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st: Nonlinear constraints

From   Marcello Pagano <>
Subject   st: Nonlinear constraints
Date   Fri, 18 May 2007 09:44:32 -0400

Sorry for the delay.

Begin forwarded message:

From: Kit Baum <>
Date: May 17, 2007 4:51:29 PM EDT
Subject: nonlinear constraints

sacrificial habanero

Emre sid

is there any way to incorporate a non-linear constraints when you are using

Of course. When you write down the likelihood function, feel free to substitute any nonlinear constraints you wish into the log- likelihood. Estimate the original model, estimate the one with constraints, and compare the two with a LRT (lrtest). The number of degrees of freedom should correspond to the reduction in length in the parameter vector.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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