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Re: st: stochastic frontier test distribution


From   "rosetta.ono" <[email protected]>
To   [email protected]
Subject   Re: st: stochastic frontier test distribution
Date   Thu, 11 Nov 2010 09:20:56 +0100

Thank you very much!

2010/11/10 Scott Merryman <[email protected]>:
> If you have access to the Journal of Econometrics take a look at:
>
> Lung-Fei Lee, A test for distributional assumptions for the stochastic
> frontier functions, Journal of Econometrics, Volume 22, Issue 3,
> August 1983, Pages 245-267
>
> Abstract:
> Some asymptotic tests for testing distributional assumptions, namely,
> the half-normal and truncated normal distributions for the stochastic
> frontier functions have been proposed. The tests are Lagrangean
> multiplier tests based on the Pearson family of truncated
> distributions. The statistics can be easily computed. Simple
> interpretations of the statistics and two empirical examples are
> provided.
>
> Do distributional assumptions matter?  See Lovell and Kumbhakar (2000)
> "Stochastic Frontier Analysis"  (page 90) and
>
> http://www.stata.com/statalist/archive/2006-11/msg00794.html
>
> Scott
>
> On Tue, Nov 9, 2010 at 8:59 AM, Rossana Cima <[email protected]> wrote:
>> Dear Statalisters,
>>
>> I want to estimate a stochastic production frontier and I would like
>> to test the half normal distribution against alternative distributions
>> (in particular the exponential distribution).
>> Is there a practical procedure for doing this and what steps should I follow?
>> Thank you in advance
>> Rosa
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