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Re: st: Testing constraints in a linear regression


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Testing constraints in a linear regression
Date   Sat, 21 Jan 2006 22:10:31 -0000 (GMT)

Fanwell Kenala Bokosi wrote:

> I am estimating a model which is constrained. I am trying to test the
> constraints, but stata keeps giving me an error message.
>
> My model is
>
> Y = (ρ-1)Yt-1 + β (Xt-Xt-1) + β(1- ρ)Xt-1 + εi
> The stata command I am using is
>
> reg Y Yt-1  (Xt-Xt-1) Xt-1
>
> test Yt-1 * (Xt-Xt-1)= -(Xt-1)
>
> When I do that I am getting an error,
>
> I have about  more than one ((Xt-Xt-1), Xt-1 variables. Please help

Would Jeroen Weesie's -linest- help in this circumstance? You can download
it from SSC (or -findit linest-). Try it and see. (This is assuming you've
already tried -cnsreg-.) Hope that helps. :)

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

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