The Empirical Trap of Sign Reversals with Equality Restrictions
AbstractThis note explores the insidious empirical trap posed by two common equality restrictions in regression analysis. The trap is that restricted coefficients can lie outside the interval of unrestricted coefficients and even reverse sign when negatively correlated regressors are added to one another or when positively correlated regressors are subtracted from one another.
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Bibliographic InfoPaper provided by University of Oregon Economics Department in its series University of Oregon Economics Department Working Papers with number 2005-8.
Date of creation: 15 Jan 2005
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Equality restrictions; Sign reversals; Invalid restrictions;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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