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Re: st: Stochastic Frontier


From   Federico Belotti <f.belotti@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stochastic Frontier
Date   Thu, 11 Apr 2013 23:04:49 +0200

Alexander,

my suggestion is to look at the following

http://ideas.repec.org/p/rtv/ceisrp/251.html

I hope it may be of some help to you in understanding pros and cons of SFs and how to model heterogeneity/heteroscedasticity of the inefficiency term.

Federico

On Apr 11, 2013, at 9:34 PM, Alexander wrote:

> Thank you very much for your response.
> 
> There are about 600 banks in the dataset. There is a size-related variation between the observations as some of the banks are much larger then all others.
> 
> I assume truncated normal distribution, however I am at loss regarding how to test for the heterogeneity/heteroscedasticity of the inefficiency term?
> 
> 
> Alexander
> 
> 
> 10.04.2013, 17:05, "Federico Belotti" <f.belotti@gmail.com>:
>> The results of your exercise may be driven from a bunch of things.
>> How many banks are there in your dataset? Do their cost, output and input prices show cross-sectional variation?
>> 
>> Could you be more specific about your model?
>> Which distribution for the inefficiency term? What about heterogeneity/heteroscedasticity of the latter?
>> 
>> Federico
>> 
>> On Apr 10, 2013, at 2:17 PM, wdawd awdadw wrote:
>> 
>>>  Hello,
>>> 
>>>  I am trying to perform a stochastic frontier analysis on a cross-sectional data of sample of banks in one country to try to estimate banks' cost-efficiency using frontier stata function.
>>> 
>>>  I am using a translog function of total costs as a dependent value with 2 outputs and 2 input prices as regressors.
>>> 
>>>  My problem is that the results of the exercise (after I predict inefficiency estimates) are questionable with the estimates not materially differing from one another (hundreths) all of them rougly equal to 10. (10,345 10,352 10,356, etc.) which is quite strange.
>>> 
>>>  Are there any suggesitons on what's the reason behind this?
>>> 
>>>  Any help much appreciated.
>>> 
>>>  Best regards,
>>>  Alexander
>>>  *
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>> 
>> --
>> Federico Belotti, PhD
>> Research Fellow
>> Centre for Economics and International Studies
>> University of Rome Tor Vergata
>> tel/fax: +39 06 7259 5627
>> e-mail: federico.belotti@uniroma2.it
>> web: http://www.econometrics.it
>> 
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-- 
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: federico.belotti@uniroma2.it
web: http://www.econometrics.it


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