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From |
Richard Williams <Richard.A.Williams.5@ND.edu> |

To |
statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu |

Subject |
Re: constraints in xtgls and xtpcse [was: st: QUESTION] |

Date |
Tue, 29 Apr 2008 23:09:54 -0500 |

At 05:33 PM 4/29/2008, Samira Bakhshi wrote:

I've never tried it with xtgls, but you might check out Jeroen Weesie's -linest- command (which he maintains on his own site; use -findit-). From the help file:I am so thankful for your reply. Actually, I have a system of panel data equations with 45 constraints. So imposing these constraints in way you have described would be difficult. Is not there any other way that Stata accpets the option , const () after xtgls? Thanks, Samira

linest performs linear constrained estimation based on the results of an

unconstrained estimation command (e.g., regress, qreg, logit, stcox,

heckman, mvreg, ...). 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...

The two-stage constrained estimator is asymptotically equivalent to the

one-stage constrained estimator (Gourieroux and Montfort 1995: Ch 10). This

result is based, however, on additional linearization. Thus, if a one-stage

constrained estimator is available (e.g., cnsreg, mlogit, reg3), I expect

this estimator and the associated inference procedures to be better behaved

in small samples.

In other words, it is nice when an estimation command directly supports constraints, but when it doesn't linest is often a decent alternative. A simple example:

. sysuse auto

(1978 Automobile Data)

. constraint 1 weight = length

. logit foreign weight length, nolog

Logistic regression Number of obs = 74

LR chi2(2) = 31.99

Prob > chi2 = 0.0000

Log likelihood = -29.040272 Pseudo R2 = 0.3551

------------------------------------------------------------------------------

foreign | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

weight | -.0028419 .0016763 -1.70 0.090 -.0061273 .0004436

length | .0089197 .0542959 0.16 0.870 -.0974983 .1153376

_cons | 5.366227 5.77534 0.93 0.353 -5.953232 16.68568

------------------------------------------------------------------------------

. linest, c(1)

Two-step constrained logit

Dim unrestricted model = 3

Dim restricted model = 2

# restrictions = 1

Wald X2 for restrictions = 0.0443

Prob > chi2(1) = 0.8332 ( 1) weight - length = 0

------------------------------------------------------------------------------

| Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

weight | -.0025117 .0005925 -4.24 0.000 -.003673 -.0013504

length | -.0025117 .0005925 -4.24 0.000 -.003673 -.0013504

_cons | 6.530763 1.662454 3.93 0.000 3.272413 9.789113

------------------------------------------------------------------------------

Constrained estimation results are not stored.

Post-estimation commands use the unconstrained model!

-------------------------------------------

Richard Williams, Notre Dame Dept of Sociology

OFFICE: (574)631-6668, (574)631-6463

HOME: (574)289-5227

EMAIL: Richard.A.Williams.5@ND.Edu

WWW: http://www.nd.edu/~rwilliam

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**References**:**Re: constraints in xtgls and xtpcse [was: st: QUESTION]***From:*Samira Bakhshi <sab774@mail.usask.ca>

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