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RE: st: Problems Stochastic Frontier Analysis


From   erik.brouwer@nl.pwc.com
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Problems Stochastic Frontier Analysis
Date   Tue, 3 Feb 2004 17:43:54 +0100

Dear David

thanks for your comment. It helps. But I have still a strange thing. If you
look at the z-values. You see very high values. Above 100.000. If I
estimate the same model specifications with Limdep I get normal z-values
(around 3). The coefficients in Limdep and Stata are almost the same. What
can explain  the enormous large z-values.

regards

erik brouwer


                                                                                                                                              
                      "David M. Drukker,                                                                                                      
                      StataCorp"                      To: statalist@hsphsun2.harvard.edu                                                      
                      <ddrukker@stata.com>            cc:                                                                                     
                      Sent by:                        Subject:  RE: st: Problems Stochastic Frontier Analysis                                 
                      owner-statalist@hsphsun2.                                                                                               
                      harvard.edu                                                                                                             
                      03/02/2004 17:01                                                                                                        
                                                                                                                                              
                      Please respond to                                                                                                       
                      statalist                                                                                                               
                                                                                                                                              
                                                                                                                                              




Eric Brouwer <erik.brouwer@nl.pwc.com> wrote that he was having trouble
performing Stochastic Frontier Analysis in Stata.

After the estimation command

. frontier lnTK lnZT, d(e) cost;

that produced

Stoc. frontier normal/exponential model           Number of obs   =
15
                                                  Wald chi2(1)    =
1.115e+12
Log likelihood =  8.5130782                       Prob > chi2     =
0.0000

------------------------------------------------------------------------------

        lnTK |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------

        lnZT |   1.244566   1.18e-06        .   0.000     1.244563
1.244568
       _cons |  -4.327623   .0000181        .   0.000    -4.327659
-4.327588
-------------+----------------------------------------------------------------

    /lnsig2v |  -39.73655   977.6138    -0.04   0.968    -1955.824
1876.351
    /lnsig2u |  -3.135077   .5163978    -6.07   0.000    -4.147198
-2.122956
-------------+----------------------------------------------------------------

     sigma_v |   2.35e-09   1.15e-06                             0
.
     sigma_u |   .2085579   .0538494                      .1257324
.3459441
      sigma2 |   .0434964   .0224614                     -.0005272
.08752
      lambda |   8.87e+07   .0538494                      8.87e+07
8.87e+07
------------------------------------------------------------------------------

Likelihood-ratio test of sigma_u=0: chibar2(01) = 7.84   Prob>=chibar2 =
0.003

Eric typed

. predict lnTKhat;
(option xb assumed; fitted values)
. predict xb;
(option xb assumed; fitted values)
. predict u;
(option xb assumed; fitted values)
. predict te;
(option xb assumed; fitted values)

He then noted that LnTKhat, xb, u, and te all had the same values.  The
problem is that Eric has not specified the options to predict for u and te.
He only gave the variables different names.

If Eric were to try

. frontier lnTK lnZT, d(e) cost;

. predict xb, xb

. predict u, u

. predict te, te

He should find that the new variables now contain the linear (xb)
predictions, the estimates of minus the natural log of the technical
efficiency via E[u_i|e_i], and estimates of the technical efficiency via
E[exp(-su_i)|e_i], respectively.

I would also like to suggest that Eric take a look at the manual entry for
the formulas that are used in computing xb, u, and te.

--David
  ddrukker@stata.com

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