Quantile Estimation of Stochastic Frontier Models with the Normal-Half Normal Specification : A Cumulative Distribution Function Approach

In this paper, based on the cumulative distribution function (CDF) method (Jradiet al., 2021) for finding the optimal quantile when estimating stochastic frontier models(SFM) with normal-exponential composite error term, we derive an expression to findthe optimal quantile for the SFM with normal-half normal composite error term. Wethen use Monte-Carlo simulations and the same data set as Jradi et al. (2019) tocompare the difference of iteration method (Jradi et al., 2019) and CDF method for theSFM with normal-half normal specification. The simulations and empirical applicationillustrate that both methods work well