lrtest.frontier: Likelihood Ratio test for Stochastic Frontier Models In frontier: Stochastic Frontier Analysis

Description

Testing parameter restrictions in stochastic frontier models by a Likelihood Ratio test.

Usage

 ```1 2``` ``` ## S3 method for class 'frontier' lrtest( object, ... ) ```

Arguments

 `object` a fitted model object of class `frontier`. `...` further fitted model objects of class `frontier`.

Details

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.

Value

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

References

Coelli, T.J. (1995), Estimators and Hypothesis Tests for a Stochastic: A Monte Carlo Analysis, Journal of Productivity Analysis, 6, 247-268.

`sfa`, `lrtest`

Examples

 ``` 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 ) ```

Example output

```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/

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/
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
```

frontier documentation built on May 29, 2017, 8:47 p.m.