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Re: st: Frontier estimation using truncated normal option |

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Sun, 10 Feb 2008 20:22:17 +0100 |

Why not moving to Frontier 4.1 (somewhere near http://www.une.edu.au/econometrics/cepa.htm )? It's free, and _UNFORTUNATELY_ it does stochastic frontier estimation much better than Stata (at least up to version 9.2) Nicola At 02.33 10/02/2008 -0500, you wrote: >Dear Statalisters, > >My question is fairly simple but I have struggled to >find a good answer. I am estimating a stochastic >production frontier and I want to properly test >whether technical inefficiency is present (and thus >whether frontier estimation is appropriate). The >stata routine does this for you when the default >half-normal model is used, but I am using the >truncated normal model with explanatory variables for >inefficiency (u = d*Z + w) through the cm(variables) >option. > >If I want to do a likelihood ratio test of >H_o: sigma_u = 0 >With a test statistic of LR = -2*(L(H_o)-L(H_a), >what is the appropriate value for L(H_o)? > >Is it the e(ll_c) value saved in the frontier results >(in which case e(chi2_c) is my test statistic) or is >it the implied log-likelihood from an OLS version of >the production function (assuming normal errors), >including Z directly as a set of controls on the >right hand side? > >I thought they would be numerically equivalent (if >sigma_u = 0, the frontier collapses to a simple >linear regression - and the likelihoods for normal >errors should be the same). In my data, e(ll) from >the OLS and e(ll_c) from the frontier are only the >same when Z is empty (no cm(variables) option >specified). Does anyone know why they are not >generally equivalent and which one is correct to use >when Z is included? What is this "ll_c" value stata >is calculating? > >Thank you! >Ben Gilbert * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Frontier estimation using truncated normal option***From:*ahmed al-darwish <[email protected]>

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