Description Usage Arguments Details Value Author(s) See Also Examples
View source: R/vcov.frontier.R
Extract the covariance matrix of the maximum likelihood coefficients
of a stochastic frontier model returned by frontier
.
1 2 |
object |
an object of class |
extraPar |
logical. If |
... |
currently unused. |
The variance-covariance matrix of the estimated parameters is 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 extraPar
is TRUE
,
the variances and covariances of the additional parameters
are obtained by the delta method.
Please note that the delta method might provide poor approximations
of the ‘true’ variances and covariances,
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 it might not be appropriate to use standard statistical tests (e.g. t-tests or other Wald tests) that are based on the variances and covariances of sigma^2, gamma, and the ‘additional parameters’, because these parameters are censored and cannot follow normal distributions.
vcov.frontier
returns the covariance matrix
of the maximum likelihood coefficients.
Arne Henningsen
coef.frontier
, coef.summary.frontier
,
summary.frontier
, and sfa
.
1 2 3 4 5 6 | # example included in FRONTIER 4.1
data( front41Data )
sfaResult <- sfa( log( output ) ~ log( capital ) + log( labour ),
data = front41Data )
vcov( sfaResult )
|
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/
(Intercept) log(capital) log(labour) sigmaSq
(Intercept) 0.041053586 -3.144681e-03 -8.003034e-03 4.045661e-03
log(capital) -0.003144681 2.269891e-03 4.010768e-05 -2.953064e-05
log(labour) -0.008003034 4.010768e-05 2.047703e-03 -4.719114e-05
sigmaSq 0.004045661 -2.953064e-05 -4.719114e-05 4.084369e-03
gamma 0.009251994 -9.155472e-05 -1.640503e-04 6.745093e-03
gamma
(Intercept) 9.251994e-03
log(capital) -9.155472e-05
log(labour) -1.640503e-04
sigmaSq 6.745093e-03
gamma 1.861161e-02
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