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Efficiency Measurement

William Greene Stern School of Business New York University. Efficiency Measurement. Lab Session 5. Panel Data. Group Size Variables for Unbalanced Panels. Creating a Group Size Variable. Requires an ID variable (such as FARM) (1) Set the full sample exactly as desired

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Efficiency Measurement

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  1. William Greene Stern School of Business New York University Efficiency Measurement

  2. Lab Session 5 Panel Data

  3. Group Size Variables for Unbalanced Panels

  4. Creating a Group Size Variable • Requires an ID variable (such as FARM) • (1) Set the full sample exactly as desired • (2) SETPANEL ; Group = the id variable ; Pds = the name you want limdep to use for the periods variable $ SETPANEL ; Group = farm ; pds = ti $

  5. Application to Spanish Dairy Farms N = 247 farms, T = 6 years (1993-1998)

  6. Exploring a Panel Data Set: Dairy REGRESS ; Lhs = YIT ; RHS = COBBDGLS ; PANEL $ REGRESS ; Lhs = YIT ; RHS = COBBDGLS ; PANEL ; Het = Group $

  7. Initiating a Panel Data Model

  8. Nonlinear Panel Data Models MODEL NAME ; Lhs = … ; RHS = … ; Panel ; … any other model parts … $ ALL PANEL DATA MODEL COMMANDS ARE THE SAME

  9. Panel Data Frontier Model Commands FRONTIER ; LHS = … [ ; COST ] ; RHS = … [; EFF = …] ; Panel ; ... the rest of the model ; any other options $

  10. Pitt and Lee Random Effects FRONTIER ; LHS = … [ ; COST ] ; RHS = … [; EFF = …] ; Panel ; any other options $ This is the default panel model.

  11. Pitt and Lee Model

  12. Pitt and Lee Random Effects with Heteroscedasticity and Time Invariant Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … [; EFF = …] ; Panel ; HET ; HFU = … ; HFV = … $

  13. Pitt and Lee Random Effectswith Heteroscedasticity and Truncation Time Invariant Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … [; EFF = …] ; Panel ; HET ; HFU = … ; HFV = … ; MODEL = T ; RH2 = One,… $

  14. Pitt and Lee Random Effectswith HeteroscedasticityTime Invariant Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … [; EFF = …] ; Panel ; HET ; HFU = … ; HFV = … $

  15. Schmidt and Sickles Fixed Effects REGRESS ; LHS = … ; RHS = … ; PANEL ; PAR ; FIXED $ CREATE ; AI = ALPHAFE ( id ) $ CALC ; MAXAI = Max(AI) $ CREATE ; UI = MAXAI – AI $ (Use Minimum and AI – MINAI for cost)

  16. True Random EffectsTime Varying Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … $ FRONTIER ; LHS = … [ ; COST ] ; RHS = … ; Panel ; Halton (a good idea) ; PTS = number for the simulations ; RPM ; FCN = ONE (n) ; EFF = … $ Note, first and second FRONTIER commands are identical. This sets up the starting values.

  17. True Fixed EffectsTime Varying Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … $ FRONTIER ; LHS = … [ ; COST ] ; RHS = … ; Panel ; FEM ; EFF = … $ Note, first and second FRONTIER commands are identical. This sets up the starting values.

  18. Battese and CoelliTime Varying Inefficiency FRONTIER ; LHS = … [ ; COST ] ; RHS = … ; Panel ; MODEL = BC ; EFF = … $ This is the default specification, u(i,t) = exp[h(t-T)] |U(i)| To use the extended specification, u(i,t)=exp[d’z(i)] |U(i)| ; Het ; HFU = variables

  19. Other Models There are many other panel models with time varying and time invariant inefficiency, heteroscedasticity, heterogeneity, etc. Latent class, Random parameters Sample selection, And so on….

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