coef.summary.frontier: coef method for class summary.frontier

In frontier: Stochastic Frontier Analysis

Description

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.

Usage

## S3 method for class 'summary.frontier'
coef( object, which = "mle", ... )

Arguments

object	an object of class summary.frontier (returned by the summary method for objects of class frontier
which	character string. Which coefficients should be returned? ('ols' for coefficients estimated by OLS or 'mle' for coefficients estimated by Maximum Likelihood).
...	currently unused.

Details

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.

Value

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.

Author(s)

Arne Henningsen

See Also

coef.frontier, summary.frontier, vcov.frontier, and sfa.

Examples

   # example included in FRONTIER 4.1
   data( front41Data )

   sfaResult <- sfa( log( output ) ~ log( capital ) + log( labour ),
      data = front41Data )
   coef( summary( sfaResult ), which = "ols" )
   coef( summary( sfaResult ) )
   coef( summary( sfaResult, extraPar = TRUE ) )

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/
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

frontier documentation built on July 14, 2020, 3:01 a.m.