Description Usage Arguments Details Value Author(s) See Also Examples
View source: R/coef.summary.frontier.R
Extract the coefficients, their standard errors, z-values or t-values,
and (asymptotic) P-values
from stochastic frontier models returned by the summary
method
for objects of class frontier
.
1 2 |
object |
an object of class |
which |
character string. Which coefficients should be returned? ('ols' for coefficients estimated by OLS or 'mle' for coefficients estimated by Maximum Likelihood). |
... |
currently unused. |
The standard errors of the estimated parameters are taken from the direction matrix that is used in the final iteration of the Davidon-Fletcher-Powell procedure that is used for maximising the (log) likelihood function.
If argument which
of this method is "mle"
(the default)
and argument extraPar
of summary.frontier
is set to TRUE
,
some additional parameters, their standard errors, z-values,
and (asymptotic) P-values are returned
(see documentation of summary.frontier
,
coef.frontier
, or vcov.frontier
).
The standard errors of the additional parameters
are obtained by the delta method.
Please note that the delta method might provide poor approximations
of the ‘true’ standard errors,
because parameter sigma^2 is left-censored
and parameter gamma is both left-censored and right-censored
so that these parameters cannot be normally distributed.
Please note further that the t statistic and the z statistic are not reliable for testing the statistical signicance of sigma^2, gamma, and the ‘additional parameters’, because these parameters are censored and cannot follow a normal distribution or a t distribution.
The coef
method for objects of class summary.frontier
returns a matrix,
where the four columns contain the estimated
coefficients, their standard errors, z-values or t-values,
and (asymptotic) P-values.
Arne Henningsen
coef.frontier
, summary.frontier
,
vcov.frontier
, and sfa
.
1 2 3 4 5 6 7 8 |
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/
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.2448982 0.21360304 1.146511 2.564591e-01
log(capital) 0.2804926 0.04806661 5.835497 2.810747e-07
log(labour) 0.5333064 0.05149858 10.355749 1.268581e-14
sigmaSq 0.1139849 NA NA NA
Estimate Std. Error z value Pr(>|z|)
(Intercept) 0.5616193 0.20261685 2.771829 5.574228e-03
log(capital) 0.2811022 0.04764337 5.900132 3.632107e-09
log(labour) 0.5364798 0.04525156 11.855499 2.015196e-32
sigmaSq 0.2170003 0.06390907 3.395454 6.851493e-04
gamma 0.7972069 0.13642438 5.843581 5.109042e-09
Estimate Std. Error z value Pr(>|z|)
(Intercept) 0.56161929 0.20261685 2.771829 5.574228e-03
log(capital) 0.28110219 0.04764337 5.900132 3.632107e-09
log(labour) 0.53647979 0.04525156 11.855499 2.015196e-32
sigmaSq 0.21700029 0.06390907 3.395454 6.851493e-04
gamma 0.79720690 0.13642438 5.843581 5.109042e-09
sigmaSqU 0.17299413 0.07619647 2.270369 2.318519e-02
sigmaSqV 0.04400616 0.02123024 2.072806 3.819034e-02
sigma 0.46583290 0.06859656 6.790908 1.114302e-11
sigmaU 0.41592563 0.09159868 4.540738 5.605755e-06
sigmaV 0.20977646 0.05060205 4.145612 3.389075e-05
lambdaSq 3.93113424 3.31730671 1.185038 2.360025e-01
lambda 1.98270881 0.83655923 2.370076 1.778444e-02
varU 0.06286265 NA NA NA
sdU 0.25072424 NA NA NA
gammaVar 0.58822258 NA NA NA
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