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