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

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Author Info

  • Christopher F Baum

    () (Boston College)

  • Vince Wiggins

    () (Stata Corporation)

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.

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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
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S388202.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 01 Sep 1999
Date of revision:
Handle: RePEc:boc:bocode:s388202

Note: This module may be installed from within Stata by typing "ssc install cnsrsig". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: restricted least squares; subset hypotheses;

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