Eric Brouwer <[email protected]> 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
[email protected]
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