can provide valuable economic and
managerial insights. The conventional approach is to use a two-stage method where the efficiency estimates are regressed on
contextual variables representing the operational conditions. The main problem of the two-stage approach is that it ignores
the correlations between inputs and contextual variables. To address this shortcoming, we build on the recently developed
regression interpretation of data envelopment analysis (DEA) to develop a new one-stage semi-nonparametric estimator that
combines the nonparametric DEA-style frontier with a regression model of the contextual variables. The new method is referred
to as stochastic semi-nonparametric envelopment of z variables data (StoNEZD). The StoNEZD estimator for the contextual variables is shown to be statistically consistent under
less restrictive assumptions than those required by the two-stage DEA estimator. Further, the StoNEZD estimator is shown to
be unbiased, asymptotically efficient, asymptotically normally distributed, and converge at the standard parametric rate of
order n
−1/2. Therefore, the conventional methods of statistical testing and confidence intervals apply for asymptotic inference. Finite
sample performance of the proposed estimators is examined through Monte Carlo simulations. 相似文献
7.
Aspects of statistical analysis in DEA-type frontier models 总被引:2,自引:2,他引:2
In Grosskopf (1995) and Banker (1995) different approaches and problems of statistical inference in DEA frontier models are presented. This paper focuses on the basic characteristics of DEA models from a statistical point of view. It arose from comments and discussions on both papers above. The framework of DEA models is deterministic (all the observed points lie on the same side of the frontier), nevertheless a stochastic model can be constructed once a data generating process is defined. So statistical analysis may be performed and sampling properties of DEA estimators can be established. However, practical statistical inference (such as test of hypothesis, confidence intervals) still needs artifacts like the bootstrap to be performed. A consistent bootstrap relies also on a clear definition of the data generating proces and on a consistent estimator of it: The approach of Simar and Wilson (1995) is described. Finally, some trails are proposed for introducing stochastic noise in DEA models, in the spirit of the Kneip-Simar (1995) approach. 相似文献
8.
9.
Tadeusz Bednarski 《Metrika》2002,55(1-2):27-36
An estimation method is presented which compromises robust efficiency with computational feasibility in the case of the generalized
Poisson model. The formal setup is built on flexible nonparametric extensions of the underlying model. The estimation efficiency
is expressed via minimax properties of tests resulting from expansions of estimators. The nonparametric neighborhoods related
to the proposed score function are exemplified and a real data case is analysed. The resulting method balances several qualitative
features of statistical inference: strong differentiability (asymptotic derivations are more accurate), efficiency and natural
model extension (quality of formal basic assumptions). 相似文献
10.
On FDH efficiency analysis: Some methodological issues and applications to retail banking,courts, and urban transit 总被引:14,自引:9,他引:5
Henry Tulkens 《Journal of Productivity Analysis》1993,4(1-2):183-210
The methodology of free disposal hull (FDH) measure of productive efficiency is defined and put in perspectivevis-à-vis other nonparametric techniques, in terms of the postulates on which they respectively rest. Computational issues are also considered, in relation to the linear programming techniques used in DEA. The first application bears on a comparison between a private and a public bank, in terms of the relative efficiency of their branches. Important characteristics of the data are revealed by FDH that are not by DEA, due to a better data fit. Next, efficiency estimates of judicial activities are used to evaluate what part of the existing backlog could be reduced by efficiency increases. Finally, with monthly data of an urban transit firm over 12 years, the FDH methodology is extended to a sequential treatment of time series, that supplements efficiency estimation with a measure of technical progress. 相似文献
11.
《Journal of econometrics》2005,126(2):305-334
The paper analyzes a number of competing approaches to modeling efficiency in panel studies. The specifications considered include the fixed effects stochastic frontier, the random effects stochastic frontier, the Hausman–Taylor random effects stochastic frontier, and the random and fixed effects stochastic frontier with an AR(1) error. I have summarized the foundations and properties of estimators that have appeared elsewhere and have described the model assumptions under which each of the estimators have been developed. I discuss parametric and nonparametric treatments of time varying efficiency including the Battese–Coelli estimator and linear programming approaches to efficiency measurement. Monte Carlo simulation is used to compare the various estimators and to assess their relative performances under a variety of misspecified settings. A brief illustration of the estimators is conducted using U.S. banking data. 相似文献
12.
