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...

This paper estimates shadow price of equity for U.S. commercial banks over 2001--2018 using non-parametric estimators of the underlying cost frontier and tests the existence of “Too-Big-to-Fail” (TBTF) banks. Evidence on the existence of TBTF banks is found. Specifically, I find that a...