?===================================================================

? Method of moments estimation of a Normal-Gamma stochastic        =

? frontier model                                                   =

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? User must define the data matrix with the following line:        =

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?        NAMELIST         ; X = ... $                              =

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? User's dependent variable is Y.  Change the following line       =

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?        CREATE           ; Y = the dependent variable $           =

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REGRESS  ; Lhs = y ; Rhs = X ; Res = e $

CREATE   ; e2 = e * e ; e3 = e2 * e ; e4 = e3 * e ; ai = e + b(1) $

CALC     ; a = b(1) ; m2 = xbr(e2) ; m3 = xbr(e3) ; m4 = xbr(e4) $

MATRIX   ; V = XVCM(ai,e2,e3,e4) $

WALD     ; start  = a,m2,m3,m4

         ; var    = V

         ; labels = at,m2t,m3t,m4t

         ; fn1    = -3 * m3t           / (m4t-3 * m2t^2)    ? é

         ; fn2    = 13.5 * m3t^4       / (m4t-3 * m2t^2)^3  ? P

         ; fn3    = m2t - 1.5 * m3t^2  / (m4t-3 * m2t^2)    ? å2v

         ; fn4    = at + 4.5 * m3t^3   / (m4t-3 * m2t^2)^2  ? a

         ; fn5    = m3t                    ?  skewness

         ; fn6    = (m4t-3*m2t^2) $        ?  degree of excess.