Description Usage Arguments Details Value Author(s) References See Also Examples
View source: R/lrtest.frontier.R
Testing parameter restrictions in stochastic frontier models by a Likelihood Ratio test.
1 2 | ## S3 method for class 'frontier'
lrtest( object, ... )
|
object |
a fitted model object of class |
... |
further fitted model objects of class |
If lrtest.frontier
is called with only one argument/object
(i.e. argument ...
is not used),
it compares the fitted model to a corresponding model
without inefficiency (i.e. estimated by OLS).
If lrtest.frontier
is called with more than one argument/object
(i.e. argument ...
is used),
it consecutively compares
the fitted model object object
with the models passed in ...
.
The test statistic is
2 * ( logLik( mu ) - logLik( mr ) )
,
where mu
is the unrestricted model
and mr
is the restricted model.
If a Frontier model (estimated by ML) is compared to a model without inefficiency (estimated by OLS), the test statistic asymptotically has a mixed χ^2 distribution under the null hypothesis (see Coelli, 1995).
If two Frontier models (estimated by ML) are compared, the test statistic asymptotically has a χ^2 distribution with j degrees of freedom under the null hypothesis, where j is the number of restrictions.
An object of class anova
,
which contains the log-likelihood value,
degrees of freedom, the difference in degrees of freedom,
likelihood ratio Chi-squared statistic and corresponding p value.
See documentation of lrtest
in package "lmtest".
Arne Henningsen
Coelli, T.J. (1995), Estimators and Hypothesis Tests for a Stochastic: A Monte Carlo Analysis, Journal of Productivity Analysis, 6, 247-268.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | # rice producers in the Philippines (panel data)
data( "riceProdPhil" )
library( "plm" )
riceProdPhil <- pdata.frame( riceProdPhil, c( "FMERCODE", "YEARDUM" ) )
# Error Components Frontier with truncated normal distribution
# and time effects (unrestricted model)
mu <- sfa( log( PROD ) ~ log( AREA ) + log( LABOR ) + log( NPK ),
truncNorm = TRUE, timeEffect = TRUE, data = riceProdPhil )
# Error Components Frontier with half-normal distribution
# without time effects (restricted model)
mr <- sfa( log( PROD ) ~ log( AREA ) + log( LABOR ) + log( NPK ),
data = riceProdPhil )
## compare the two models by an LR-test
lrtest( mu, mr )
## compare each of the models to a corresponding model without inefficiency
lrtest( mu )
lrtest( mr )
|
Loading required package: micEcon
If you have questions, suggestions, or comments regarding one of the 'micEcon' packages, please use a forum or 'tracker' at micEcon's R-Forge site:
https://r-forge.r-project.org/projects/micecon/
Loading required package: lmtest
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Please cite the 'frontier' package as:
Tim Coelli and Arne Henningsen (2013). frontier: Stochastic Frontier Analysis. R package version 1.1. http://CRAN.R-Project.org/package=frontier.
If you have questions, suggestions, or comments regarding the 'frontier' package, please use a forum or 'tracker' at frontier's R-Forge site:
https://r-forge.r-project.org/projects/frontier/
Loading required package: Formula
Likelihood ratio test
Model 1: mu
Model 2: mr
#Df LogLik Df Chisq Pr(>Chisq)
1 8 -84.407
2 6 -86.430 -2 4.0473 0.1322
Likelihood ratio test
Model 1: OLS (no inefficiency)
Model 2: Error Components Frontier (ECF)
#Df LogLik Df Chisq Pr(>Chisq)
1 5 -104.907
2 8 -84.407 3 41 2.298e-09 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Likelihood ratio test
Model 1: OLS (no inefficiency)
Model 2: Error Components Frontier (ECF)
#Df LogLik Df Chisq Pr(>Chisq)
1 5 -104.91
2 6 -86.43 1 36.953 6.051e-10 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
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