[Limdep Nlogit List] Wald test of linear restrictions

William Greene wgreene at stern.nyu.edu
Thu Apr 3 14:28:27 EST 2008


M. Torres. You can follow the command with a Wald command,
NLOGIT;  CHOICES=A,B,SQ;  LHS=CHOICEB;  
         RHS=E_HIGVIS,E_MIDVIS,AT_DUR,E_LOCONG,E_MICONG,AT_COST;
         WTS=WEIGHT$
WALD  ;  labels = 6_b  ? (you have 6 parameters, we call them b1,...,b6)
      ;  start  = b
      ;  var = varb
      ;  fn1 = (b1 - b2) $
The chi squared statistic shown at the beginning of the output
will be your test statistic, to be compared to 3.84 for a significance
test.
/B. Greene



----- Original Message -----
From: "Cati Torres" <cati.torres at uib.es>
To: limdep at limdep.itls.usyd.edu.au
Sent: Thursday, March 27, 2008 5:52:17 AM (GMT-0500) America/Bogota
Subject: [Limdep Nlogit List] Wald test of linear restrictions

Hello Limdep listers,

I am working with choice experiments and I have estimated a multinomial 
logit, following LIMDEP instructions, as follows:

NLOGIT;  CHOICES=A,B,SQ;  LHS=CHOICEB;  
RHS=E_HIGVIS,E_MIDVIS,AT_DUR,E_LOCONG,E_MICONG,AT_COST;
WTS=WEIGHT$


In this context, I am interested in undertaking a WALD test of linear 
restrictions to know if the coefficients of the variables E_HIGVIS and 
E_MIDVIS are equal. In this sense, again following LIMDEP instructions, 
I have run the model:

NLOGIT;  CHOICES=A,B,SQ;  LHS=CHOICEB;  
RHS=E_HIGVIS,E_MIDVIS,AT_DUR,E_LOCONG,E_MICONG,AT_COST; 
TEST:b(1)-b(2)=0;
WTS=WEIGHT$


But it does not work.   I obtain the next error:

"Error   109: ;CLS/RST - error in syntax.  Check specified constraints."

Has anybody experienced the same error? How can it be solved?


Regards,
Cati
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-- 
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
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http://www.stern.nyu.edu/~wgreene
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