In this article, I introduce sfkk, a new command for fitting endogenous stochastic frontier models. sfkk provides estimators for the parameters of a linear model with a disturbance assumed to be a mixture of two components: a measure of inefficiency that is strictly nonnegative and a two-sided error term from a symmetric distribution. sfkk can handle endogenous variables in the frontier or the inefficiency, and the sfkk estimates outperform the standard frontier estimates that ignore endogeneity.
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