TGMIXED: Stata module to perform Theil-Goldberger mixed estimation of regression equation
Abstracttgmixed 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S457307.
Programming language: Stata
Requires: Stata version 11.2
Date of creation: 29 Jul 2011
Date of revision:
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
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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