Quantile Stochastic Frontiers

In this paper, based on Jradi and Ruggiero (2019). Stochastic Data Envelopment Analysis: A Quantile Regression Approach to Estimate the Production Frontier. European Journal of Operational Research, 278 (2), 385–393] we propose a novel quantile Stochastic Frontier Model (SFM) and develop Markov Chain Monte Carlo techniques for numerical Bayesian inference. In an empirical application to US large banks we document important differences between the Quantile and the traditional SFM, in terms of several aspects of the data. We also document considerable heterogeneity among different quantiles in terms of returns to scale, technical change, efficiency change, technical efficiency, as well as productivity growth