Introducing Environmental Variables in Nonparametric Frontier Models: a Probabilistic Approach

Daraio, Cinzia; Simar, Léopold

doi:10.1007/s11123-005-3042-8

Cited by 528 publications

(544 citation statements)

References 19 publications

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“…Only Daraio and Simar (2005, 2007b have considered order-m techniques, although their contributions are theoretical. We extend their applications by considering not only order-m but also order-α partial frontiers.…”

Section: Discussionmentioning

confidence: 99%

“…In the particular context of mutual fund performance evaluation, only Daraio and Simar (2005, 2007b have considered not only FDH but also these robust methods. Although their theoretical contributions are highly valuable, they confine their analysis almost entirely to order-m estimators.…”

Section: Introductionmentioning

confidence: 99%

“…Although their theoretical contributions are highly valuable, they confine their analysis almost entirely to order-m estimators. In our paper, we update the contributions by Daraio and Simar (2005, 2007b in several directions. First, we stretch the data to more recent dates, i.e., we focus on the period 2001-2011 whereas Daraio and Simar (2005, 2007b consider sample periods for the early 2000s only; in addition, we have a much tighter focus on the application than on the specific details of the techniques.…”

Section: Introductionmentioning

confidence: 99%

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On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2014

Omega

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The last few years have witnessed a rapid evolution in the literature evaluating mutual fund performance using frontier techniques. The instruments applied, mostly DEA (Data Envelopment Analysis) and, to a lesser extent, FDH (Free Disposal Hull), are able to encompass several dimensions of performance, but they also have some disadvantages that might be preventing a wider acceptance. The recently developed order-m and order-α partial frontiers overcome some of the disadvantages (they are robust with respect to extreme values and noise, and do not suffer from the well-known curse of dimensionality) while keeping the main virtues of DEA and FDH (they are fully-nonparametric). In this article we apply not only the non-convex counterpart of DEA (FDH) but also order-m and order-α partial frontiers to a sample of US mutual funds. The results obtained for both order-m and order-α are useful, since a full ranking of the mutual funds' performance can be obtained. We merge these methods with the literature on mutual fund performance persistence. By combining the two literatures we derive an algorithm which establishes how the choice of m and α parameters intrinsic to order-m and order-α (respectively) relate to the existence of performance persistence and the contrarian effect.

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Section: Discussionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2014

Omega

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“…By means of kernel estimation the reference sets are restricted with respect to z-variables, prior to measuring actual performance such that firms are only compared to others with similar environments. 7 Compensa-6 To incorporate external factors into the performance evaluation, conditional efficiency estimation was proposed initially by Cazals et al (2002) in the order-m framework and further developed by Daraio and Simar (2005), Daraio and Simar (2007b), and Daraio and Simar (2007a). The approach aims to compare only units that operate under similar operation environments, i.e.…”

Section: Conditional Benchmarkingmentioning

confidence: 99%

“…8 The latter requires applying a smoothing technique. Therefore, we perform Kernel estimation with an Epanechnikov kernel K(·) as in, e.g., Daraio and Simar (2005) and Daraio and Simar (2007b). 9 The Kernel is defined as…”

Section: Constructing a Conditional Efficiency Estimatormentioning

confidence: 99%

Finding the Right Yardstick: Regulation Under Heterogeneous Environments

Bjørndal

Cullmann

et al. 2016

SSRN Journal

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Revenue cap regulation is often combined with systematic benchmarking to reveal the managerial inefficiencies when regulating natural monopolies. One example is the European energy sector, where benchmarking methods are based on actual cost data, which are influenced by managerial inefficiency as well as operational heterogeneity. This paper demonstrates how a conditional nonparametric method, which allows the comparison of firms operating under heterogeneous technologies, can be used to estimate managerial inefficiency. A dataset of 123 distribution firms in Norway is used to show aggregate and firm-specific effects of conditioning. By comparing the unconditional model to our proposed conditional model and the model presently used by the Norwegian regulator, we see that the use of conditional benchmarking methods in revenue cap regulation may effectively distinguish between managerial inefficiency and operational heterogeneity. This distinction leads first to a decrease in aggregate efficient costs and second to a reallocation effect that affects the relative profitability of firms and relative customer prices, thus providing a fairer basis for setting revenue caps.JEL-Classification: L94, C44, L51

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Examining the relationship between vertical coordination strategies and technical efficiency: Evidence from the Brazilian ethanol industry

et al. 2018

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The sugarcane industry in Brazil, one of the world's leading producers of ethanol and sugar, is undergoing significant changes driven by geographic expansion and technological innovations. These changes are forcing sugarcane producers and processors, to re-evaluate their vertical coordination and growth strategies. This paper presents an empirical analysis of the relationship between the vertical coordination strategies at the production-processing interface of the Brazilian ethanol supply chain and the technical efficiency of the mills. It utilizes data envelopment analysis and a Tobit censored model in combination with unique data on 204 mills that account for around half of Brazil's sugar and ethanol production. Results indicate that vertical integration and the location of the mill have a statistically significant impact on efficiency. The findings show that the technical efficiency is not the main driver of vertical integration implying that such decisions are primarily motivated by strategic considerations. The mills are likely to forgo gains in technical efficiency in exchange for improving their strategic position through vertical integration. These findings shed light on the underlying motivation for the observed level of vertical integration that accompanies the expansion of the Brazilian sugarcane industry.

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Introducing Environmental Variables in Nonparametric Frontier Models: a Probabilistic Approach

Cited by 528 publications

References 19 publications

On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

On the informativeness of persistence for evaluating mutual fund performance using partial frontiers

Finding the Right Yardstick: Regulation Under Heterogeneous Environments

Examining the relationship between vertical coordination strategies and technical efficiency: Evidence from the Brazilian ethanol industry

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