Non-parametric tests of productive efficiency with errors-in-variables

Timo Kuosmanen, Thierry Post, Stefan Scholtes

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

We develop a non-parametric test of productive efficiency that accounts for errors-in-variables, following the approach of Varian. [1985. Nonparametric analysis of optimizing behavior with measurement error. Journal of Econometrics 30(1/2), 445-458]. The test is based on the general Pareto-Koopmans notion of efficiency, and does not require price data. Statistical inference is based on the sampling distribution of the L norm of errors. The test statistic can be computed using a simple enumeration algorithm. The finite sample properties of the test are analyzed by means of a Monte Carlo simulation using real-world data of large EU commercial banks.

Original languageEnglish
Pages (from-to)131-162
Number of pages32
JournalJournal of Econometrics
Volume136
Issue number1
DOIs
Publication statusPublished - Jan 2007
Externally publishedYes

Fingerprint

Errors in Variables
Non-parametric test
Sampling Distribution
Econometrics
Statistical Inference
Measurement errors
Pareto
Measurement Error
Enumeration
Test Statistic
Monte Carlo Simulation
Statistics
Sampling
Norm
Productive efficiency
Errors in variables
Nonparametric test
Nonparametric Test
Banks
Monte Carlo simulation

Keywords

  • Data envelopment analysis (DEA)
  • Errors-in-variables
  • Extreme value theory
  • Hypothesis testing
  • Non-parametric production analysis

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics
  • History and Philosophy of Science

Cite this

Non-parametric tests of productive efficiency with errors-in-variables. / Kuosmanen, Timo; Post, Thierry; Scholtes, Stefan.

In: Journal of Econometrics, Vol. 136, No. 1, 01.2007, p. 131-162.

Research output: Contribution to journalArticle

Kuosmanen, Timo ; Post, Thierry ; Scholtes, Stefan. / Non-parametric tests of productive efficiency with errors-in-variables. In: Journal of Econometrics. 2007 ; Vol. 136, No. 1. pp. 131-162.
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