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help for ^cnsrsig^
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Evaluating the validity of linear restrictions on a regression equation
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^cnsrsig^
Description
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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 statistic is also generated.
This command can only be run after the @cnsreg@ command.
The command defines several scalars for later use; see ^return list^.
Examples
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. ^constraint def 1 price=weight^
. ^constraint def 2 displ=weight^
. ^cnsreg price displ weight mpg^
. ^cnsrsig^
. ^dis r(F)^
. ^dis r(ncns)^
. ^dis r(lrt)^
Authors
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Christopher F Baum
Boston College, Chestnut Hill MA 02467 USA
baum@@bc.edu
Vince Wiggins, Stata Corporation
vwiggins@@stata.com
Also see
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On-line: ^help^ for @cnsreg@