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From |
"Paul Seed" <P.T.Seed@qmul.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Joint hypothesis with one-sided alternatives |

Date |
Thu, 20 Jun 2002 17:01:51 +0100 |

"Guillaume Frechette" <gurst1@hotmail.com> wrote: > 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. This can be bootstrapped, without any programming, using the -bs- command. Using the auto data set (& changing the hypothesis slightly), the following will do it: bs "xtprobit foreign weight, re i(rep78)" "(_b[_cons]>0)&(_b[_cons]+_b[weight]<4)" I trust that your application makes more sense than this one. Adapt as necessary. No spaces are permitted when describing the hypotheses to be tested. A reps option is needed. See help for the command -bs- for more details, inclusing the meanings of the difference confidence intervals. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: lagging variables in 3-dim unbalanced panel w/ gaps***From:*"helen milner" <hvm1@columbia.edu>

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