Re: st: cnsreg post estimation- Stata8

 From "Vidya Mahambare" To Subject Re: st: cnsreg post estimation- Stata8 Date Tue, 28 Jun 2005 15:59:34 +0100

```Thanks for both your suggestions.
I am trying to estimate an equation similar to this -

constraint define 1 L.wpi+L2.wpi+L3.wpi=1
cnsreg wpi L.wpi L2.wpi L3.wpi L.ygapm L2.ygapm sswpi L.sswpi, constraint(1)

I couldn't find a way to get robust errors with cnsreg, so I did -

constraint define 1 L.wpi+L2.wpi+L3.wpi=1
arima wpi L.wpi L2.wpi L3.wpi L.ygapm L2.ygapm sswpi L.sswpi, constraint(1)
robust

Both these give the same coefficients, but not other diagonstics such as R2. I
have now looked at FAQ on this that you suggested.

How can use -regress- to implement this constraint?
Thanks,
Vidya

>>> Richard.A.Williams.5@ND.edu 06/28/05 3:33 PM >>>
At 02:07 PM 6/28/2005 +0100, Vidya Mahambare wrote:
>Could anyone suggest how I can obtain R2/adjusted R2 and other diagnostics
>after
>-cnsreg- (constrained regression) in Stata8?

Incidentally, I don't know why cnsreg does not provide this
information.  Many/most/all? models you could estimate with cnsreg could be
estimated with regular regression, e.g. you could add two variables
together if you wanted to constrain their effects to be equal.  Often Stata
has very good reasons for doing things like this, but it doesn't always
tell you what they are!  Sometimes, too, it takes a conservative strategy,
e.g. it might be that R^2 would be inappropriate with some constraints,
ergo it chooses to never give you an R^2.  I encountered something like
that with the -ml- command, where Stata insisted on reporting a Wald
chi-square when I used constraints even though I was confident that an LR
chi-square was appropriate.

Anyway, if cnsreg is making it difficult for you to get things you want,
you might try using regular regression instead.  You just need to figure
out how to impose the constraints, e.g. add 2 variables together if you
want their effects constrained to be equal.

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Richard Williams, Notre Dame Dept of Sociology
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