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TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation

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Author Info

  • Christopher F Baum

    ()
    (Boston College
    DIW Berlin)

Abstract

tgmixed estimates a regression equation subject to stochastic linear constraints, using the Theil-Goldberger (1961) mixed estimation technique. This estimator is a generalization of cnsreg, which applies exact linear constraints to a regression equation. In the Theil-Goldberger technique, the constraints hold with some degree of subjective belief. The routine computes the Theil compatibility statistic (Theil, 1963) for the null hypothesis that the sample and non-sample information are compatible. Under the null, this statistic is distributed Chi-squared, with degrees of freedom equal to the number of stochastic constraints.

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File URL: http://fmwww.bc.edu/repec/bocode/t/tgmixed.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/t/tgmixed.sthlp
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 S457307.

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Programming language: Stata
Requires: Stata version 11.2
Date of creation: 29 Jul 2011
Date of revision:
Handle: RePEc:boc:bocode:s457307

Note: This module should be installed from within Stata by typing "ssc install tgmixed". 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: Theil; Goldberger; mixed estimation; Bayesian shrinkage; non-sample information;

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