Re: st: stochastic frontier model with technical efficiency determining factors

[Natalie Trapp <natalie.trapp@zmaw.de>]

Dear Prof. Hughes,

thank you very much for your kind reply.
I will try to write an extended version of xtfrontier suitable for the 
B&C 1995 model.

Kind regards,
Natalie

Am 15/02/2011 15:51, schrieb Gordon Hughes:
> Nathalie,
>
> In Stata you have to use -frontier- if you want to make the efficiency 
> term a function of explanatory variables - this is referred to as the 
> conditional means model.  There is a cost to this because frontier 
> does not offer a cluster option for estimating the variance-covariance 
> matrix which is where the panel nature of the data would have an effect.
>
> Outside Stata it is possible to carry out panel estimation of frontier 
> models with conditional means using Limdep, since much of the 
> literature on this approach originates from work by William Greene, 
> the primary author of Limdep.  For my own purposes, I wrote a script 
> to estimate this type of model in gretl, which is an open source 
> econometrics package.
>
> Since any such generalisation is basically a matter of modifying the 
> likelihood function, it would not be hugely difficult to write an 
> extended version of -xtfrontier- to incorporate conditional means of 
> the truncated normal distribution.  However, I would warn that it can 
> be very difficult to get such estimators to converge and they are 
> often quite sensitive to the starting values.
>
> Gordon Hughes
> g.a.hughes@ed.ac.uk
>
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