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RE: st: regression with coefficients at a set value


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: regression with coefficients at a set value
Date   Sun, 13 May 2007 15:51:31 -0500

At 02:44 PM 5/13/2007, Silcocks Paul wrote:
Many thanks - What I wanted to do was set up significance limits for a
parameter (as opposed to confidence limits), for which I'd need to force
the regression coeffcient to be whatever it should be under H0
(typically 0).  I'd looked at help constraint but didn't find it that
helpful; the example I tried was with regress (which doesn't support
constraints) so I'll try again with glm.  Using the test option might
work if I can extract the F value (though I'd need the se|H0 as well)
Try cnsreg, which fits constrained linear regression models. If all you want to do is test whether a parameter or set of parameters = 0, you can just use the -test- command, or else -nestreg-. See. for example, pp. 4-5 of

http://www.nd.edu/~rwilliam/stats1/OLS-Stata9.pdf



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Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
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EMAIL: Richard.A.Williams.5@ND.Edu
WWW: http://www.nd.edu/~rwilliam

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