| coef.summary.frontier {frontier} | R Documentation |
coef method for class summary.frontier
Description
Extract the coefficients, their standard errors, z-values or t-values,
and (asymptotic) P-values
from stochastic frontier models returned by the summary method
for objects of class frontier.
Usage
## S3 method for class 'summary.frontier'
coef( object, which = "mle", ... )
Arguments
object |
an object of class |
which |
character string. Which coefficients should be returned? ('ols' for coefficients estimated by OLS or 'mle' for coefficients estimated by Maximum Likelihood). |
... |
currently unused. |
Details
The standard errors of the estimated parameters are 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 which of this method is "mle" (the default)
and argument extraPar of summary.frontier
is set to TRUE,
some additional parameters, their standard errors, z-values,
and (asymptotic) P-values are returned
(see documentation of summary.frontier,
coef.frontier, or vcov.frontier).
The standard errors of the additional parameters
are obtained by the delta method.
Please note that the delta method might provide poor approximations
of the ‘true’ standard errors,
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 the t statistic and the z statistic are not reliable
for testing the statistical signicance of \sigma^2,
\gamma, and the ‘additional parameters’,
because these parameters are censored and cannot follow
a normal distribution or a t distribution.
Value
The coef method for objects of class summary.frontier
returns a matrix,
where the four columns contain the estimated
coefficients, their standard errors, z-values or t-values,
and (asymptotic) P-values.
Author(s)
Arne Henningsen
See Also
coef.frontier, summary.frontier,
vcov.frontier, and sfa.
Examples
# example included in FRONTIER 4.1
data( front41Data )
sfaResult <- sfa( log( output ) ~ log( capital ) + log( labour ),
data = front41Data )
coef( summary( sfaResult ), which = "ols" )
coef( summary( sfaResult ) )
coef( summary( sfaResult, extraPar = TRUE ) )