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

Christopher Baum () and Vince Wiggins ()
Additional contact information
Vince Wiggins: Stata Corporation

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 6.0
Keywords: restricted least squares; subset hypotheses (search for similar items in EconPapers)
Date: 1999-09-01
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.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cnsrsig.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cnsrsig.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s388202

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().