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st: create data for frontier estimation
From
Cyrus Levy <[email protected]>
To
[email protected]
Subject
st: create data for frontier estimation
Date
Fri, 11 Oct 2013 00:14:44 -0700
I'm trying to create a dataset using the true model specified below. The
outcomes look good except the constant in lnsig2u. I am setting it to
-1.2 in the program, but the estimation result is -0.197. I'm not sure
what's wrong with the program. How can I fix this problem?
drop _all
set obs 10000
set seed 543210
gen x1 = rnormal(2)
gen x2 = rnormal(1)
gen x3 = rnormal(1)
gen lnsig2u = 1.4 * x3 - 1.2
gen sigu = sqrt(exp(lnsig2u))
gen nsig = sqrt(sigu^2 / (1 - 2/_pi))
gen u = abs(rnormal(0, nsig))
gen v = rnormal()
gen y = 0.5 * x1 + 0.5 * x2 + 0.5 + v + u
summ, sep(0)
frontier y x1 x2, cost uhet(x3)
Stoc. frontier normal/half-normal model Number of obs = 10000
Wald chi2(2) = 2656.28
Log likelihood = -18811.039 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
y |
x1 | .515271 .0137709 37.42 0.000 .4882805 .5422616
x2 | .4967352 .0137501 36.13 0.000 .4697854 .5236849
_cons | .4736053 .0428721 11.05 0.000 .3895775 .557633
-------------+----------------------------------------------------------------
lnsig2v |
_cons | -.0455195 .03432 -1.33 0.185 -.1127855 .0217464
-------------+----------------------------------------------------------------
lnsig2u |
x3 | 1.407146 .0321241 43.80 0.000 1.344184 1.470108
_cons | -.1970581 .0729905 -2.70 0.007 -.3401169
-.0539994
-------------+----------------------------------------------------------------
sigma_v | .9774973 .0167738 .9451679 1.010933
------------------------------------------------------------------------------
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