Quantile estimation of the stochastic frontier model

The stochastic frontier model remains popular within the field of efficiency analysis and yet it remains deeply connected to the notion of a conditional mean. Recent research has attempted to conceive of, and estimate, the stochastic frontier model in a quantile setting. We demonstrate here that the stochastic frontier corresponds explicitly to a specific quantile of the output distribution and provide a computational approach to recover this quantile. An empirical illustration demonstrates comparable performance with more classical methods of estimation of the stochastic frontier model. •Advocate that true stochastic frontier corresponds to specific quantile of conditional distribution of output.•Propose algorithm to estimate this quantile.•Provide empirical example demonstrating the method.