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

Christopher Baum and Vince Wiggins ()
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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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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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)

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