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From |
Nick Cox <njcoxstata@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Stochastic Frontier Analysis, time-varying effects cost frontier |

Date |
Thu, 16 May 2013 11:57:22 +0100 |

The implication seems to be that Stata [sic] is being awkward or difficult here, but it can hardly do otherwise. The best answer, I think, is to include only those indicator variables whose coefficients you want to talk about substantively. This can be regarded as an example of a more general principle, not to use a model you don't understand. Nick njcoxstata@gmail.com On 16 May 2013 11:50, Alexander <alex.lee.kotra@gmail.com> wrote: > Dear Federico, > > Thanks for your reply. > > I have several firm types measures represented with several sets of > dummy variables > > When trying to implement the -emean option, should I include all these > dummies all at once? Or should I run them separately? > > If I do the former, STATA omits several dummies (one from each set) > because of collinearity and I am not sure as to how to interpret the > results. > > > Best regards, > Alex > > > On Mon, May 13, 2013 at 3:51 PM, Federico Belotti <f.belotti@gmail.com> wrote: >> Dear Alexander, >> >> my comments below >> >> On May 11, 2013, at 6:23 PM, Alexander Lee wrote: >> >>> Dear Statalist members, >>> >>> Having read previous posts on the Stochastic Frontier Analysis, I >>> still have questions regarding >>> its implementation, particularly the so-called Battese and Coeli >>> (1995) random time-varying effects >>> model is of interest to me. >>> >>> My work includes a panel data on several firms, I attempt to explore >>> their cost efficiency, >>> change of the efficiency scores with time and the impact of the bank's >>> type on efficiency (ownership, >>> location, etc.). I do that with the -sfpanel command, realized in his >>> paper by Prof. F. Belotti. I do >>> not assume heteroscedasticity neither in the inefficiency term nor in >>> the error term. >>> >>> I have some questions on that and would appreciate any insights: >>> >>> >>> 1. When I implement a translog form of the frontier model, the >>> iterations won't converge >>> >>> (BFGS stepping has contracted, resetting BFGS Hessian) >>> >>> >>> I believe that all the data is properly scaled and there is a larger >>> number of observations. >>> >>> I have also tried to do this with -difficult option. >>> >> >>> >>> What could be a reason for this? >> >> Did you impose linear homogeneity in inputs' prices? It is worth noting that such a flexible functional form could be very difficult to estimate, especially in a cost frontier framework. >> >>> >>> 2. If I could estimate the Stochastic Frontier model, which includes >>> total costs as dependant >>> variable and input prices and outputs as regressors and obtain the >>> efficiency scores, I fail to >>> understand how the firm types should be accounted for in this >>> one-stage model? Should they simply >>> be included in the frontier model as new (dummy) variables? However in >>> the original 1995 paper I >>> could see that firms' effects are included in a separate Inefficiency >>> Model, does that mean that the >>> inefficiencies obtained from the frontier should be regressed on firm >>> types in a separate exercise? >> >> -sfpanel- allows to estimate the Battese and Coelli (1995) model using the following syntax >> >> sfpanel c y p1 p2, cost model(bc95) emean(x1 x2) >> >> where the option -emean(x1 x2)- allows to simultaneously estimate the so-called inefficiency effects. >> Often, the inclusion of exogenous variables to model the mean of the inefficiency could help the identification of the inefficiency term itself (increasing the convergence rate). >> >> hth >> Federico >>> >>> >>> Thank you, >>> >>> Best regards >>> Alexander Lee >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> * http://www.ats.ucla.edu/stat/stata/ >> >> -- >> 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 >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Stochastic Frontier Analysis, time-varying effects cost frontier***From:*Federico Belotti <f.belotti@gmail.com>

**References**:**st: Stochastic Frontier Analysis, time-varying effects cost frontier***From:*Alexander Lee <alex.lee.kotra@gmail.com>

**Re: st: Stochastic Frontier Analysis, time-varying effects cost frontier***From:*Federico Belotti <f.belotti@gmail.com>

**Re: st: Stochastic Frontier Analysis, time-varying effects cost frontier***From:*Alexander <alex.lee.kotra@gmail.com>

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