This research contrasts three econometric alternatives for stochastic efficiency frontier analysis: order – inter-quantile – and inverse order regression under the assumption of truncated error term distribution, and replicated moment estimation. The demonstration departs from a simple...

General strategies for constructing second order efficient robust distances from suitable properties of the residual adjustment functions (RAF) are discussed. Based on those properties families of estimators are constructed using the truncated polynomial, negative exponential and sigmoidal...

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up...