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CNSRSIG: Stata module to evaluate validity of restrictions on a regression

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Vince Wiggins

    (Stata Corporation)

Programming Language

Stata

Abstract

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.

Suggested Citation

  • Christopher F Baum & Vince Wiggins, 1999. "CNSRSIG: Stata module to evaluate validity of restrictions on a regression," Statistical Software Components S388202, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s388202
    Note: This module may be installed from within Stata by typing "ssc install cnsrsig". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/cnsrsig.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cnsrsig.hlp
    File Function: help file
    Download Restriction: no
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