help for ^cnsrsig^                           

Evaluating the validity of linear restrictions on a regression equation -----------------------------------------------------------------------


Description -----------

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 --------

. ^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 ------- Christopher F Baum Boston College, Chestnut Hill MA 02467 USA baum@@bc.edu Vince Wiggins, Stata Corporation vwiggins@@stata.com

Also see --------

On-line: ^help^ for @cnsreg@