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linest performs linear constrained estimation after unconstrained estimation
(e.g., regress, qreq, logit, stcox, heckman, mvreg, ...) was performed.
linest displays the table with the two-stage constrained estimates and their
confidence intervals, and a Wald test for the hypothesis that the parameters
satisfy the constraints.
linest can be used as a variant of test and testparm that requires the
specification of the hypotheses by means of Stata's constraints.
The standard errors of the unconstrained estimators may be of the standard or
'robust' sandwich type and the standard errors may be adjusted for clustering.
The two-stage constrained estimator is asymptotically equivalent to the
one-stage constrained estimator (Gourieroux and Montfort 1995: Ch 10). This
result, however, on additional linearization. Thus, if a one-stage constrained
estimator is available (cnsreg, mlogit, reg3), I expect this estimator
to be better behaved in small samples."
hope this helps,
----- Original Message -----
From: "William Collier" <W.J.Collier@kent.ac.uk>
Sent: Wednesday, December 03, 2003 6:31 AM
Subject: st: Imposing constaints for Ordered probit using pooled and panel data
> I wish to impose linear constraints when estimating an ordered probit model.
> The internal 'oprobit' command does not allow constraints to be imposed.
> Neither can I find the option amongst the various panel versions of this
> estimator (reoprob, gllamm etc).
> I understand that an ordered probit model written using Stata's -ml-
> commands will permit the use of linear constraints. My initial concern is
> for use on x-s data but a panel estimator would also be useful. My knowledge
> programming is limited and I wondered whether anyone in the Stata community
> had already devised such a program?
> Dr William Collier
> Department of Economics
> University of Kent
> Kent CT2 7NP
> Email: W.J.Collier@kent.ac.uk
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