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st: Testing multiple inequality constraints of regression parameters in STATA


From   Fardad Zand <fardad.zand@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing multiple inequality constraints of regression parameters in STATA
Date   Wed, 10 Feb 2010 12:09:59 +0100

Dear Listers,

To test for complementarity and/or substitutability between four different
variables, I would like to test for multiple inequality restrictions of
regression parameters (typically generated from xtreg). The method is
proposed by, among others:

Econometrica, Vol. 50, No. 1 (January, 1982) LIKELIHOOD RATIO TEST, WALD
TEST, AND KUHN-TUCKER TEST IN LINEAR MODELS WITH INEQUALITY CONSTRAINTS ON
THE REGRESSION PARAMETERS BY CHRISTIAN GOURIE'ROUX, ALBERTO HOLLY. AND ALAIN
MONFORT

***Is there any post-estimation test available in Stata for this purpose? Is
there any user-written program out there?

This method is a test of complementarities, alternative to typical
one-tailed t-tests on the coefficient of cross-terms (multiplicative terms).

*** Are you aware of any alternative method/test?

Thanks a lot in advance for your time and support.
Fred




-- 
ir. Fardad Zand
Researcher & PhD Candidate
MSc Management of Technology

Department of Economics & Management of Innovation
Faculty of Technology, Policy & Management
Delft University of Technology

Kruisstraat 30
2611 MJ Delft
the Netherlands

Office: +31 15 278 42 73 (room C0.060)
Mobile: +316 54 31 57 97
Email: f.zand@tudelft.nl

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