I am calculating a stochastic frontier model in STATA with the comand "sfpanel". If I use a frontier model (such as True Fixed Effects of Greene, 2005) in the "normal" way with "sfpanel" I get the coefficient of the signal-to-noise (lambda) parameter, and also its significance. The code and the output would be similar to:
sfpanel dependent_variable var1 var2 var3, model(tfe)
-----------------+----------------------------------------------------------------
Usigma |
_cons | -5.816884 .2313009 -25.15 0.000 -6.270225 -5.363542
-----------------+----------------------------------------------------------------
Vsigma |
_cons | -6.935131 .2543468 -27.27 0.000 -7.433641 -6.43662
-----------------+----------------------------------------------------------------
sigma_u | .0545607 .00631 8.65 0.000 .0434949 .0684418
sigma_v | .0311929 .0039669 7.86 0.000 .0243111 .0400226
lambda | 1.749138 .0093071 187.94 0.000 1.730897 1.76738
------------------------------------------------------------------------------
However, when I execute the same model, but including an exogenous factor for the inefficiency term (u), the STATA output does not provide the coefficient nor the significance of lambda. I can calculate the coefficient of lambda as the ratio E(sigma_u)/sigma_v, but how can I calculate the significance? These would be the code and the output:
sfpanel dependent_variable var1 var2 var3, model(tfe) u(IA)
-----------------+----------------------------------------------------------------
Usigma |
IA | -.125778 .1331336 -0.94 0.345 -.3867151 .1351591
_cons | -5.440955 .4137336 -13.15 0.000 -6.251858 -4.630052
-----------------+----------------------------------------------------------------
Vsigma |
_cons | -6.944392 .2449492 -28.35 0.000 -7.424483 -6.4643
-----------------+----------------------------------------------------------------
E(sigma_u) | .0563411 .0560036 .0566787
sigma_v | .0310488 .0038027 8.16 0.000 .0244227 .0394725
------------------------------------------------------------------------------
How can I get the p-value of the lambda parameter? Is also there another way to get lambda coefficient?
I have tried using the ereturn list, but it does not provided any information on the lambda parameter. Anybody can help me?
sfpanel dependent_variable var1 var2 var3, model(tfe)
-----------------+----------------------------------------------------------------
Usigma |
_cons | -5.816884 .2313009 -25.15 0.000 -6.270225 -5.363542
-----------------+----------------------------------------------------------------
Vsigma |
_cons | -6.935131 .2543468 -27.27 0.000 -7.433641 -6.43662
-----------------+----------------------------------------------------------------
sigma_u | .0545607 .00631 8.65 0.000 .0434949 .0684418
sigma_v | .0311929 .0039669 7.86 0.000 .0243111 .0400226
lambda | 1.749138 .0093071 187.94 0.000 1.730897 1.76738
------------------------------------------------------------------------------
However, when I execute the same model, but including an exogenous factor for the inefficiency term (u), the STATA output does not provide the coefficient nor the significance of lambda. I can calculate the coefficient of lambda as the ratio E(sigma_u)/sigma_v, but how can I calculate the significance? These would be the code and the output:
sfpanel dependent_variable var1 var2 var3, model(tfe) u(IA)
-----------------+----------------------------------------------------------------
Usigma |
IA | -.125778 .1331336 -0.94 0.345 -.3867151 .1351591
_cons | -5.440955 .4137336 -13.15 0.000 -6.251858 -4.630052
-----------------+----------------------------------------------------------------
Vsigma |
_cons | -6.944392 .2449492 -28.35 0.000 -7.424483 -6.4643
-----------------+----------------------------------------------------------------
E(sigma_u) | .0563411 .0560036 .0566787
sigma_v | .0310488 .0038027 8.16 0.000 .0244227 .0394725
------------------------------------------------------------------------------
How can I get the p-value of the lambda parameter? Is also there another way to get lambda coefficient?
I have tried using the ereturn list, but it does not provided any information on the lambda parameter. Anybody can help me?