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st: xtfrontier vs xtreg, re mle
From
"Dean DeRosa" <[email protected]>
To
<[email protected]>
Subject
st: xtfrontier vs xtreg, re mle
Date
Fri, 23 Apr 2010 11:48:48 -0400
I am new to stochastic frontier (SF) analysis, and I have been experimenting
with the xtfrontier command to estimate the parameters of a trade gravity
model. I have been struck by the similarity of SF theory and its setup in
Stata to the more common practice of estimating trade gravity models using
the random effects (RE) method of estimation for panel data sets.
On conducting side-by-side experiments using the two approaches in Stata
(xtfrontier versus xtreg, re mle), I find that the gravity model estimates
are virtually identical, except with regard to the intercept term --
sensibly, the SF intercept estimate is greater in value than the RE
estimate.
Is this a common if not expected finding? Or, is this finding related to
some problem with Stata? Any citations to similar findings would be welcome,
as would a straightforward explanation for the finding.
Finally, I would appreciate any citations to basic or introductory
explanations of the diagnostic statistics, such as mu, gamma, etc.,
generally reported by Stata and published studies featuring SF estimation
results.
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