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

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 11.2
Keywords: Theil; Goldberger; mixed estimation; Bayesian shrinkage; non-sample information (search for similar items in EconPapers)
Date: 2011-07-29
Note: This module should be installed from within Stata by typing "ssc install tgmixed". 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/t/tgmixed.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tgmixed.sthlp help file (text/plain)

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