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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 | # MLE estimation based on Lucchetti, R., Papi, L., and Zazzaro, A.
# (2001) "Banks' Inefficiency and Economic Growth: A Micro Macro
# Approach", Scottish Journal of Political Economy, 48, pp. 400–424.
open banks91
# Cobb-Douglas cost function
ols cost const y p1 p2 p3
# Cobb-Douglas cost function with homogeneity restrictions
genr rcost = cost - p3
genr rp1 = p1 - p3
genr rp2 = p2 - p3
list xlist = const y rp1 rp2
ols rcost xlist
# Cobb-Douglas cost function with homogeneity restrictions
# and inefficiency
matrix b = $coeff
scalar su = 0.1
scalar sv = 0.1
mle logl = ln(cnorm(e*lambda/ss)) - (ln(ss) + 0.5*(e/ss)^2)
scalar ss = sqrt(su^2 + sv^2)
scalar lambda = su/sv
series e = rcost - lincomb(xlist, b)
params b su sv
end mle --hessian
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