DEA, DFA and SFA: A comparison 总被引:1,自引:5,他引:1
Lennart Hjalmarsson Subal C. Kumbhakar Almas Heshmati 《Journal of Productivity Analysis》1996,7(2-3):303-327
The nonparametric data envelopment analysis (DEA) model has become increasingly popular in the analysis of productive efficiency, and the number of empirical applications is now very large. Recent theoretical and mathematical research has also contributed to a deeper understanding of the seemingly simple but inherently complex DEA model. Less effort has, however, been directed toward comparisons between DEA and other competing efficiency analysis models. This paper undertakes a comparison of the DEA, the deterministic parametric (DFA), and the stochastic frontier (SFA) models. Efficiency comparisons across models in the above categories are done based on 15 Colombian cement plants observed during 1968–1988. 相似文献
13.
14.
This paper proposes a new approach to handle nonparametric stochastic frontier (SF) models. It is based on local maximum likelihood techniques. The model is presented as encompassing some anchorage parametric model in a nonparametric way. First, we derive asymptotic properties of the estimator for the general case (local linear approximations). Then the results are tailored to a SF model where the convoluted error term (efficiency plus noise) is the sum of a half normal and a normal random variable. The parametric anchorage model is a linear production function with a homoscedastic error term. The local approximation is linear for both the production function and the parameters of the error terms. The performance of our estimator is then established in finite samples using simulated data sets as well as with a cross-sectional data on US commercial banks. The methods appear to be robust, numerically stable and particularly useful for investigating a production process and the derived efficiency scores. 相似文献
15.
Efficiency analysis of East European electricity distribution in transition: legacy of the past? 总被引:1,自引:0,他引:1
This paper provides a cross-country efficiency analysis of electricity distribution companies in the East European transition
countries of Poland, the Czech Republic, Slovakia and Hungary. We use common nonparametric efficiency measurement such as
Data Envelopment Analysis (DEA) and Free Disposal Hull (FDH) under different assumptions and apply recent developments of
statistical inference in nonparametric frontier models to test our hypotheses. We discuss the empirical problems of cross-country
benchmarking approaches, in particular the comparability of different structures of electricity distribution companies. Our
results suggest that Poland’s distribution companies are still inefficiently small; the Czech Republic features the highest
efficiency; and Slovakia and Hungary occupy the middle range. We also note that privatization has had a positive effect on
technical efficiency in the four countries. We use the phrase “legacy of the past” to describe the four countries in comparison
to the efficiency of electricity distribution companies we studied in Germany.
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Christian von HirschhausenEmail: |
16.
Non-parametric, unconditional quantile estimation for efficiency analysis with an application to Federal Reserve check processing operations 总被引:1,自引:0,他引:1
This paper examines the technical efficiency of US Federal Reserve check processing offices over 1980–2003. We extend results from Park et al. [Park, B., Simar, L., Weiner, C., 2000. FDH efficiency scores from a stochastic point of view. Econometric Theory 16, 855–877] and Daouia and Simar [Daouia, A., Simar, L., 2007. Nonparametric efficiency analysis: a multivariate conditional quantile approach. Journal of Econometrics 140, 375–400] to develop an unconditional, hyperbolic, α-quantile estimator of efficiency. Our new estimator is fully non-parametric and robust with respect to outliers; when used to estimate distance to quantiles lying close to the full frontier, it is strongly consistent and converges at rate root-n, thus avoiding the curse of dimensionality that plagues data envelopment analysis (DEA) estimators. Our methods could be used by policymakers to compare inefficiency levels across offices or by managers of individual offices to identify peer offices. 相似文献
17.
