[Limdep Nlogit List] FRONTIER command : Battese & Coelli 95 model
Bo Kim
bo_kim at live.com
Sat Oct 3 16:55:14 EST 2009
Hi Barry and Zhi,
I am also working on Battese & Coelli 95 model.
I don't think the model capture the panel nature as in the manual.
In B&C(1995) paper, u and w are independent over i and t. I think this makes the model take observations as cross-sectional.
So, the following two commands gave me the same results.
Frontier;........;pds=groupsize;model=t;rh2=one,t, Zs..;
Frontier;........;pds=groupsize;model=bc;rh2=one,t, Zs..;
Regards,
Bo
> Date: Fri, 2 Oct 2009 17:10:42 +0100
> From: Z.Shen at lboro.ac.uk
> To: limdep at limdep.itls.usyd.edu.au
> Subject: Re: [Limdep Nlogit List] FRONTIER command : Battese & Coelli 95 model
>
> Hi Barry,
>
> I didn't use
> create;grpsize=_groupti$
> calc; g=Max(grpsize)$ ( this part is option)
>
> I use frontier; lhs=dependent variables; rhs=independent variables;pds=_groupti;... directly. I don't know whether it makes any difference with yours. Worth find out.
>
> Sorry for my second response. I do want to say (Frontier;........;pds=groupsize;model=bc;rh2=one,t, Zs..) rather than model=t; since I know model=t; works fine but I doubt model=bc; would provide these parameter estimates. Sorry for confusion caused.
>
> Zhi
>
> -----Original Message-----
> From: limdep-bounces at limdep.itls.usyd.edu.au [mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Barry Quinn
> Sent: 02 October 2009 17:03
> To: Limdep and Nlogit Mailing List
> Subject: Re: [Limdep Nlogit List] FRONTIER command : Battese & Coelli 95 model
>
> Hi Shi,
>
> thanks for reply , lots of good information.
>
> To response to your queries
>
> Yes i did create an additional variable called group size using a unique firm identifier as follows
>
> regress;lhs=one;rhs=one;str=firm;panel$
> create;grpsize=_groupti$
> calc; g=Max(grpsize)$ ( this part is option)
>
> However this produced a variable which counted the number of observations of each firm over the period ( not the total number of firms in each cross section as you seem to indicate in your email) for eg
>
> FIRM t Iit(observations) groupsize
> A 1 1.2 3
> A 2 1.4 3
> A 3 -4 3
> B 1 4 2
> B 2 0.5 2
> C 1 0.7 3
> C 2 0.1 3
> C 3 1.0 3
>
>
> Is this the type of variable that you meant?
>
> And to your second question when i run the model (Frontier;........;pds=groupsize;model=t;rh2=one,t, Zs..)
> I do get parameter estimates which are significant... perhaps this may be due to the way i calculated the previous panel variable???
>
> many thanks
>
>
> Barry
> ________________________________________
> From: limdep-bounces at limdep.itls.usyd.edu.au [limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Shen Zhi [Z.Shen at lboro.ac.uk]
> Sent: Friday, 2 October 2009 3:54 PM
> To: Limdep and Nlogit Mailing List
> Subject: Re: [Limdep Nlogit List] FRONTIER command : Battese & Coelli 95 model
>
> Hi Barry,
>
> I may not be the right person to answer your first concern but I think
> in Limdep, BC(95) model do capture the panel data nature. I've been
> advised that Frontier 4.1 programme treats BC(95) model as a pooled
> data rather than panel data. This is as far as I know.
>
> To your second concern about the pds command. I don't think it will be
> overridden by model=t command. You do have a large data set with 480
> firms over 6 year. But I know Professor Greene run a US bank study
> with 500 banks over 5 years period. I have a data set with 280 banks
> over 8 years (although not that many as yours). So you should be fine
> with your data. There is one more thing I would like to check with
> you. Did you first set up your panel data set before you run the
> BC(95) model? The command is:
>
> regress;lhs=dependent variables; rhs=independent variables; panel;
> str=firms $
>
> where firms are the number of firm identification that is set up in
> your data (as in my data, I set the first column for firm ID number).
> This will create a new variable named _groupti, which denotes the
> group size (as in your case, should be 480). Then you can use
> pds=_groupti; in your following panel data estimation. If your data
> are unbalanced, pds=_groupti is the only way you can set up your panel
> estimation.
>
> Finally, for your first model:
> Frontier;........;pds=groupsize;model=t;rh2=one,t, Zs..;
> I know Limdep will allow you to run it and you can get results. But
> interestingly, in your results, did you find any parameter estimates
> for the z variables? I didn't find any with my data. so very curious
> to see whether it works for you.
