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ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS

Published online by Cambridge University Press:  09 July 2008

Lajos Horváth ,
Zsuzsanna Horváth  and
Wang Zhou
Lajos Horváth*
Affiliation:
University of Utah
Zsuzsanna Horváth
Affiliation:
University of Utah
Wang Zhou
Affiliation:
National University of Singapore
*
Address correspondence to Lajos Horváth, Department of Mathematics, University of Utah, 155 South 1440 East, Salt Lake City, UT 84112-0090, USA; e-mail: zhorvath@math.utah.edu
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Abstract

Aragon, Daouia, and Thomas-Agnan (2005, Econometric Theory 21, 358–389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function. We provide a method to construct uniform confidence bands without estimating the conditional quantile density.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 6 , December 2008 , pp. 1607 - 1627
Copyright
Copyright © Cambridge University Press 2008

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References

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