FRONTIERHTAIL: Stata module to estimate stochastic production frontier models for heavy tail data

Ibrahima Diallo

Statistical Software Components from Boston College Department of Economics

Abstract: frontierhtail implements stochastic production frontier regression for heavy tail data. As pointed out by Nguyen (2010), economic and financial data frequently evidence fat tails. frontierhtail is for use in this case where data evidence heavy tail distribution when estimating stochastic production frontier. The theory behind the command frontierhtail is based on the work of Nguyen (2010). frontierhtail estimates a linear model (both dependent and independent variables must be in logarithmic form) where the disturbance is supposed to be a mixture of two components: the first, the random shock, is assumed to follow a normal distribution and the, second, the technical inefficiency, is uniformly distributed.

Language: Stata
Requires: Stata version 11
Keywords: stochastic frontier; heavy tail data (search for similar items in EconPapers)
Date: 2012-01-20
Note: This module should be installed from within Stata by typing "ssc install frontierhtail". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/f/frontierhtail.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/frontierhtail_lf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/frontierhtail_lf1.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/frontierhtail_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/frontierhtail.sthlp help file (text/plain)

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