frontier (version 1.1-8)

coef.summary.frontier: 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 summary.frontier
coef( object, which = "mle", … )

Arguments

object

an object of class summary.frontier (returned by the summary method for objects of class frontier

which

character string. Which coefficients should be returned? ('ols' for coefficients estimated by OLS or 'mle' for coefficients estimated by Maximum Likelihood).

…

currently unused.

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.

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.

See Also

coef.frontier, summary.frontier, vcov.frontier, and sfa.

Examples

# NOT RUN {
   # 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 ) )
# }