This study presents the results of an extensive Monte Carlo experiment to compare different methods of efficiency analysis. In addition to traditional parametric-stochastic and nonparametric-deterministic methods recently developed robust nonparametric-stochastic methods are considered. The experimental design comprises a wide variety of situations with different returns-to-scale regimes, substitution elasticities and outlying observations. As the results show, the new robust nonparametric-stochastic methods should not be used without cross-checking by other methods like stochastic frontier analysis or data envelopment analysis. These latter methods appear quite robust in the experiments.

C14, D24, C15