English, Article edition: CNSRSIG: Stata module to evaluate validity of restrictions on a regression Christopher F Baum; Vince Wiggins

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Physical Description
  • code
Language
  • English

Edition details

Title
  • CNSRSIG: Stata module to evaluate validity of restrictions on a regression
Author
  • Christopher F Baum
  • Vince Wiggins
Physical Description
  • code
Notes
  • Stata's cnsreg command facilitates the estimation of a linear regression subject to linear restrictions, or constraints in Stata syntax, on its coefficients. The restricted regression is nested within its unrestricted counterpart, and the validity of the restrictions may be evaluated by a standard F-test comparing the restricted and unrestricted models' goodness of fit, as described in any econometrics textbook. cnsrsig may be used following a cnsreg command to generate the F-statistic for the null hypothesis that the restrictions are consistent with the data. A likelihood ratio test is also generated.
  • restricted least squares, subset hypotheses
  • RePEc:boc:bocode:s388202
Language
  • English
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