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


From   Samira Bakhshi <sab774@mail.usask.ca>
To   statalist@hsphsun2.harvard.edu
Subject   Re: constraints in xtgls and xtpcse [was: st: QUESTION]
Date   Fri, 02 May 2008 11:02:05 -0600 (CST)

Hello, 
I am using linest, c(1-28) after xtgls estimator, but I am receiving 
the error that "matrix not positive definite".
Can sombody help me through this?

Thanks,
Samira


Richard Williams wrote:


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