先求助后送书,希望牛人能够路过指导一下,谢谢!
采用的是BC1992模型估计技术效率和translog生产函数形式
一共有三个问题,有点儿多-_-,请各位不吝赐教啊!
1.检验随机前沿模型是否适用,是要去联合检验γ=μ=η=0吗?在STATA中怎么实现呢?
2.想检验柯布道格拉斯生产函数和translog生产函数之间的选择,应该是检验所有交叉项和二次项的系数吧?
可是我用柯布道格拉斯生产函数回归总是不收敛,怎么办?这样还可以检验吗?
3.检验技术非中性是检验投入要素L和K与时间t的交叉项吗?我看很多人都是用LR test来做的,那就需要跑两个回归了,一个有交叉项,一个没有交叉项,但是我去掉这两项之后回归又不收敛啦!怎么办啊?
我可以用Wald test代替进行检验吗?嘿嘿~毕竟只需要跑一个回归就可以了,简单方便。不过有理论依据吗?
回归结果如下
Iteration 0: log likelihood = -112.42807 (not concave)
Iteration 1: log likelihood = -77.658865 (not concave)
Iteration 2: log likelihood = -70.847644
Iteration 3: log likelihood = -70.76873
Iteration 4: log likelihood = -67.522005
Iteration 5: log likelihood = -67.426929
Iteration 6: log likelihood = -67.426616
Iteration 7: log likelihood = -67.426616
Time-varying decay inefficiency model Number of obs = 104
Group variable: cid Number of groups = 39
Time variable: year Obs per group: min = 1
avg = 2.7
max = 7
Wald chi2(9) = 110.37
Log likelihood = -67.426616 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
lnY | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnK | -1.870092 .6970854 -2.68 0.007 -3.236354 -.5038297
lnL | 1.118676 .8658434 1.29 0.196 -.5783461 2.815698
t | -.6650322 .2662542 -2.50 0.012 -1.186881 -.1431836
tsq | -.0003343 .0114707 -0.03 0.977 -.0228166 .0221479
lnL2 | .1877647 .1179036 1.59 0.111 -.0433222 .4188515
lnK2 | .1781838 .0549305 3.24 0.001 .070522 .2858457
lnKL | -.2922226 .1362202 -2.15 0.032 -.5592092 -.025236
tlnK | .0783449 .0342742 2.29 0.022 .0111688 .1455211
tlnL | .0019412 .0434341 0.04 0.964 -.083188 .0870705
_cons | 15.66448 3.897831 4.02 0.000 8.024876 23.30409
-------------+----------------------------------------------------------------
/mu | 1.532079 .4889659 3.13 0.002 .5737235 2.490435
/eta | -.0883429 .0339824 -2.60 0.009 -.1549472 -.0217386
/lnsigma2 | -.8617911 .2417598 -3.56 0.000 -1.335632 -.3879506
/ilgtgamma | 1.079826 .4015404 2.69 0.007 .2928214 1.866831
-------------+----------------------------------------------------------------
sigma2 | .4224048 .1021205 .262992 .6784459
gamma | .7464611 .0759943 .5726867 .8660911
sigma_u2 | .3153088 .1038391 .1117879 .5188296
sigma_v2 | .1070961 .0190299 .0697982 .144394
------------------------------------------------------------------------------
附赠:
1.STATA中SFA的实现过程
2.根据stata下SFA输出结果计算技术效率
3.Boston College的stata讲义(MLE和NLE部分)
4.中国全要素生产率估算与分析(哥德堡大学经济系 郑京海) 85页 PPT