Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency

Table 5

Generalized likelihood ratio test of hypothesis of the stochastic frontier production model.

Null hypothesis	Test statistic	Critical value*	Decision
𝐻0: 𝛾=0	74.52	7.05	Reject
𝐻0: 𝜇=0	−70.92	5.14	Accept
𝐻0: 𝜂=0	4.22	2.71	Reject

∗All critical values are at 5% level of significance and the critical values are obtained from table of Kodde and Palm [42].