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st: Joint hypothesis with one-sided alternatives


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.


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