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: [email protected]
>WWW: http://www.nd.edu/~rwilliam
>
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>
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