vcov: Compute variance-covariance matrix of classic or latent class...

In sfaR: Stochastic Frontier Analysis using R

Compute variance-covariance matrix of classic or latent class stochastic models

Description

vcov computes the variance-covariance matrix of the maximum likelihood (ML) coefficients of classic or latent class stochastic frontier models estimated by sfacross or lcmcross.

Usage

## S3 method for class 'sfacross'
vcov(object, extraPar = FALSE, ...)

## S3 method for class 'lcmcross'
vcov(object, ...)

Arguments

object	A classic or latent class stochastic frontier model returned by sfacross or lcmcross
extraPar	Logical. Only available for non heteroscedastic models returned by sfacross. Default = FALSE. If TRUE, variances and covariances of additional parameters are returned: sigmaSq = sigmauSq + sigmavSq lambdaSq = sigmauSq/sigmavSq sigmauSq = \exp{(Wu)} = \exp{(δ Z_u)} sigmavSq = \exp{(Wv)} = \exp{(φ Z_v)} sigma = sigmaSq^0.5 lambda = lambdaSq^0.5 sigmau = sigmauSq^0.5 sigmav = sigmavSq^0.5 gamma = sigmauSq/(sigmauSq + sigmavSq)
...	Currently ignored

Details

The variance-covariance matrix is obtained by the inversion of the negative Hessian matrix. Depending on the distribution and the "hessianType" option, the analytical/numeric Hessian or the bhhh Hessian or the robust Hessian matrix is evaluated.

The argument extraPar, is currently available for objects of class 'sfacross'. When "extraPar = TRUE", the variance-covariance of the additional parameters is obtained using the delta method.

Value

The variance-covariance matrix of the maximum likelihood coefficients is returned.

Author(s)

K Hervé Dakpo, Yann Desjeux and Laure Latruffe

See Also

sfacross, for the stochastic frontier analysis model fitting function.

lcmcross, for the latent class stochastic frontier analysis model fitting function.

Examples

## Using data on Spanish dairy farms
# Cobb Douglas (production function) half normal distribution
cb_s_h <- sfacross(formula = YIT ~ X1 + X2 + X3 + X4, udist = "hnormal", 
    data = dairyspain, S = 1, method = "bfgs")
  vcov(cb_s_h)
  vcov(cb_s_h, extraPar = TRUE)


## Using data on eighty-two countries production (DGP)
# LCM Cobb Douglas (production function) half normal distribution
cb_2c_h <- lcmcross(formula = ly ~ lk + ll + yr, udist = "hnormal",
    data = worldprod, uhet = ~ initStat, S = 1)
  vcov(cb_2c_h)

sfaR documentation built on May 3, 2022, 3 p.m.