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st: Joint hypothesis with one-sided alternatives


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Joint hypothesis with one-sided alternatives
Date   Tue, 18 Jun 2002 21:00:49 +0000

Dear Statalisters, I am estimating a random effects probit: y = 1{A + BX + e >= 0} and my estimated values are a and b (and rho but forget about that last one). I need to test the null hypothesis that a>0 and a+b<0. I have never performed a joint hypothesis test with inequalities, but I have read that the usual Wald test is inappropriate because it treats positive and negative misses symmetrically. Apparently, Wolak (`An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model', Journal of the American Statistical Association, Vol 82, Issue 399, Sep. 1987, pp. 782-793) derives such a test for the linear regression model. I would like to know:

1. As anybody programmed such a test (if so would you be so kind as to share your program).

and/or

2. Do you know of a reference for such a test in the case of something like a random effects probit.

and/or

3. Do you have any references that might help or any advice suggestions, etc that could help.

Thanks in advance.

Best,

Guillaume


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