[Limdep Nlogit List] Stochastic Frontiers (errors in estimation)
Pavlos C. Symeou
p.symeou at jbs.cam.ac.uk
Thu Jan 3 11:12:16 EST 2008
Dear Limdep-listers,
I have been trying to estimate a Battese and Coelli - time varying
inefficiency model with a number of Z variables that affect the
efficiency scores. I use Limdep 9 to estimate a multi-input multi-output
translog model based on panel data for 15 years and 113 countries. Below
I provide the commands I use and output they produce after estimation. I
need help to understand what I am doing wrong. I can't estimate any
efficiency scores and Limdep produces various errors in different stages
of the procedure.
Your help is valuable.
Thanks and Happy New Year,
Pavlos
--> Frontier ; Lhs = LNY1
; Rhs = one, XS
; Pds = 15
; Model = BC
; Rh2 = ZS
; Eff = u $
Error 315: Stoch. Frontier: OLS residuals have wrong skew. OLS is MLE.
WARNING! OLS residuals have the wrong skewness for SFM
Other forms of the model models may also behave poorly.
In this case, one MLE for the half normal model is OLS
for beta and sigma and zero for the inefficiency term.
Maximum iterations reached. Exit iterations with status=1.
+---------------------------------------------+
| Limited Dependent Variable Model - FRONTIER |
| Maximum Likelihood Estimates |
| Model estimated: Jan 03, 2008 at 01:50:40AM.|
| Dependent variable LNY1 |
| Weighting variable None |
| Number of observations 1695 |
| Iterations completed 51 |
| Log likelihood function -10551.84 |
| Number of parameters 33 |
| Info. Criterion: AIC = 12.48948 |
| Finite Sample: AIC = 12.49028 |
| Info. Criterion: BIC = 12.59531 |
| Info. Criterion:HQIC = 12.52867 |
| Variances: Sigma-squared(v)= 8938.70603 |
| Sigma-squared(u)= 19638.21994 |
| Sigma(v) = 94.54473 |
| Sigma(u) = 140.13643 |
| Sigma = Sqr[(s^2(u)+s^2(v)]= 169.04711 |
| Stochastic Production Frontier, e=v-u. |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Primary Index Equation for Model
Constant| 456.106984 88.7387504 5.140 .0000
LX1 | 6.27502814 4.76532848 1.317 .1879 -371.095961
LX1LX2 | .02396850 .03951832 .607 .5442 -319.443283
LX1LY2S | -.10777281 .03622185 -2.975 .0029 -602.643722
LX1LY3S | -.15111436 .03368515 -4.486 .0000 -494.200121
LX1SQ | -6.59483200 4.73005698 -1.394 .1632 -360.862718
LX2 | 6.87990642 5.55754410 1.238 .2157 -190.194638
LX2LY2S | -.11656331 .02951213 -3.950 .0001 -463.059328
LX2LY3S | -.21631294 .02880244 -7.510 .0000 -331.716066
LX2SQ | -9.26394732 5.64020525 -1.642 .1005 -184.714940
LY2S | -18.4730978 7.24680407 -2.549 .0108 -364.111357
LY2SLY3S| -.19625337 .02204924 -8.901 .0000 -408.573282
LY2SSQ | 20.4140155 8.01362428 2.547 .0109 -365.164307
LY3S | -20.5033915 4.48522105 -4.571 .0000 -213.433041
LY3SSQ | 22.8068224 4.90242529 4.652 .0000 -215.867852
T | -41.1559801 3.36539025 -12.229 .0000 8.00000000
TLX1 | .53693750 .21018656 2.555 .0106 -310.197719
TLX2 | 2.51200670 .48826893 5.145 .0000 -156.508794
TLY2S | -1.51091987 1.10324166 -1.370 .1708 -369.363857
TLY3S | -1.76661337 1.00074816 -1.765 .0775 -225.627731
TSQ | -.12864040 .19597293 -.656 .5116 82.6666667
---------+Offset [mean=mu(i)] parameters in one sided error
DARABLE | -.05330241 .01429629 -3.728 .0002 179.141006
DGDP | .10359925 .00925142 11.198 .0000 87.2743637
DPOP | -.04922306 .02304654 -2.136 .0327 -83.1663196
LIBF | -2.66762829 5.77408152 -.462 .6441 -171.974041
LIBI | -8.25725876 64.5824664 -.128 .8983 -180.672566
LIBM | 10.7048074 63.1794824 .169 .8655 -180.706785
NRA | -214.987303 99.4464844 -2.162 .0306 .20766962
OPENC | -.04088520 .01959387 -2.087 .0369 -195.916048
POLITY | .08440786 .03761648 2.244 .0248 -487.837758
PRIVAT | -31.6025426 19.9452282 -1.584 .1131 .41592920
---------+Variance parameters for compound error
Lambda | 1.48222363 .07494866 19.777 .0000
Sigma | 169.047112 4.69180560 36.030 .0000
Warning 141: Iterations:current or start estimate of sigma is nonpositiv
Warning 141: Iterations:current or start estimate of sigma is nonpositiv
Warning 141: Iterations:current or start estimate of sigma is nonpositiv
Warning 141: Iterations:current or start estimate of sigma is nonpositiv
Warning 141: Iterations:current or start estimate of sigma is nonpositiv
Initial iterations cannot improve function.Status=3
Error 805: Initial iterations cannot improve function.Status=3
Function= .31649671740D+11, at entry, .19991487733D+06 at exit
Error 143: Models - estimated variance matrix of estimates is singular
--> Create ; Score = Exp(-u) $
Error 768: Have been unable to break down the command segment.
Error 623: Check for error in -U
Error 623: Look for: Unknown names, pairs of operators, e.g., */
Error 61: Compilation error in CREATE. See previous diagnostic.
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