>
> Best wishes,
> Zhi
>
>
> On 2009-10-2, at 下午2:59, Barry Quinn wrote:
>
> > Hi Zhi,
> >
> > Thanks for your reply that is very helpful. I am concerned though
> > about whether the BC(95) method you mention (model=t; rh2=one,)
> > isn't capturing the panel data nature of the data!( as the manual
> > alludes - bottom of Page E33-44 in new manuals)
> >
> > Limdep does allow me to run these models
> >
> > Frontier;........;pds=groupsize;model=t;rh2=one,t, Zs..;
> > Frontier;........;pds=groupsize;model=bc;rh2=one,t, Zs..;
> >
> > May concern still is whether or not the pds command is being
> > overridden by the model=t command in the first model above??
> >
> > many thanks
> >
> >
> > Barry
> > ________________________________________
> > From: limdep-bounces at limdep.itls.usyd.edu.au [limdep-bounces at limdep.itls.usyd.edu.au
> > ] On Behalf Of Zhi Shen [Z.Shen at lboro.ac.uk]
> > Sent: Friday, 2 October 2009 1:41 PM
> > To: Limdep and Nlogit Mailing List
> > Subject: Re: [Limdep Nlogit List] FRONTIER command : Battese &
> > Coelli 95 model
> >
> > Dear Barry,
> >
> > In Limdep, model=bc is the command for modeling Battese and Coelli
> > (1992) time varying inefficiency model in which a monotonic time
> > trend is specified to inefficiency term, written as u(i,t)=exp(eta(t-
> > T))|U(i)|. If you want to use Battese and Coelli (1995) model to
> > examine the impact of firm specific factors on mean of inefficiency
> > instead, u have use model=t; rh2=one, time trend,... and other
> > factors. I don't think the model command for Battese and Coelli
> > (1992) model will recognize the command rh2=one, time trend, ..., at
> > least not in my sample experience. You can have a try.
> >
> > To go further, if you also want to consider the possible impact of
> > these firm specific factors in the variances of inefficiency
> > (heteroscedasticity), you have to use Battese and Coelli (1995)
> > model. The basic commands are
> >
> > frontier;(cost);lhs=dependent variables;rhs=independent variables;
> > ;model=truncation;rh2=one,z variables ? z variables
> > in mean of uit
> > ;het;hfu=one, z variables ? z variables in
> > variance of inefficiency uit
> > ;pds=_groupti;eff=uibc $
> >
> > If you want to consider heteroscedasticity in random error term, you
> > can add in commands
> > ;hfv=z variables ? z variables in
> > variance of random error vit
> >
> > Hope it helps. Good luck!
> >
> > Zhi Shen
> > Research student
> > Department of Economics
> > Loughborough University
> > LE11 3TU
> > UK
> >
> > -----Original Message-----
> > From: limdep-bounces at limdep.itls.usyd.edu.au [mailto:limdep-bounces at limdep.itls.usyd.edu.au
> > ] On Behalf Of Barry Quinn
> > Sent: 02 October 2009 12:24
> > To: limdep at limdep.itls.usyd.edu.au
> > Subject: [Limdep Nlogit List] FRONTIER command : Battese & Coelli 95
> > model
> >
> > Hi
> >
> > I am attempting to recreate the Battesse & Coelli 1995 model in
> > which they model the Technical inefficiency using firm specific
> > factors in a panel data setting.
> > To date i have only been using the Ceolli DOS program in which i
> > have been including a time trend variable in the Technical
> > inefficiency model to control for temporal effects.
> > In Limdep i use the options
> > pds=_groupsize ;model=bc ; Rh2= one, time trend ,......and other
> > firm specific factors
> >
> > But my concern is that in the manual the BC model seems to be the
> > 1988 model specification which specifically accounts for time
> > variation using the eta term
> > Also the manual notes that " Battesse and Coelli (1995) ..not
> > withstanding the assertion in the paper, the latter is not a panel
> > data treatment as observations are still assumed to be independent".
> >
> > Would this mean that i should not use the Model=BC option at all,
> > but instead use model=T and Rh2= one, time trend, ......other firm
> > specific factors, and control for the panel using firm dummies ?
> >
> > My panel is has a large number of firms(480) over a short time
> > period(6yrs) so i am concern this amount of dummies my cause
> > estimation issues
> >
> > any advice would be much appreciated
> >
> > many thanks
> >
> > Barry Quinn
> >
> > Queens University Belfast
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au
> >
> >
> >
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
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> > Limdep site list
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>
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