SFM.alpha: Alpha (fixed-effects) Recovery

In clemenshaerder/fepsfrontieR: Estimation of fixed-effect panel stochastic frontier models by MLE

Description

Recovers the individual fixed-effects by using the first-order condition for alpha from the untransformed log-likelihood function of the model assuming all other parameters are known. Altough, the variance of alpha is high for small sample sized date.

Usage

SFM.alpha(y, x, beta, sigma_u, sigma_v, h, epsilon, N, Time, mu, cumTime)

Arguments

y	is a n*t x 1 vector (response)
x	is a n*t x k matrix (explantatory variables)
beta	is a vector of explenatory coefficients.
sigma_u	is the variance of the stochastic inefficency.
sigma_v	is the variance of the random error.
h	are the values of the positive non-stochastic inefficency determinants.
epsilon	are the random errors substracted the positive non-stochastic inefficency determinants.
N	an optional integer specifying the total amount of panels in the data set.
Time	an optional integer specifying the amount of observations per panel.
mu	is the mean of a truncated normal distribution of the stochastic inefficencys.
cumTime	ia a vector of the cumulated times of the Time vector. It serves as an index for computation.

Value

Returns a fixed-effect for each panel as a vector (N x 1)

clemenshaerder/fepsfrontieR documentation built on May 22, 2019, 3:43 p.m.