Conditional nonparametric frontier models for convex and nonconvex technologies: a unifying approach 总被引:1,自引:1,他引:1
The explanation of productivity differentials is very important to identify the economic conditions that create inefficiency
and to improve managerial performance. In the literature two main approaches have been developed: one-stage approaches and
two-stage approaches. Daraio and Simar (2005, J Prod Anal 24(1):93–121) propose a fully nonparametric methodology based on
conditional FDH and conditional order-m frontiers without any convexity assumption on the technology. However, convexity has always been assumed in mainstream production
theory and general equilibrium. In addition, in many empirical applications, the convexity assumption can be reasonable and
sometimes natural. Lead by these considerations, in this paper we propose a unifying approach to introduce external-environmental
variables in nonparametric frontier models for convex and nonconvex technologies. Extending earlier contributions by Daraio
and Simar (2005, J Prod Anal 24(1):93–121) as well as Cazals et al. (2002, J Econometrics 106:1–25), we introduce a conditional
DEA estimator, i.e., an estimator of production frontier of DEA type conditioned to some external-environmental variables
which are neither inputs nor outputs under the control of the producer. A robust version of this conditional estimator is
proposed too. These various measures of efficiency provide also indicators of convexity which we illustrate using simulated
and real data.
Cinzia Daraio received Research support from the Italian Ministry of Education Research on Innovation Systems Project (iRis)
“The reorganization of the public system of research for the technological transfer: governance, tools and interventions”
and from the Italian Ministry of Educational Research Project (MIUR 40% 2004) “System spillovers on the competitiveness of
Italian economy: quantitative analysis for sectoral policies” which are acknowledged.
Léopold Simar received Research support from the “Interuniversity Attraction Pole”, Phase V (No. P5/24) from the Belgian Government
(Belgian Science Policy) is acknowledged. 相似文献
18.
In most empirical studies, once the best model has been selected according to a certain criterion, subsequent analysis is conducted conditionally on the chosen model. In other words, the uncertainty of model selection is ignored once the best model has been chosen. However, the true data-generating process is in general unknown and may not be consistent with the chosen model. In the analysis of productivity and technical efficiencies in the stochastic frontier settings, if the estimated parameters or the predicted efficiencies differ across competing models, then it is risky to base the prediction on the selected model. Buckland et al. (Biometrics 53:603?C618, 1997) have shown that if model selection uncertainty is ignored, the precision of the estimate is likely to be overestimated, the estimated confidence intervals of the parameters are often below the nominal level, and consequently, the prediction may be less accurate than expected. In this paper, we suggest using the model-averaged estimator based on the multimodel inference to estimate stochastic frontier models. The potential advantages of the proposed approach are twofold: incorporating the model selection uncertainty into statistical inference; reducing the model selection bias and variance of the frontier and technical efficiency estimators. The approach is demonstrated empirically via the estimation of an Indian farm data set. 相似文献
19.
Stochastic non-smooth envelopment of data: semi-parametric frontier estimation subject to shape constraints 总被引:2,自引:2,他引:0
The field of productive efficiency analysis is currently divided between two main paradigms: the deterministic, nonparametric Data Envelopment Analysis (DEA) and the parametric Stochastic Frontier Analysis (SFA). This paper examines an encompassing semiparametric frontier model that combines the DEA-type nonparametric frontier, which satisfies monotonicity and concavity, with the SFA-style stochastic homoskedastic composite error term. To estimate this model, a new two-stage method is proposed, referred to as Stochastic Non-smooth Envelopment of Data (StoNED). The first stage of the StoNED method applies convex nonparametric least squares (CNLS) to estimate the shape of the frontier without any assumptions about its functional form or smoothness. In the second stage, the conditional expectations of inefficiency are estimated based on the CNLS residuals, using the method of moments or pseudolikelihood techniques. Although in a cross-sectional setting distinguishing inefficiency from noise in general requires distributional assumptions, we also show how these can be relaxed in our approach if panel data are available. Performance of the StoNED method is examined using Monte Carlo simulations. 相似文献
20.
This paper uses both Data Envelopment Analysis (DEA) and Free Disposal Hull (FDH) models in order to determine different performance
levels in a sample of 353 foreign equities operating in the Greek manufacturing sector. Particularly, convex and non-convex
models are used alongside with bootstrap techniques in order to determine the effect of foreign ownership on SMEs’ performance.
The study illustrates how the recent developments in efficiency analysis and statistical inference can be applied when evaluating
performance issues. The analysis among the foreign equities indicates that the levels of foreign ownership have a positive
effect on SMEs’ performance. 相似文献