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Re: st: stochastic frontier test distribution
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: stochastic frontier test distribution
Date
Wed, 10 Nov 2010 12:26:05 -0600
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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